The Random Network Structure and Systemic Risk in Interbank Market
Abstract: The random network is the important characteristics of the interbank market. Therefore, this paper uses the data of China interbank market to construct a random interbank network based on random graph. Then, based on the network constructed, the dynamical bank network system model is constructed. Considering the case of deposits shocks of the banks in the network system, we investigate the stability of random interbank network. The research results show that the random interbank network gets more unstable as deposits shocks increase while the connectivity among banks can make the network more stable. However, there is no monotonic linear relationship between connectivity and stability but an optimal connectivity for different deposits shocks. Within the optimal range of connectivity, the higher the connectivity is, the later the default occurs. Besides, banking system with high levels of connectivity tends to show avalanches, which means that excessive connectivity makes banking system unstable.
文章引用: 宋姗 , 范宏 (2016) 具有随机网络结构的银行系统稳定性研究。 管理科学与工程， 5， 167-176. doi: 10.12677/MSE.2016.54018
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