Interbank Risk Contagion Based On Interbank Debt Default And Fire Sales

Frequent financial crisis,has sparked the high attention to the problems of financial risk.In the financial system main body status of the banking industry,is an important source of financial risk.Banking is one of the important regulatory national regulators and international financial organizations.Although the crisis,China's banking system losses are relatively small,the bank of China bankruptcy case is rare.But,under the background of interest rate marketization,the continuous development of financial innovation and financial globalization,increased the probability of our country commercial bank risk contagion.Deposit insurance system,country no longer out of commercial Banks,poor management of the bank is likely to go bankrupt.How to effectively prevent systemic risk,has become one of the important proposition of Banks and regulators.Trigger a financial crisis is the most important reason is that the financial risk of infection.The us subprime mortgage crisis in 2008,in 2010 the European debt crisis shows all continued amplification effect of the risk of infection and its strong destructive power.On sale of assets and debts directly contact superposition of two kinds of risk contagion,the financial crisis to the peak.Additie effect on risk of infection is the essence of induced systemic risk.Bank is the main reason of the problems on sale transmission between Banks to hold a total of assets.Aiming at this problem,this paper studies the diversification of risk contagion effects on sale.From two aspects of strong liquidity shocks and the weak liquidity shocks,contagion effects on sale measurement method is proposed.Using the measurement method,systematically analyzes the dispersion degree of risk contagion scattered investment,assets,and a simulation experiment was carried out.On sale the results found that diversification of the influence of transmission,may be very different from the role of the traditional spread risk:(1)the more kinds of assets held by the bank,the sale of the greater the liquidity contagion effects.For the entire banking system,a single bank diversification of assets will not reduce the risk,instead will increase the risk of the entire banking system.(2)in the system the same assets of dispersion degree threshold effect exists.When the dispersion degree is lower than the critical point,hold the same assets of Banks more dispersed,the greater the liquidity contagion effects.When the dispersion degree is higher than the critical point,hold the same assets of Banks more dispersed,the smaller the contagion effects of liquidity.Then,this paper designed a new experimental design train of thought.On the basis of the same set,independent debt contact on sale,and at the same time the two transmission mechanism of three kinds of simulations.This experimental design completely eliminated the cross effect of two kinds of transmission mechanism and the influence of the superimposition effect.Based on this design,explores the superimposed effect existence question,to study the effect of interbank loans ratio change on superposition,the asset price sensitive coefficient change on the influence of the superimposition effect.Experimental results show:(1)two transmission mechanism exist will hae an additie effect on risk.Risk contagion effects is the essence of systemic risk.(2)on sale of asset price sensitive coefficient and the influence of superposition effect respectively.On sale in the process,with the increase of infectious rounds,selling assets increase in the number,prices accelerated decline,which resulted in increased the risk of infection is on sale,causing the superimposed effect of acceleration amplification.(3)changes to the default percentage of interbank lending and the influence of the stacking effect is limited.Unlike infection on sale,bank debt against default contagion between with the increase of infectious rounds,the initial impact of the initial loss will continue is absorbed by the rights and interests of bank of default,transmission loss will gradually decline.Therefore,between the two kinds of bank risk transmission channels,the sale of interbank liquidity risk transmission performance is more common and prominent.At the beginning of the risk of infection,if can get plenty of liquidity,on sale to avoid infection,can greatly reduce systemic risk.Thirnk in terms of the entire banking system,whether the central bank for troubled Banks take rescue measures,want to consider the reason of bank crisis.When the bank because of the insufficient liquidity of an asset into crisis,which should be paid attention during the height of the banking supervision department.Because of on sale of assets to risk contagion has spread function.Guard is on sale,can effectively reduce systemic risk.To guard against the risk,the bank regulators to strengthen bank diversification,asset dispersion degree index and systemically important Banks to monitor.