Measuring Financial Systemic Risk:Net Liability Clearing Mechanism and Contagion Effect  

作　　者：MA Jiali ZHU Shushang LI Duan 

机构地区：[1]College of Big Data Statistics,Guizhou University of Finance and Economics,Guiyang 550025,China [2]School of Business,Sun Yat-Sen University,Guangzhou 510275,China [3]School of Data Science,City University of Hong Kong,Hong Kong 999077,China

出　　处：《Journal of Systems Science & Complexity》2024年第3期1114-1146,共33页系统科学与复杂性学报（英文版）

基　　金：partially supported by the National Natural Science Foundation of China under Grant Nos.72201074,72271250,and 71721001;the Natural Science Foundation of Guangdong Province under Grant No.2021A1515011816。

摘　　要：Following the framework of E-N model(Eisenberg and Noe,2001),the authors consider a new clearing mechanism based on net liabilities among financial institutions since the liabilities between the counterparties should be deducted accordingly when clearing in practice.As the basis for systemic risk measurement,similar to the original E-N model,the authors first establish some good properties for the clearing payment vector according to a more general model.Then,the authors investigate how risk spreads among institutions through the liability network forming the risk contagion channel.Finally,the authors illustrate with a specific example that the original E-N clearing mechanism may misidentify the systemic important institutions,and theoretically show that it may also overestimate the risk compared with the netting clearing mechanism.

关 键 词：Clearing mechanism contagion net liability network systemic risk 

分 类 号：F830[经济管理—金融学]