Analysis of Systemic Risk Based on the Rollover Risk Model
Cheng Peng · Journal of Anshan Normal University · 2012
From the perspective of network topology,we discuss the systemic risk caused by the horizontal risk-sharing mechanism.In this paper,we set up the rollover risk model.Based on the model,we analysis the pairwise stability network including the clustered network and the ring network,and compare the effects of topological structure on systemic risk from the aspects of contagion and fragility.The result shows us that the systemic risk can be induced by the horizontal risk sharing mechanism when the exogenous shock happens,and the topological structure of network will affect systemic risk.