A RESEARCH ON RISK CONTAGION OF CHINESE INTERBANK MARKET
Journal Title: INTERNATIONAL JOURNAL OF ENGINEERING TECHNOLOGIES AND MANAGEMENT RESEARCH - Year 2017, Vol 4, Issue 7
Abstract
The paper investigates contagion risk of interbank market via matrix method with a complete network structure. We make a study of contagion risk and the proportion of failed bank assets by exploiting the two conditions of the core capital adequacy ratio is less than 6% and the loss is higher than the bank’s tier 1 capital, and compares the size of the difference of liquidity ratio before and after the risk. The results show that we can more accurately obtain the order of bank failures based on the above three criteria. Meanwhile, (not) vulnerable banks and the sequence of importance of Bank of Communications, Minsheng Bank, Shanghai Pudong Development Bank and Industrial Bank are given in the banking system.
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- EP ID EP227668
- DOI 10.5281/zenodo.844061
- Views 145
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