Abstract:

In order to research the shock‘s contagion in a complex financial network,and to measure the systemic risk,the impact of operational event on the other participants and settlement efficiency of system under different scenarios are studied based on the mathematical modeling and simulation.The results show that the importance and position of risky bank in payment networks determine the scale and distribution of first order shocks.The distribution of first order shocks,the liquidity level and the robustness of participants determine the scale and distribution of second order shocks.Constructed systemic effect index can be a good-fitting tool for the measurement of systemic risk.

Key words: large value payment system, systemic risk, operational risk, liquidity shock