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Measuring Bank Systemic Risk in China: A Network Model Analysis

Jin Zou, Xu Fu, Jun Yang, Chi Gong
2022 Systems  
In this paper, a risk correlation network is constructed among Chinese banks employing the maximum entropy method, which simulates the individual risks of banks in the presence of exogenous shocks, the  ...  From the perspective of the composition of banking systemic risk, individual risk accounts for a large proportion, about 70%, which is the main source of banking systemic risk, among which China's state-owned  ...  The Measurement Model of Bank Systemic Risk There are many network models of financial systemic risks. For most kinds of network model methods there are two key points in their application.  ... 
doi:10.3390/systems10010014 fatcat:kxukubrwdbawnd35qae27t4vzi

A New Measurement of Systemic Risk in China's Banking System

Yong Li, Hulin Zhao
2021 Journal of Finance and Accounting  
Therefore, dissolving the systemic financial risk in China should strengthen the regulation of local banks.  ...  At present, the measurement of systemic risk is still a worldwide challenge. The complex network theory provides a new perspective for the study of this problem.  ...  In addition, the local banks appear obviously risk aggregation effect. It can be seen that the analysis of systemic risk using complex networks requires an assumption of a shock source.  ... 
doi:10.11648/j.jfa.20210903.14 fatcat:fowruojxbzbddizlbj4j2kw3z4

Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

Hong Fan, Lingli Feng, Ruoyu Zhou, Baogui Xin
2021 Discrete Dynamics in Nature and Society  
Based on the proposed theoretical framework and the actual data of Turkish listed banks from 2014 to 2019, a dynamically evolving Turkish banking network system is constructed to measure the systemic risk  ...  Therefore, the measurement framework of systemic risk based on the fBSM can better monitor the systemic risk than the traditional geometric Brownian motion in the Turkish banking system.  ...  Acknowledgments e authors thank the National Natural Science Foundation of China (71971054) and the Shanghai Natural Science Foundation (19ZR1402100) for their support.  ... 
doi:10.1155/2021/5954411 fatcat:2ognix6v2zctdhy72cjni6rifu

Measuring the systemic risk in the South African banking sector

Gregory M. Foggitt, Andre Heymans, Gary W. Van Vuuren, Anmar Pretorius
2017 South African Journal of Economic and Management Sciences  
systemic risk index (SRISK) of the South African (SA) banking sector between 2001 and 2013.Methods: Systemic risk is measured with the SRISK.Results: Although the results indicated only moderate systemic  ...  In the aftermath of the sub-prime crisis, systemic risk has become a greater priority for regulators, with the National Treasury (2011) stating that regulators should proactively monitor changes in systemic  ...  The final quantitative measure is not a measure per se, but rather a systemic risk modelling framework.  ... 
doi:10.4102/sajems.v20i1.1619 fatcat:6ih7ksab6rdfpbuo4laitssuba

P2P Lending Risk Contagion Analysis Based on a Complex Network Model

Qi Wei, Qiang Zhang
2016 Discrete Dynamics in Nature and Society  
Based on this analysis, the current study constructs a complex network model of P2P lending risk contagion in China and performs dynamics analogue simulations in order to analyze general characteristics  ...  This paper analyzes two major channels of P2P lending risk contagion in China—direct risk contagion between platforms and indirect risk contagion with other financial organizations as the contagion medium  ...  Conclusions This paper analyzes the network structure and characteristics of risk infection in China's online network lending systems, through establishment of a dynamic model of risk contagion.  ... 
doi:10.1155/2016/5013954 fatcat:qd4ismjdivaspl5xbcswdajvdi

An Analysis of Cambodia's Trade Flows: A Gravity Model

Sokchea Kim
2006 Social Science Research Network  
The analysis employs a gravity model with some modifications.  ...  Finally, the paper also shows consistent findings that ASEAN membership play little role in boosting trade flows in the region; however, the results in sub-period II suggest that ASEAN membership helps  ...  pooled OLS model and a random-effects model.  ... 
doi:10.2139/ssrn.1008121 fatcat:svc43uk2vzb63ijezbkz2gaesi

Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model

Vavrinec Cermak
2017 Social Science Research Network  
Bitcoin already behaves similarly to fiat currencies in China, the U.S. and the European Union but not in Japan. There is also evidence that Bitcoin acts as a safe-haven asset in China.  ...  A GARCH(1,1) model is used to analyze Bitcoin's volatility in respect to the macroeconomic variables of countries where Bitcoin is being traded the most.  ...  Government Regulations In December of 2013, the People's Bank of China (PBoC) banned Chinese banks from handling Bitcoin transactions citing risks of money laundering and protecting financial stability  ... 
doi:10.2139/ssrn.2961405 fatcat:lxi52au6x5bexhjkttphwrzoa4

A Network-Based Data Envelope Analysis Model in a Dynamic Balanced Score Card

Mojtaba Akbarian, Esmaeil Najafi, Reza Tavakkoli-Moghaddam, Farhad Hosseinzadeh-Lotfi
2015 Mathematical Problems in Engineering  
Then, after identifying the network-DEA structure, a new objective function for measuring the efficiency of nine subsidiary refineries of the National Iranian Oil Refining and Distribution Company (NIORDC  ...  In this paper, an integrated framework of the BSC and DEA models is proposed for measuring the efficiency during the time and along with strategies based on the time delay of the lag key performance indicators  ...  [8] used an integrated DEA and BSC model to measure the selection of KPI results at a credit cooperative bank in Taiwan with four models.  ... 
doi:10.1155/2015/914108 fatcat:tg4s4bbkcvd4njz46y3rjp7ajq

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi, Alessandro Rebucci
2020 Social Science Research Network  
Finally, we show how the model can be used for counterfactual analysis.  ...  However, none of these features apply to non-linear dynamic models, which as argued a priori and established empirically, are more likely to be relevant for the analysis of large shocks, such as Covid-  ...  The GVAR model has been used in a range of studies, such as stress testing of banks by the European Central Bank regulators, the analysis of China's growing importance for the global economy (Cesa-Bianchi  ... 
doi:10.2139/ssrn.3697706 fatcat:kidyh4zvk5cbpixssnpaoaipju

Applying Importance Measures to Risk Analysis in Engineering Project Using a Risk Network Model

Chao Fang, Franck Marle, Min Xie
2017 IEEE Systems Journal  
This involves modeling the complex project risk network and providing complementary analysis results based on risk importance measures accounting for risk interactions.  ...   Abstract-Risk analysis and prioritization is a key process in project risk management. Its outcomes serve as input of the risk response planning process where decisions are made.  ...  A modeling and analysis process of the risk network will be used in this paper based on previous works [20] .  ... 
doi:10.1109/jsyst.2016.2536701 fatcat:ctth2yuxwzggvdmqeyvymp3ama

From Ecology to Finance (and Back?): A Review on Entropy-Based Null Models for the Analysis of Bipartite Networks

Mika J. Straka, Guido Caldarelli, Tiziano Squartini, Fabio Saracco
2018 Journal of statistical physics  
Bipartite networks provide an insightful representation of many systems, ranging from mutualistic networks of species interactions to investment networks in finance.  ...  With this in mind, we briefly review several entropy-based bipartite null models that have been recently proposed and discuss their application to several real-world systems.  ...  In an recent article, a dynamical model for the analysis of shocks in the bank-asset network has been presented and applied to the Venezuelan banking system [59] .  ... 
doi:10.1007/s10955-018-2039-4 fatcat:4yhi4h245zcttect5ulow24dn4

Distressed Firm and Bankruptcy Prediction in an International Context: A Review and Empirical Analysis of Altman's Z-Score Model

Edward I. Altman, Malgorzata Iwanicz-Drozdowska, Erkki K. Laitinen, Arto Suvas
2014 Social Science Research Network  
The analysis in this study shows that while a general international model works reasonably well, for most countries, with prediction accuracy levels of about 75%, and exceptionally well for some (above  ...  In some country models, the information provided by additional variables helps boost the classification accuracy to a higher level.  ...  The top-five popular techniques were: (1) multiple discriminant analysis, (2) the logit model, (3) neural network, (4) contingent claims and (5) univariate analysis.  ... 
doi:10.2139/ssrn.2536340 fatcat:a44esice5rawzaygkon2iz6dyi

A Method of Enterprise Financial Risk Analysis and Early Warning Based on Decision Tree Model

Xianfu Wei, Jian Su
2021 Security and Communication Networks  
At present, the domestic and foreign financial crisis early-warning model research will provide only prediction accuracy as the only standard of success for early-warning model, ignoring an important problem  ...  , namely, will the financial crisis early-warning model for normal business, compared with the normal enterprise, forecast the financial crisis?  ...  [1] added the Benford factor to the financial early-warning system and used the Lasso-logistic model to build a financial risk early-warning model. Cielen et al.  ... 
doi:10.1155/2021/6950711 fatcat:7jrxlixg4jd2ljibbj4nrkco6u

Landslide Deformation Prediction Based on a GNSS Time Series Analysis and Recurrent Neural Network Model

Jing Wang, Guigen Nie, Shengjun Gao, Shuguang Wu, Haiyang Li, Xiaobing Ren
2021 Remote Sensing  
This paper develops a novel Attention Mechanism with Long Short Time Memory Neural Network (AMLSTM NN) model based on Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) landslide  ...  The prediction of landslide displacement is a challenging and essential task. It is thus very important to choose a suitable displacement prediction model.  ...  Reliable early warning systems are a reasonable approach for landslide risk reduction [3, 4] .  ... 
doi:10.3390/rs13061055 fatcat:4pg436i4xjel7ip6vxgqgrbyye

A RBF neural network model for anti-money laundering

Lin-Tao Lv, Na Ji, Jiu-Long Zhang
2008 2008 International Conference on Wavelet Analysis and Pattern Recognition  
Aiming at the low detection rate of suspicious transaction at home and abroad in financial field, and with an analysis of radial basis function (RBF) neural network, we propose a radial basis function  ...  neural network model based on APC-III clustering algorithm and recursive least square algorithm for anti-money laundering (AML).  ...  Acknowledgements This work is supported by the Education Department Natural Science Research Project of Shaanxi Province, China under Grant No. 07JK339  ... 
doi:10.1109/icwapr.2008.4635778 fatcat:jvaqbe4tybhupegrcaawosw5mq
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