Systemic risk and dynamics of contagion: a duplex inter-bank network
构建了由信贷关系和信息交互构成的双层银行网络，研究违约和流动性感染的传染机制，发现不对称信息交互会增加系统僵化，导致流动性短缺甚至市场崩溃。
This paper constructs a duplex banking network formed by credit relationships and information interaction via the banks’ balance sheet to model the structure of systemic risk and investigate the dynamic mechanism of contagion in terms of default and liquidity infection along with the factors that affect the extent of the contagion. We systematically explain the role that duplex banking networks play in different aspects of risk contagion. Through theoretical analysis and simulations, we conclude that asymmetric information interaction would increase the inflexibility of the system, which leads to liquidity shortage and possibly the collapse of the whole market. The weakness of systemic risk in the interior of the complex banking system can be characterized by the partial discount factor using illiquid assets in the information network. By improving the connectedness of the information network of the duplex networks, the spread of contagion can be partially slowed.