文献类型：期刊文献

英文题名：MEASUREMENT AND INTERNALIZATION OF SYSTEMIC RISK IN A GLOBAL BANKING NETWORK

作者：Feng, Xiaobing[1,2,3];Hu, Haibo[4]

机构：[1]Shanghai Inst Foreign Trade, Coll Finance, Shanghai 201620, Peoples R China;[2]Shanghai Jiao Tong Univ, Antai Management Sch, Shanghai 200240, Peoples R China;[3]Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China;[4]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2013

卷号：24

期号：1

外文期刊名：INTERNATIONAL JOURNAL OF MODERN PHYSICS C

收录：;WOS:【SSCI(收录号:WOS:000316808000006)，SCI-EXPANDED(收录号:WOS:000316808000006)】；

基金：This study is partly supported by Leading Academic Discipline Project of Shanghai Municipal Education Commission (No. J51206), National Education Commission Project (No. 11YJA790030), Shanghai Social Science Fund Project (No. 2011BJB015), Shanghai Municipal Education Commission Innovation Project (No. 12ZS166), National Post-Doc Fund (No. 2011M5000786), Fundamental Research Funds for the Central Universities and National Natural Science Foundation of China (No. 61104139). Feedbacks from the 5th Shanghai International Symposium on Nonlinear Sciences and Applications 2012 are appreciated. The authors would like to thank Xiaoyan Huang, Jingjie Gu for research assistance.

语种：英文

外文关键词：Systemic risk; measurement; epidemic spreading model; complex system; SV

摘要：The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions using a Susceptible-Infected-Removable (SIR) type of epidemic spreading model and the Shapley value (SV) in game theory. The paper also explores features of a constructed bank network using real globe-wide banking data.