|
|||||
|
|
Systemic Risk in the Chinese Shadow Banking System: A Sector-Level Perspective |
|
| Authors: | Guangning Tian Jianjun Li Ying Xue Sara Hsu |
| Affiliation: | 1. School of Economics and Management, North China Electric Power University, Beijing, China;2. School of Finance, Central University of Finance and Economics Beijing, Beijing, China;3. Treasury Department, China Everbright Bank, Beijing, China;4. Department of Economics, State University of New York at New Paltz, New Paltz, New York, USA |
| Abstract: | We propose to measure the systemic risk in the shadow banking sector. Instead of testing how many institutions will fail due to the initial breakdown of one institution as extant network models do, we associate the systemic risk of one shadow banking sector with the total amount of unexpected losses it might generate both directly and indirectly. Our model focuses on balance sheet contagion and applies a loop algorithm to risk transfer. The result shows that trust companies were the main culprit of financial instability and commercial banks assumed the main risks over 2007–12 in the Chinese shadow banking system. |
| Keywords: | balance sheet contagion network model shadow banking systemic risk |