은행 상호 연계 시스템리스크에 관한 실증분석

This paper empirically analyzed bank systemic risk by constructing a network of banks based on the graph theory. To this end, the systemic risk measure was defined using the network and a risk measure of each bank. Based on this methodology, the Korean bank systemic risk is investigated using the bank loans and borrowings in a bank network at the end of March, 2013. This research verifies the bank systemic risks increase by the number or the strength of interconnections in a network of banks. In addition, it is shown that the bank systemic risks are increased by the risk of each bank in the network. The contribution of each bank to the systemic risk are affected by the risk of each banks. However, from the perspectives of the potential systemic risks(incremental risk to the bank systemic risks), the number or strength of interconnections in the bank network look like more important than the risk of each bank. By removing the higher or stronger links in the network, we can decrease the bank systemic risk in the network.