This paper is dedicated to building a multilayer financial network within banking sectors and firm sectors (nonbanking) on the balance sheet of two types of agents and to assessing systemic risk contagion in the reconstructed network. Two propagation channels due to interbank credit and counterparty risk via banks’ loans to firms are comprehensively taken into account in systemic risk contagion assessment, which is based on the DebtRank model by analyzing the relative loss of each bank’s equity and the vulnerability of the network. The computational simulation on how systemic risk contagious process evolves has been conducted, where the possible influential factors of network structure, agent’s initial risk status, external shock ratio, liquidity flow rate, and different layers of the network are considered. The findings show that the reconstructed network is absolutely vulnerable under the assumed market circumstance without any bailouts and the risk contagion process shows nonlinear behavior. Specifically, when the average degree of the network and the external shock ratio increases, the risk contagion speed becomes relatively high and the resulting negative effects on the network are more intense. Besides, risks originating from the failed firms in bank-firm layer should place more negative effect on the financial system than that only happening in interbank market. Different liquidity rates in financial market could lead to obvious discrepancy of the risk contagion speed and the extent of asset loss. Additionally, the two layers of the network have diverse influences on risk contagious process resulting in totally different banks’ status in each layer.

中文翻译：

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基于DebtRank模型的银行和企业部门内部重组金融信贷网络中的系统性风险传染

本文致力于在两种代理人的资产负债表上，在银行部门和企业部门（非银行部门）之间建立多层金融网络，并评估重建网络中的系统性风险传染。在系统性风险传染评估中，综合考虑了银行间信贷和交易对手通过银行借给企业的对手方风险产生的两个传播渠道，该系统基于DebtRank模型，通过分析每家银行股权的相对损失和网络的脆弱性来进行评估。已经进行了关于系统风险传染过程如何演变的计算模拟，其中考虑了网络结构，代理商的初始风险状态，外部冲击率，流动性流量以及网络的不同层次的可能影响因素。研究结果表明，在假定的市场情况下，重建的网络绝对是脆弱的，没有任何纾困，风险蔓延过程显示出非线性行为。具体地，当网络的平均程度和外部冲击率增加时，风险蔓延速度变得相对较高，并且由此对网络造成的负面影响更加强烈。此外，与仅在银行间市场发生的风险相比，源自银行公司层破产企业的风险对金融体系的负面影响更大。金融市场中不同的流动性比率可能导致风险蔓延速度和资产损失程度明显不同。另外，