Research On Systemic Risk Contagion Of Financial Institutions

Since the subprime mortgage crisis,countries have changed the micro-prudential supervision eoncept that focuses on the soundness of individual financial institutions,and the macro-prudential supervision that focuses on the soundness of the entire financial system is listed as the focus of financial regulatory reform.The problem of systemic risk contagion in the network of financial institutions has also become a research direction in academia.In order to study the infection of systemic risk in the financial institution's related network,this paper first constructs the financial institution's balance sheet,the creditor's debt network based on creditor's debt relationship between financial institutions and the common asset network holding coumon assets.On this basis,debt default is used as the criterion for systemic risk contagion,and the debt default risk infection network model of financial institutions based on credit channels(direct infection channels)and the liquidity based on holding common asset channels(indirect infection channels)are constructed.The risk-infected network model,and the two are combined to build a systemic risk-contagion network model.Then set the parameters in the network model and the indicators of systemic risk contagion.Finally,I studied the effects of the initial impact level,the number of initial impact institutions,the size of mutual borrowing and the size of mutual assets on the scope of systemic risk contagion,the speed of infection,the depth of infection and the cumulative degree of risk.The conclusions are as follows:the stronger the initial impact degree,the more concentrated the risk shock,the smaller the scale of the financial institutions affected by the impact,the larger the scale of mutual borrowing,or the larger the scale of holding common assets,the faster the systemic risk spread,the wider the risk contagion,the more time the financial institution is infected,the deeper the risk spread and the more systematic risks accumulate.