Asset heterogeneity is an important characteristic of financial institutions.This paper establishes an improved complex network model with asset heterogeneity to study China's financial system's systemically important assets,institutions,and vulnerability.Utilizing annual report data from 42 banks between 2015 and 2022,we construct an interbank network using the maximum entropy method and the minimal density method.We simulate systemic risks caused by the financial system under different shock intensities through default settlement and fire sale channels.The importance of each asset is measured by selling the shocked assets.The initial selling banks are considered the source of systemic risk through indirect channels.The study finds that the systemic risks generated by bank fire sales and default settlements alone are relatively low;however,when combined,these channels can cause significant harm.The results indicate that in China's banking system,systemic importance assets include those in the manufacturing,transportation,warehousing,leasing,business services,and real estate sectors.Banks such as the Bank of China,Agricultural Bank of China,Industrial and Commercial Bank of China,China Construction Bank,Bank of Communications,Postal Savings Bank of China,and China Merchants Bank have a high degree of systemic importance.Some city commercial banks are identified as vulnerable institutions.The convergent investments of various city commercial banks and joint-stock banks,due to flexible operations,are the main sources of contagion risk through indirect channels.
关键词
资产异质性/系统性风险/系统重要性资产/系统重要性机构/系统脆弱性机构
Key words
asset heterogeneity/systemic risk/systemically important assets/systemically important financial institutions(SIFIs)/systemically important vulnerable institutions
维普
万方数据