标题:USING WEIGHTED SHAPLEY VALUES TO MEASURE THE SYSTEMIC RISK OF INTERCONNECTED BANKS
作者:Lin, Junshan
通讯作者:Lin, JS
作者机构:[Lin, Junshan] Shandong Univ, Jinan, Shandong, Peoples R China.
会议名称:Conference on China's Financial Liberalization
会议日期:SEP 15-16, 2016
来源:PACIFIC ECONOMIC REVIEW
出版年:2018
卷:23
期:2
页码:244-270
DOI:10.1111/1468-0106.12155
摘要:A macro-prudential approach to financial regulation should reasonably evaluate the systemic risk of individual institutions. We introduce a measure of the systemic risk of interconnected banks using the weighted Shapley value, which characterizes banks' systemic risk by capturing two characteristics: (i) a bank's risk exposure of the primitive asset structure; and (ii) its position in the interbank network. An empirical implementation reveals that the primitive asset structure and interbank connections are main drivers of each bank's systemic risk. In addition, different types of interbank linkages (debt or share) make significant differences in affecting an individual bank's systemic risk.
收录类别:CPCI-SSH;SCOPUS;SSCI
WOS核心被引频次:1
Scopus被引频次:1
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963704883&doi=10.1111%2f1468-0106.12155&partnerID=40&md5=7650f44afd320ff9f4232ea18ffb4222
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