Abstract
The research of financial systemic risk is an important issue, however the research on the financial systemic risk in ASEAN region lacks. This paper uses the minimum density method to calculate the interbank network of ASEAN countries and uses the node centrality to judge the systemically important banks of various countries. Then the DebtRank algorithm is constructed to calculate the systemic risk value based on the interbank network. By comparing the systemic risk values obtained through the initial impact on the system important banks and non-important banks, we find that the systemic risk tends to reach the peak in the case of the initial impact on the system important banks. Furthermore, it is found that countries with high intermediary centrality and closeness centrality have higher systemic risk. It suggests that the regulatory authorities should implement legal supervision, strict supervision, and comprehensive supervision for key risk areas and weak links.
Highlights
Based on history and development conditions, the financial development and structure of ASEAN countries have their own characteristics, and there are great differences among different countries
Systemically important banks tend to have a higher proportion of assets
This paper used the minimum density method, complex network method, and the DebtRank algorithm to study the systemic risk in ASEAN countries, such as Brunei, Cambodia, Indonesia, Laos, Malaysia, Myanmar, the Philippines, Singapore, Thailand, and Vietnam et al First, the minimum density method was used to construct the interbank network of ASEAN countries
Summary
Based on history and development conditions, the financial development and structure of ASEAN countries have their own characteristics, and there are great differences among different countries. The financial industry structure of ASEAN countries shows strong bank-dominated characteristics. The bank-dominated financial system is likely to lead to low resource allocation efficiency and increase bad debts of banks, increasing the systemic risk of the banking industry. Systemic risk refers to that the financial system is subjected to external shocks or changes in internal structure, which causes a common shock to the whole system. The banking-oriented financial system still lacks a perfect supervision mechanism. Under the background of the increasingly close relationship between the globalization and the financial institutions in ASEAN countries, it is urgent to study the important systemic banks and their systemic risks in ASEAN countries to help them discover the instability and potential systemic risk factors of the banking systems
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