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Network structure,portfolio diversification and systemic risk

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We investigate the effect of portfolio diversification on banking systemic risk,where the network effect is incorporated.We analyze three kinds of interbank networks,namely,random networks,small-world networks and scale-free networks.We show that the effect of portfolio diversification on banking systemic risk depends on interbank network structures and shock types.First,systemic risk increases first and then reduces with the increase of the level of portfolio diversification in the case of the individual shock.Second,in the case of the systemic shock,systemic risk reduces with the increases of the level of portfolio diversification.Third,banking systems with scale-free network structures are the most stable,and those with small-world network structures are the most vulnerable.

Portfolio diversificationNetwork structureSystem riskBanking system

Shouwei Li、Chao Wang

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School of Economics and Management,Southeast University,Nanjing,211189,China

College of Finance,Nanjing Agricultural University,Nanjing,210095,China

This research is supported by National Natural Science Foundation of ChinaThis research is supported by National Natural Science Foundation of China16th Batch of"Six Talents Peak" High-level Talent Projects in Jiangsu Province (JY-004)Social Science Fund Project of Jiangsu Province

716710377197105519GLC005

2021

管理科学学报(英文)

管理科学学报(英文)

ISSN：2096-2320
年,卷(期)：2021.6(2)
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