Dynamic Guarantee Network Model and Risk Spill-over Effect

Ziyan Zhu; Xiaoxing Liu; Obaid Ur Rehman; Chenyi Wang

doi:10.1145/3505711.3505713

Dynamic Guarantee Network Model and Risk Spill-over Effect

Ziyan Zhu^*
, Xiaoxing Liu
, Obaid Ur Rehman
, Chenyi Wang

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We propose an empirical model framework named dynamic guarantee network model for real data analysis and numerical simulation. Firstly, stock prices' stochastic process and liquidation mechanism with fire-sale are involved in this model. Secondly, by initializing a random direct guarantee network, the simulation results show the positive correlation between systemic and firms' total assets or leverage ratio. Finally, we found the correspondence between risk spillover measured by CoVaR and risk contagion level BSP derived from this model, which supports the impact of guarantee network linkages on the systemic risk of Chinese list firms.

Original language	English
Title of host publication	ICAAI 2021 - 2021 5th International Conference on Advances in Artificial Intelligence
Publisher	Association for Computing Machinery
Pages	11-16
Number of pages	6
ISBN (Electronic)	9781450390699
DOIs	https://doi.org/10.1145/3505711.3505713
State	Published - 20 Nov 2021
Externally published	Yes
Event	5th International Conference on Advances in Artificial Intelligence, ICAAI 2021 - Virtual, Online, United Kingdom Duration: 20 Nov 2021 → 22 Nov 2021

Publication series

Name	ACM International Conference Proceeding Series

Conference

Conference	5th International Conference on Advances in Artificial Intelligence, ICAAI 2021
Country/Territory	United Kingdom
City	Virtual, Online
Period	20/11/21 → 22/11/21

Bibliographical note

Publisher Copyright:
© 2021 ACM.

Keywords

agent-based model
dynanmic guarantee network
empirical analysis
risk spillover
systemic risk

ASJC Scopus subject areas

Software
Human-Computer Interaction
Computer Vision and Pattern Recognition
Computer Networks and Communications

Access to Document

10.1145/3505711.3505713

Cite this

@inproceedings{1c6d0562cd8f4444a53ae6c44b317d7f,

title = "Dynamic Guarantee Network Model and Risk Spill-over Effect",

abstract = "We propose an empirical model framework named dynamic guarantee network model for real data analysis and numerical simulation. Firstly, stock prices' stochastic process and liquidation mechanism with fire-sale are involved in this model. Secondly, by initializing a random direct guarantee network, the simulation results show the positive correlation between systemic and firms' total assets or leverage ratio. Finally, we found the correspondence between risk spillover measured by CoVaR and risk contagion level BSP derived from this model, which supports the impact of guarantee network linkages on the systemic risk of Chinese list firms.",

keywords = "agent-based model, dynanmic guarantee network, empirical analysis, risk spillover, systemic risk",

author = "Ziyan Zhu and Xiaoxing Liu and Rehman, \{Obaid Ur\} and Chenyi Wang",

note = "Publisher Copyright: {\textcopyright} 2021 ACM.; 5th International Conference on Advances in Artificial Intelligence, ICAAI 2021 ; Conference date: 20-11-2021 Through 22-11-2021",

year = "2021",

month = nov,

day = "20",

doi = "10.1145/3505711.3505713",

language = "English",

series = "ACM International Conference Proceeding Series",

publisher = "Association for Computing Machinery",

pages = "11--16",

booktitle = "ICAAI 2021 - 2021 5th International Conference on Advances in Artificial Intelligence",

}

Zhu, Z, Liu, X, Rehman, OU & Wang, C 2021, Dynamic Guarantee Network Model and Risk Spill-over Effect. in ICAAI 2021 - 2021 5th International Conference on Advances in Artificial Intelligence. ACM International Conference Proceeding Series, Association for Computing Machinery, pp. 11-16, 5th International Conference on Advances in Artificial Intelligence, ICAAI 2021, Virtual, Online, United Kingdom, 20/11/21. https://doi.org/10.1145/3505711.3505713

Dynamic Guarantee Network Model and Risk Spill-over Effect. / Zhu, Ziyan; Liu, Xiaoxing; Rehman, Obaid Ur et al.
ICAAI 2021 - 2021 5th International Conference on Advances in Artificial Intelligence. Association for Computing Machinery, 2021. p. 11-16 (ACM International Conference Proceeding Series).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Dynamic Guarantee Network Model and Risk Spill-over Effect

AU - Zhu, Ziyan

AU - Liu, Xiaoxing

AU - Rehman, Obaid Ur

AU - Wang, Chenyi

PY - 2021/11/20

Y1 - 2021/11/20

N2 - We propose an empirical model framework named dynamic guarantee network model for real data analysis and numerical simulation. Firstly, stock prices' stochastic process and liquidation mechanism with fire-sale are involved in this model. Secondly, by initializing a random direct guarantee network, the simulation results show the positive correlation between systemic and firms' total assets or leverage ratio. Finally, we found the correspondence between risk spillover measured by CoVaR and risk contagion level BSP derived from this model, which supports the impact of guarantee network linkages on the systemic risk of Chinese list firms.

AB - We propose an empirical model framework named dynamic guarantee network model for real data analysis and numerical simulation. Firstly, stock prices' stochastic process and liquidation mechanism with fire-sale are involved in this model. Secondly, by initializing a random direct guarantee network, the simulation results show the positive correlation between systemic and firms' total assets or leverage ratio. Finally, we found the correspondence between risk spillover measured by CoVaR and risk contagion level BSP derived from this model, which supports the impact of guarantee network linkages on the systemic risk of Chinese list firms.

KW - agent-based model

KW - dynanmic guarantee network

KW - empirical analysis

KW - risk spillover

KW - systemic risk

UR - https://www.scopus.com/pages/publications/85127577335

U2 - 10.1145/3505711.3505713

DO - 10.1145/3505711.3505713

M3 - Conference contribution

AN - SCOPUS:85127577335

T3 - ACM International Conference Proceeding Series

SP - 11

EP - 16

BT - ICAAI 2021 - 2021 5th International Conference on Advances in Artificial Intelligence

PB - Association for Computing Machinery

T2 - 5th International Conference on Advances in Artificial Intelligence, ICAAI 2021

Y2 - 20 November 2021 through 22 November 2021

ER -

Dynamic Guarantee Network Model and Risk Spill-over Effect

Abstract

Publication series

Conference

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this