Inter-bank Risk Contagion Effect under the Framework of Animal Infectious Disease Model

  • Yunzhe Liu

Abstract

With the rapid development of the domestic and international economy, the development, stability and improvement of the financial industry has become an increasingly important research field. This paper studies the risk transmission mechanism of the interbank market by establishing an animal infectious disease model. From the results of empirical simulations, the types and scales of banks, the scale of the industry, the capital adequacy ratio and the default loss rate are all related to the risk contagion of the interbank market influences. In this paper, the inter-bank market is the main target of the study. The data of interbank borrowing and interbank deposits disclosed in the 2016-2018 annual report of domestic large, medium and small banks are selected to estimate the most likely interbank market lending matrix. The experimental results show that once the bankruptcy of Bank of China and Industrial and Commercial Bank as a systemically important bank will cause a certain scale of damage to the banking system; urban commercial banks and rural commercial banks are most vulnerable to risk contagion and fall into crisis; Banks are related to their inter-bank assets size and capital adequacy ratio and net capital; once risk is formed, the more rounds of infection, the greater the impact on the banking system.

Published
2019-02-01