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| Systemic Risk Contagion of Interbank Network Based on Risk-Averse Behaviors |
| HAN Jingti1,2, CAO Yu1a
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1. a.School of Information Management and Engineering,b.Laboratory Center, Shanghai University of Finance and Economics,Shanghai 200433, China;
2. Shanghai Key Laboratory of Financial Information Technology,Shanghai 200433,China |
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Abstract We build an interbank network model based on risk-averse behaviors. On a heterogeneous network structure, we explore the relationship between risk-averse behaviors of banks and systemic risk contagion, specifically, liquidity hoarding, fire sales behaviors and the composition of risk-averse behaviors. The simulation results show that liquidity hoarding behaviors mitigate systemic risk contagion at early stage, fire sales behaviors have little effect on mitigating systemic risk contagion and the composition of risk-averse behaviors exacerbate the systemic risk contagion. Heterogeneous network is more robust than the homogenous network if risk-averse behaviors exist, otherwise the homogeneous network is more stable. Furthermore, bank asset heterogeneity has no significant effect on systemic risk contagion.
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Received: 24 May 2015
Published: 24 February 2025
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