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Financial networks and systemic risk in China's banking system

Lixin Sun ()

Finance Research Letters, 2020, vol. 34, issue C

Abstract: The paper investigates the contagion effects and systemic risk in China's commercial banks system based on the balance sheet data. First, we quantify contagiousness and vulnerability for China's banking system without considering the detailed topology of interbank networks. Second, we estimate the detailed bilateral exposures matrix of the interbank network to examine the snowball effects of financial contagion. The simulation results from two alternative approaches are consistent. Both suggest that the contagious risk arising from an assumed bank failure is trivial, whereas the amplification effects of the losses due to the financial interlinkage are non-trivial.

Keywords: Balance sheets; Interbank networks; Financial contagion; Systemic risk; China's banking system (search for similar items in EconPapers)
JEL-codes: D85 G21 G28 (search for similar items in EconPapers)
Date: 2020
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Working Paper: Financial Networks and Systemic Risk in China’s Banking System (2018) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930368x

DOI: 10.1016/j.frl.2019.07.009

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