Research Of The Systemic Risk Contagion In The High Value Payment System

In2008, The financial crisis resulted that the economies of the countries all over the world suffered heavy losses. The generation of the financial crisis caused people to think about the safety of the entire financial system. The financial crisis, leaded people to think about the entire financial system safety. After the broke of the Crisis,the first consensus reached by the policy makers and academics is that: only depending on the microscopic supervision can not guard against and dissolve the systemic risk, not only focuses on the risk of a single financial institution or individual industries, but also must focus on the health and stability of the entire financial system, strengthening macro-prudential regulation,the goal is to prevent systemic risk.Systemic risk is the probability of the the whole system collapse which ignited by an financial shot and leads to one or part of financial institutions collapsed or suffered heavy losses,further more, it transmits rapidly within the financial system.With the improvement of international economic integration, the connections of the economic and financial in countries becomes more and more close, as financial innovation continues to accelerate, the financial system has become increasingly complex. All kinds of financial products, financial instruments, the global financial markets, financial institutions and even agencies besides other financial institutions are intricately linked together. Like was tied to root in the same boat. This means that the modern financial system of constituent nodes has high link feature. The main threaten of the financial system security is systemic risk, once the systemic risk outbreaks, it will transmit among each node rapidly and cause the financial crisis and even the economic crisis.Within financial system all financial activities in the form of money in circulation of departments, and financial institutions through the payment system liquidation to realize creditor’s rights debt and funding to pay, so the payment system is the key part of the financial infrastructure and the core of the core method of the financial services. In a sense, payment system is the epitome of a country’s financial system. Systemic risk in the financial system will inevitably reflected in the payment system. Once the risk occurs, it will spread quickly in the payment system, from one or a few participants spread to other participants, there’s no way to measure the damage and harm. Therefore, systemic risk can affect the security and efficiency of the whole payment system, and endanger the stbility of the national financial system and market. Obviously, to study the risk transmission rule in the payment system is of great significance.There is no doubt that the economic and financial system is a typical complex system, its complexity will through the flow of funds among the participats in the system and ultimately represents the complexity of the payment system. In addition, the payment system itself contains a large number of nodes and their funds, which leads to the payment system has obvious complexity characteristics. Complex network is a highly abstract of complex systems. If we abstract the individual in complex systems into nodes, and abstract the interaction relationship between the individual as the edges, we can regard it as a complex network. ECB Financial Stability Review (2010) pointed out:to explore the link between modern financial characteristics needs the complex network analysis methods.This article bases on the inter-bank transaction data of the high value payment system(HVPS), uses the method of complex network, and builds into a payment network by abstracting Banks as points, flows between Banks as edges. By analyzing the nature of the topology of the network, find that it has characteristics of small world network, so we apply the dynamics of small world network model to the payment system network, in order to study the transmission rules of systemic risk in the payment network.There are two innovation points. One of them is using complex network theory to study the payment system network, especially apply the small world network dynamics model to researching the transmission rules of risk in payment system, and use the analytic solution,numerical solution and the method of simulation match to prove the correctness of the propagation equation. Although many people use complex network to research risk contagion, but a few study the risk transmission rules by using dynamic transmission model on complex networks.