1. Faculty of Business and Economics, University of Antwerp, Antwerp, Belgium;2. Faculty of Business and Economics, University of Antwerp, Antwerp, Belgium
Antwerp Management School, Antwerp, Belgium
Abstract:
This paper uses an agent-based model to construct an interbank network for the Chinese interbank market using a sample of 299 commercial banks from 2014 to 2019. We analyze the importance and vulnerability of banks using the DebtRank algorithm. Our results show that the Chinese interbank market bears a certain level of systemic risk, especially among lower-tiered banks. The results also show a bank is more vulnerable if it has a higher interbank lending ratio and greater financial connectivity. Meanwhile, a bank is more influential if it has a larger net worth and greater financial connectivity.