Financial Systemic Risk Research Bases On Complex Networks Pulications

The study of financial system as a complex network is a hot topic recently.The complex network theory is helpful to study the systemic financial risk,theory related network help to construct a stable financial system,prevent systemic financial risk occurrence from systemic events.The corresponding methods provide policy guidance,alleviate systemic risk consequences.The research shows that the financial network is a kind of complex network,in the study of the financial risk in the system,due to the existence of spillovers,financial systemic risk does not mean that all the organization's risk and vulnerability of financial system is closely related to the financial network relationship and network structure,network relationship and network structure is the main internal factors of systemic risk.In the research of relationship between complex ne tworks and systemic financial risk,this paper argues that the complex network and the financial system is in the form of isomorphism,many characteristics of the complex network corresponding to characteristics of financial systemic risk,such as the complex network center theory reflects the characteristics of the importance of institution.Th e complex network's correlation,network structure and institutional stability directly affect systemic financial risk.It is an important factor that affects the vulnerability of the system,and it is the main internal cause that affects systemic financia l risk.In terms of contagion and quantitative research of systemic financial risk,the contagion algorithm based on complex network can be used to help improve the infection algorithm of systemic financial risk.In complex systems and complex networks fro m the perspective of systemic financial risk,the accumulation and release of systemic financial risks associated with complex networks(complex systems)of various network(system)state changes,changes in the network is to understand the risks of financ ial institutions caused by the dispersion behavior of systematic theory foundation of increased risk.In the research of systemic financial risk measurement from the perspective of complex network,this paper mainly studies two basic problems,one is risk quantitative measurement method,and the other two is risk contribution measurement method(including how to measure the decomposition of risk among agencies).The measurement of systemic financial risk has some inconsistent measurement results.The main reason is that there is no risk measurement in the axiomatic risk measurement system.The current mainstream risk measurement methods are many,such as variance method,down difference method,Va R,ES and so on.These measuring methods have their own advant ages and disadvantages.Because these methods describe different sides of risk,they can not make consistent results.On the basis of reviewing the risk classification and reviewing the axiomatic requirements of risk measurement and portfolio risk measurem ent,this paper gives the reasons why the variance and Va R do not meet the compatibility requirements,and CVa R as the derivation process of the compatibility requirement of risk measures.And the analysis of the risk measure satisfies the property compati bility conditions and portfolio risk measure,the last character of portfolio risk and systemic risk measures are analyzed and discussed,points out the limitations of compatibility risk measure and convex risk measure,compatibility and convexity is not e stablished in the system of financial risk measure.The method of risk contribution and the method of risk decomposition are both the general tools of risk management and the means to determine the importance of the system.This paper firstly introduces th e concept of risk contribution and risk decomposition,illustrates the contribution of the role of risk,the importance and necessity of risk measurement method with two aspects and then divided into portfolio risk contribution,systemic risk contribution(including risk decomposition method)are reviewed,comparison,analysis,summary.On the current situation,risk measurement and risk contribution decomposition method using scene and function are studied,systematically summarizes the research results of the risk contribution,through the analysis of the existing measurement results lead to different risk contribution method of the contact,and the contribution of risk measurement methods,the applicability of risk decomposition method are discussed.And points out the future research direction of risk contribution method.In the research of systemic risks,the first is using qualitative research methods,research on the macro economic and financial indicators,financial indicators such as internal relevancy,network structure and the relationship of systemic risk;the second is the quantitative research methods,systematic risk,into the group,infection,exit process research institutions in the accumulation and outbreak.In this paper,based on the complex network method,qualitative and quantitative methods are used to study the systemic risk,systemically important institutions and system vulnerability institutions,and the relevant policy recommendations are put forward.Two.Based on the qualitative research of complex network theory,this paper establishes a network model based on mutual information coefficient,and studies the relationship between network correlation,network structure and financial systemic risk.The relationship between network correlation,network structure and systemic risk is studied by using the mutual information coefficient matrix time series of the total market capitalization and the maximum spanning tree and scale-free network at corresponding time points.Through the research,the financial institutions of China 2014-2016 stock market capitalization data showed no correlation with monotonic relationship between the systemic risk of China's financial system,but can predict systemic risk by correlation;network structure changes under external shocks,see the optimal network structure does not exist from the dynamic perspective of China's network;the total market value of the financial system based on mutual information coefficient is scale-free network;finally,the correlation relationship network structure and system risk,puts forward a method using correlation between the intervention of systemic risk..In terms of quantitative research based on complex network theory,this paper studies systemically important institutions in China from 2014 to 2016,including systemic vulnerability institutions and systemic risks.By establishing a closed banking system network model and improving the Debt Rank algorithm,we use the improved algorithm to study the loss of a single organiza tion after the impact.It is found that the loss of the system is linearly related to the magnitude of the initial impact.If the initial impact does not cause institutional failure,whether the institution is closed or not has nothing to do with the size of the initial impact.It is only related to the network itself,that is,the stability of the system depends on itself.The system can alleviate external shocks by the failure of some institutions and form a new stable structure.From the importance of system vulnerability is in the view of system,proved the importance order of mechanism system in general sense is decided by the owners' equity loss matrix and initial mechanism,the vulnerability of the order mechanism decided by the owners' equity loss ma trix vector and the initial mechanism.Through the data analysis of China's banking system,the results show that the systemically important institutions are changing over time.There are some banks that are both systemically important and fragility instit utions,which need to strengthen the supervision of these institutions.Finally,this paper studies the prevention and resolution of systemic risk.The most important systemic financial risk is prevention,prevention is the way to build a more robust financial system,after the mitigation of systemic risk and resolve measures can reduce the impact of systemic risk caused by the shock.In view of the current situation of China's financial economy and the lessons of the global financial and economic crisis in 2008,this paper puts forward the ideas and Counter measures to establish a sound economic and financial system to prevent the occurrence of systemic risk.This paper also analyzes the current situation of systemic risk in China,discusses the current financial and economic policies,and analyzes the problems involved in the financial and economic crisis in 2008.In terms of the resolution of systemic financial risks,the paper mainly discusses the fiscal policy tools and monetary policy tools adopted by the United States in the financial crisis in 2008 and their effectiveness.