Systemic important institutions, systemic vulnerable institutions based on revised DebtRank algorithm

HUANG Yanqu, HU Zongyi, YU Caiping

Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (2) : 311-318.

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Systems Engineering - Theory & Practice ›› 2019, Vol. 39 ›› Issue (2) : 311-318. DOI: 10.12011/1000-6788-2017-1222-08

Systemic important institutions, systemic vulnerable institutions based on revised DebtRank algorithm

  • HUANG Yanqu1,2, HU Zongyi3, YU Caiping4
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Abstract

The DebtRank algorithm is improved from influence factor, communication mode and influence degree and applied to the interbank lending market model. It is found that the loss of the system is equal to the contribution of each institution to the loss of the system under the improved DebtRank algorithm without the occurrence of institutional failure. The system losses and institutional losses caused by different initial shocks are independent. According to the vulnerability of the system, the importance of the system decision by endogenous, gives the definition of system importance, vulnerability weights and order, prove the system order, the general order of systemic importance, systemic vulnerability respectively decided by the loss matrix column vector and initial vector, the loss matrix row vector and the initial vector. In addition, the research on interbank lending market in China shows that the systemic importance of the institution is not consistent with the systemic vulnerability, and changes with time. Finally, policy recommendations for systemic risk regulation are put forward.

Key words

DebtRank algorithm / systemic importance / systemic vulnerability

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HUANG Yanqu , HU Zongyi , YU Caiping. Systemic important institutions, systemic vulnerable institutions based on revised DebtRank algorithm. Systems Engineering - Theory & Practice, 2019, 39(2): 311-318 https://doi.org/10.12011/1000-6788-2017-1222-08

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Funding

National Social Science Youth Fund of China (15CGL018);Social Science Project of Hunan Province (11YBA010)
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