Applying Minimum Spanning Tree (MST) and Planar Maximally Filtered Graph approaches to construct and analyze financial market network can dynamically identify the systemic importance of the nodes in financial networks, and the uniqueness of MST can be used to analyze the contagion mechanism of systemic risk completely and straightforwardly. Using data from inter-bank borrowing market, the effectiveness and robustness of this method are proved. Particularly, MST provides an intuitive and effective approach to identify the potential contagion path of systemic risks as well as the macro prudential regulation systemic risks.
OUYANG Hong-bing, LIU Xiao-dong
. An Analysis of the Systemic Importance and Systemic Risk Contagion Mechanism of China's Financial Institutions Based on Network Analysis[J]. Chinese Journal of Management Science, 2015
, 23(10)
: 30
-37
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.10.004
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