Bank multiplex networks and systemic risk

Abstract

Considering the difference in the maturity of interbank lending, this paper proposes a multiplex network model of banks with an arbitrary structure, and then conducts simulation analysis of systemic risk. First, we find that with the increase of the net worth, systemic risk presents a nonlinear decreasing trend. Second, the effect of systemic risk in most cases increases with the increase of the lending scale, only the long-term effect of systemic risk is negatively correlated with the short-term lending scale. Finally, with the increase of the average degree of a single-layer network, systemic risk shows a decreasing trend on the whole.