Investigating Banking Systemic Risk of Dynamic Multilayer Networks with CDS
The subprime mortgage crisis in the United States shows that CDS significantly impacts banking systemic risk,but the mechanism of how CDS affects banking systemic risk is still un-clear.This paper first constructs a dynamic multi-layer banking network model with CDS inter-actions to study the dual impact of CDS on the banking system in both volatile and stable eco-nomic environments.The results show that when the economy is stable,CDS has a positive ab-sorption effect,which successfully transfers the risk and reduces the banking systemic risk;When the economy is volatile,the excess risk assets released by banks due to CDS are trans-formed into new systemic risk;the size of CDS is negatively correlated with the banking systemic risk and there is a critical value of size.
credit default swap(CDS)systemic riskbank-firm credit riskrisk transfer
万方数据
维普
