A Study On The Multilayer Network Characteristics And Contagion Mechanism Of Financial Systemic Risk In China

The financial systemic risk has a significant impact on the financial stability and the real economy.In the context of the successive outbreaks of the financial crisis,the research on the financial systemic risk has received great attention from regulators and academia.The financial system is made up of different types of financial institutions,which have extensive business connections.These businesses connect the financial institutions so as to form systemic risk contagion channels,which makes the financial system has the attributes of multi-layer network.At present,the reform of China's financial sector is promoting the central task of economic restructuring,and this reform is based on financial stability.Therefore,studying the systemic risk contagion channel and the measurement method of the financial systemic risk is very important for the supervision of the financial systemic risk,maintenance of the financial stability and healthy development of the economy.In this paper,we study the contagion channels of financial systemic risk in China,and point out that the interbank business channel and cross shareholding channel are the main channels of systemic risk contagion.We select 79 different types and sizes of financial institutions as samples,and use the balance sheet data of those,a multi-layer network model is constructed.We study the contagion and evolution process of systemic risk.In the process of constructing multi-layer network model,this paper combines the maximum entropy method and scale-free network and solves the problem of interbank network construction that the specific business data can not be obtained.Then,by using the multi-layer network model,we study the systematic risk contagion process under two different market conditions.In this paper,we simulate the propagation process of systemic risk in single layers network and a multilayer network,and then analyze the nonlinear evolution mechanism of systemic risk.We conclude that:in the financial system constructed by multilayer model,the total loss caused by contagion is determined by the first bankrupt institution's loss.When the first bankrupt institution's loss is larger,the number of bankrupt institutions and the losses caused by the infection will be relatively larger.In contrast to the normal market,the number of bankrupt institutions caused by the bankruptcy of big size institution is obviously increased in the deteriorating market.When the financial institutions are simultaneously connected by the interbank business network and the cross shareholding network,once these institutions go bankrupt,the losses of the multilayer network contagion is greater than the sum of the losses of each channel.This part of excess losses is the enhancement effect of risk contagion among the various channels which reveals the nonlinear evolution mechanism of systemic risk.