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There have been many researches and rich results on the system risk in bank network systems that use complex network theory. Researches to date focus on the relationship between the contagion of the risk and the structure of the network after risk bursting, based on the assumptions that the accumulation of the system risk in network systems has approached the critical point of bursting and that the network is static (both the node and connection of the bank network are static).However, the problem why the system risk accumulates gradually and finally bursts in the network has not been addressed yet. The study on the system risk accumulation can only be conducted in dynamically evolving bank network systems; and the risk can be observed clearly only if the system risk is evaluated quantitatively. Therefore, a dynamically evolving complex bank network system, which has nodes of dynamic behavior and exhibits macroeconomic trends, is modelled first in the present paper. A lending-borrowing algorithm and a multi-term clearing algorithm for the dynamic bank network system are designed, and the method for calculating the system risk is proposed also. Finally, the system risk is calculated and analyzed by simulation. The curve of the system risk evolving with time is shown and the process of the accumulation of the system risk can be observed clearly. Researches in the present paper are to lay a foundation for the quantitative study of the system risk accumulation in dynamically evolving bank network systems.
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Keywords:
- complex network system /
- complex dynamical bank network /
- system risk /
- system risk accumulation
[1] Allen F, Gale D 2000 Journal of Political Economy 108 1
[2] Diamond D, Dybvig P 1983 Journal of Political Economy 91 401
[3] Freixas X, Parigi B, Rochet J C 2000 Journal of Money, Credit and Banking 32 611
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[5] Vivier-Lirimont S 2004 Cahiers de la Maison Des Sciences Economiques, Université Pairs Panthéon-Sorbonne
[6] Dasgupta A 2004 Journal of European Economic Association 2 1049
[7] Iori G 2006 Journal of Economic Behavior and Organization 61 525
[8] Nier E, Yang J, Yorulmazer T 2007 Journal of Economic Dynamics and Control 31 2033
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[10] Lenzu S, Tedeschi G 2012 Physica A 391 4331
[11] Lagunoff R, Schreft L 2001 Journal of Economic Theory 99 220
[12] Harald U 2010 Journal of Monetary Economics 57 78
[13] Devries C 2005 Journal of Banking and Finance 29 803
[14] Cifuentes R 2005 Journal of European Economic Association 3 556
[15] Jiang Z H, Wang H, Gao C 2011 Acta Phys. Sin. 60 0 5893 (in Chinese) [姜志宏, 王晖, 高超 2011 物理学报 60 058903]
[16] Tang J, Scellato S, Musolesi M, Mascolo C, Latora V 2010 Phys. Rev. E 81 0 55101
[17] Ding Y M, Yang C P 2012 Acta Phys. Sin. 61 2 38901(in Chinese) [丁益民, 杨昌平 2012 物理学报 61 238901]
[18] Yang H X, Wang W X, Xie Y B, Lai Y C, Wang B H 2011 Phys. Rev. E 83 0 16102
[19] Tian L X, He Y H, Huang Y 2012 Acta Phys. Sin. 61 2 28903 (in Chinese) [田立新, 贺莹环, 黄益 2012 物理学报 61 228903]
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[1] Allen F, Gale D 2000 Journal of Political Economy 108 1
[2] Diamond D, Dybvig P 1983 Journal of Political Economy 91 401
[3] Freixas X, Parigi B, Rochet J C 2000 Journal of Money, Credit and Banking 32 611
[4] Leitner Y 2005 Journal of Finance 60 2925
[5] Vivier-Lirimont S 2004 Cahiers de la Maison Des Sciences Economiques, Université Pairs Panthéon-Sorbonne
[6] Dasgupta A 2004 Journal of European Economic Association 2 1049
[7] Iori G 2006 Journal of Economic Behavior and Organization 61 525
[8] Nier E, Yang J, Yorulmazer T 2007 Journal of Economic Dynamics and Control 31 2033
[9] Caccioli F, Catanach T A, Farmer J D 2012 Advances Complex Systems 15 1 250058
[10] Lenzu S, Tedeschi G 2012 Physica A 391 4331
[11] Lagunoff R, Schreft L 2001 Journal of Economic Theory 99 220
[12] Harald U 2010 Journal of Monetary Economics 57 78
[13] Devries C 2005 Journal of Banking and Finance 29 803
[14] Cifuentes R 2005 Journal of European Economic Association 3 556
[15] Jiang Z H, Wang H, Gao C 2011 Acta Phys. Sin. 60 0 5893 (in Chinese) [姜志宏, 王晖, 高超 2011 物理学报 60 058903]
[16] Tang J, Scellato S, Musolesi M, Mascolo C, Latora V 2010 Phys. Rev. E 81 0 55101
[17] Ding Y M, Yang C P 2012 Acta Phys. Sin. 61 2 38901(in Chinese) [丁益民, 杨昌平 2012 物理学报 61 238901]
[18] Yang H X, Wang W X, Xie Y B, Lai Y C, Wang B H 2011 Phys. Rev. E 83 0 16102
[19] Tian L X, He Y H, Huang Y 2012 Acta Phys. Sin. 61 2 28903 (in Chinese) [田立新, 贺莹环, 黄益 2012 物理学报 61 228903]
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