Research On System Risk Based On Bank-asset Bipartite Network Model

After the 2008 financial crisis,regulatory authorities in various countries have increasingly attached importance to the prevention of systemic risk,and many domestic conferences have also emphasized the prevention of systemic risk and the focus on key financial institutions.The report of the 19 th National Congress of the Communist Party of China(CPC)emphasized that "we should improve the financial regulatory system and guard against the bottom line of systemic financial risks." The report of the 20 th National Congress of the Communist Party of China(CPC)also pointed out that "preventing financial risks still requires solving many major issues,strengthening the financial stability guarantee system,and guarding against the bottom line of systemic risks." This provides important guidelines and fundamental guidance for dealing with major financial risks and maintaining the safety of people’s property in the new era.Financial security is an important component of national security.Preventing financial system risks and improving the financial regulatory system are the focus of our financial work.As the core of the financial system,preventing the risks of the banking system is conducive to the stability of the entire financial system.Therefore,preventing systemic risks has important theoretical and practical significance.Based on the asset data held by banks,this article constructs a network model to analyze the systemic risk of China’s banking industry,analyzing the factors that affect the banking system risk from the perspective of external impact intensity,bank asset size,and depreciation effect.On this basis,it evaluates systemically important banks in the banking system,and further determines the key banks in the selected data,so as to provide reasonable policy recommendations to regulatory authorities.In the first chapter,we first introduce the research background of banking system risk,clarify the significance of the research,and summarize the current research situation at home and abroad,giving the context of the full text.In the second chapter,the relevant theories of bipartite networks and systemically important banks are introduced,and the topological properties of the degree and clustering coefficient in the theory of bipartite networks are described.At the same time,the evaluation indicators of systemically important banks are also described.Chapters 3 and 4 are based on the bipartite network theory to construct a bank-asset network model,analyze the sensitivity of the financial system to external shocks from a single asset class,and evaluate the existence of features in the system that may lead to infection.As a case study,the model was applied to the stress test of various bank data systems in the third quarter of 2021 in China.The results show that the introduced model can capture the sensitivity of banks’ investment assets to different external shock scenarios and depreciation effects,and assets with a high proportion are more sensitive to external shocks.Banks with different asset sizes are also different in their sensitivity to external shocks.Banks with larger asset sizes are relatively closely related to assets,resulting in banks with larger asset sizes being more prone to systemic risk.In Chapter 5,in order to identify systemically important banks in the selected data,the indicator method is used to evaluate systemically important banks.Based on the subjective weighting method and the objective weighting method in the indicator method,a comprehensive evaluation is conducted.The results show that China’s five state-owned systemically important banks,joint-stock banks,and local banks are of weak systemic importance.In Chapter 6,the findings are summarized and an outlook is provided.The following conclusions are drawn: the intensity of external shocks and devaluation effects affect systemic risk in the banking sector,especially when both are combined;the size of bank assets has an impact on the occurrence of systemic risk,and larger banks are affected by shocks or devaluations,and the assessment of systemically important banks using the indicator method finds that asset size is not a decisive factor,and the five largest banks in China banks through can be considered as systemically important banks and need to be supervised with emphasis.