We analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes, viz. Marginal Expected Shortfall, Delta Conditional Value-at-Risk, and Conditional Capital Shortfall Measure of Systemic Risk in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogous to the R number in epidemic models. For this regulatory capital thresholds are used. Furthermore, network centrality measures identify systemically important and vulnerable banking systems. Market price-based SRIs are contemporaneous with the crisis and they are found to covary with risk measures like VaR and betas.

我们使用一种新的基于网络的谱特征对方法来分析核心全球银行系统中的系统性风险，该方法将网络故障视为一个动态系统稳定性问题。这与基于市场价格的系统性风险指数进行了比较，即。边际预期缺口、Delta 条件风险价值和条件资本缺口衡量跨境环境中的系统性风险。与基于市场价格的悖论风险测度在资产价格暴涨时期低估风险不同，基于双边资产负债表数据的特征对方法根据类似于流行病中的 R 数的临界点给出不稳定的预警楷模。为此，使用了监管资本门槛。此外，网络中心性措施确定了具有系统重要性和脆弱性的银行系统。