Article
Systemic risk in financial institutions: A multiplex network approach
Pacific-Basin Finance Journal
(2022)
Abstract
We examine the systemic risk spillovers of Chinese financial institutions using a multiplex network. A multiplex network is based on different dependency measures with dynamic conditional correlations and by a planar maximally filtered graph. We find that more information is included in a multiplex network than in single-layer networks. The systemic importance of institutions varies over time, which would be ignored without consideration of various inter-agent correlations. The results show that an individual institution's contributions to the system significantly diminish as the node strength increases. The greater the closeness centralities of nodes, the more vulnerable the system is to shocks.
Keywords
- DCC,
- Financial multiplex network,
- PMFG,
- Systemic risk,
- t-copula-CoVaR
Disciplines
Publication Date
June, 2022
DOI
10.1016/j.pacfin.2022.101752
Citation Information
Yiwei Xie, Feng Jiao, Shihan Li, Qingfu Liu, et al.. "Systemic risk in financial institutions: A multiplex network approach" Pacific-Basin Finance Journal Vol. 73 (2022) Available at: http://works.bepress.com/yiuman-tse/145/