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Quantitative Finance Volume 17, 2017 - Issue 9
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Research Papers

Systemic risk and dynamics of contagion: a duplex inter-bank network

Ding DingSchool of Economics & Management, Beihang University, 37 Xueyuan Road, Haidian District, Beijing, China
,
Liyan HanSchool of Economics & Management, Beihang University, 37 Xueyuan Road, Haidian District, Beijing, China
&
Libo YinSchool of Finance, Central University of Finance and Economics, 39 South College Road, Haidian District, Beijing, ChinaCorrespondence[email protected]
Pages 1435-1445 | Received 11 Mar 2016, Accepted 09 Dec 2016, Published online: 15 Mar 2017

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Read on this site (3)

Hong Zhao, Yiqing Lei, Ying Zhang & Lingxiang Li. (2023) Risk contagion among banks: evidence from Chinese data. Applied Economics Letters 30:10, pages 1374-1380.
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J. L. Ma, S. S. Zhu & Y. Wu. (2021) Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue. Quantitative Finance 21:5, pages 753-770.
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Xuejin Zhao, Wei-Guo Zhang & Yong-Jun Liu. (2020) Volatility Spillovers and Risk Contagion Paths with Capital Flows across Multiple Financial Markets in China. Emerging Markets Finance and Trade 56:4, pages 731-749.
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Articles from other publishers (14)

Chun Yan, Yi Ding, Wei Liu, Xinhong Liu & Jiahui Liu. (2023) Multilayer interbank networks and systemic risk propagation: Evidence from China. Physica A: Statistical Mechanics and its Applications 628, pages 129144.
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Tingqiang Chen, Yuejuan Hou, Lei Wang & Zeyu Li. (2023) Counterparty Risk Contagion Model of Carbon Quota Based on Asset Price Reduction. Sustainability 15:14, pages 11377.
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Liu Jiajia, Guo Kun, Tang Fangcheng, Wang Yahan & Wang Shouyang. (2023) The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. The Quarterly Review of Economics and Finance 89, pages 105-119.
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Jiamin Lv, Shenglin Ben, Wenli Huang & Yueling Xu. (2023) How to reduce the default contagion risk of intercorporate credit guarantee networks? Evidence from China. Emerging Markets Review 55, pages 100967.
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Morteza Alaeddini, Philippe Madiès, Paul J. Reaidy & Julie Dugdale. (2022) Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. Journal of Economic Surveys 37:2, pages 573-654.
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Jue Gong, Gang-Jin Wang, Yang Zhou, You Zhu, Chi Xie & Matteo Foglia. (2023) Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. Journal of International Financial Markets, Institutions and Money 83, pages 101733.
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Guojian Ma, Juan Ding & Youqing Lv. (2022) The Credit Risk Contagion Mechanism of Financial Guarantee Network: An Application of the SEIR-Epidemic Model. Complexity 2022, pages 1-14.
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Pierre L. Siklos & Martin Stefan. (2021) Exchange rate shocks in multicurrency interbank markets. Journal of Financial Stability 55, pages 100888.
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Lei Wang, Shouwei Li, Wenyi Wang, Wenke Yang & Hu Wang. (2021) A bank liquidity multilayer network based on media emotion. The European Physical Journal B 94:2.
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Tingqiang Chen, Qinghao Yang, Yutong Wang & Suyang Wang. (2020) Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion. Complexity 2020, pages 1-25.
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Shouwei Li, Yifu Liu & Chaoqun Wu. (2020) Systemic risk in bank-firm multiplex networks. Finance Research Letters 33, pages 101232.
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Yuan Cao, Desheng Wu & Lei Li. (2020) Debt risk analysis of non-financial corporates using two-tier networks. Industrial Management & Data Systems 120:7, pages 1287-1307.
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Xin Sui, Liang Li & Xiaohui Chen. (2020) Risk contagion caused by interactions between credit and guarantee networks. Physica A: Statistical Mechanics and its Applications 539, pages 122867.
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Shouwei Li, Min Liu, Lei Wang & Kun Yang. (2019) Bank multiplex networks and systemic risk. Physica A: Statistical Mechanics and its Applications 533, pages 122039.
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