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W3136114278 abstract "In this paper, we investigate the optimization of systemic risk based on Debt Rank by considering two contagion channels: interbank lending and common asset holdings. The optimization of systemic risk is realized through the reallocation of assets in these two networks (interbank lending and common asset holdings), and China’s interbank lending and sector loans data from 2017 is used to verify this scenario. The results show that under bank shock and asset shock, systemic risk can be signiﬁcantly reduced through the reallocation of assets in these two networks; the density of the optimized network is signiﬁcantly higher than that of the original network; and the scale of interbank assets of large-scale banks decreases, while the scale of common asset holdings increases in the optimized network. In addition, the results suggest that systemic risk can be lowered by reducing the existence of a high concentration of bank or sector portfolios, and that a low Herﬁndahl–Hirschman Index (HHI) plays a role in risk-sharing when there is a less high HHI." @default.
W3136114278 created "2021-03-29" @default.
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W3136114278 date "2021-02-25" @default.
W3136114278 modified "2023-09-26" @default.
W3136114278 title "Optimization of Systemic Risk: Reallocation of Assets Based on Bank Networks" @default.
W3136114278 hasPublicationYear "2021" @default.
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