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基于多层金融网络分析的银行系统重要性和风险特征
Qianqian Gao1, Hong Fan2, Chengyang Yu2
1School of Financial Technology, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, China.
Entropy (Basel, Switzerland)
|May 24, 2024
概括
中国中国中国中国.
科学领域:
- 金融经济学 金融经济学
- 网络分析 网络分析
- 风险管理 风险管理
背景情况:
- 由于国内和国际冲击,中国对系统风险管理的需求增加.
- 中国的金融体系包括银行,资产和企业,需要进行网络分析.
研究的目的:
- 估计中国的多层金融网络,并确定系统性重要机构.
- 评估网络结构对金融机构重要性的影响,并进行压力测试.
主要方法:
- 使用2021年银行系统数据估计中国的多层金融网络.
- 应用改进的PageRank算法来识别系统重要性.
- 对金融网络进行压力测试.
主要成果:
- 中国的金融网络稀疏,交易分布不均.
- 系统重要性与交易行为和市场参与有关.
- 交易集中显著影响金融机构的系统重要性.
结论:
- 改进的PageRank算法对中国金融网络的系统风险评估有效.
- 对银行系统的审慎监管至关重要.
- 监管机构和银行需要调整经济复苏和风险管理的战略.
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