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Authors: I. Lucas, N. Schomberg, F-A. Couturier

Abstract:

Most empirical studies have analyzed how liquidity risks faced by individual institutions turn into systemic risk. Recent banking crisis has highlighted the importance of grasping and controlling the systemic risk, and the acceptance by Central Banks to ease their monetary policies for saving default or illiquid banks. This last point shows that banks would pay less attention to liquidity risk which, in turn, can become a new important channel of loss. The financial regulation focuses on the most important and “systemic” banks in the global network. However, to quantify the expected loss associated with liquidity risk, it is worth to analyze sensitivity to this channel for the various elements of the global bank network. A small bank is not considered as potentially systemic; however the interaction of small banks all together can become a systemic element. This paper analyzes the impact of medium and small banks interaction on a set of banks which is considered as the core of the network. The proposed method uses the structure of agent-based model in a two-class environment. In first class, the data from actual balance sheets of 22 large and systemic banks (such as BNP Paribas or Barclays) are collected. In second one, to model a network as closely as possible to actual interbank market, 578 fictitious banks smaller than the ones belonging to first class have been split into two groups of small and medium ones. All banks are active on the European interbank network and have deposit and market activity. A simulation of 12 three month periods representing a midterm time interval three years is projected. In each period, there is a set of behavioral descriptions: repayment of matured loans, liquidation of deposits, income from securities, collection of new deposits, new demands of credit, and securities sale. The last two actions are part of refunding process developed in this paper. To strengthen reliability of proposed model, random parameters dynamics are managed with stochastic equations as rates the variations of which are generated by Vasicek model. The Central Bank is considered as the lender of last resort which allows banks to borrow at REPO rate and some ejection conditions of banks from the system are introduced.

Liquidity crunch due to exogenous crisis is simulated in the first class and the loss impact on other bank classes is analyzed though aggregate values representing the aggregate of loans and/or the aggregate of borrowing between classes. It is mainly shown that the three groups of European interbank network do not have the same response, and that intermediate banks are the most sensitive to liquidity risk.

Keywords: Systemic Risk, Financial Contagion, Liquidity Risk, Interbank Market, Network Model.

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Authors: Feng Yue, Fei Dai

Abstract:

With the rapid development of urbanization process in China, its environmental protection pressure is severely tested. So, analyzing and optimizing the landscape pattern is an important measure to ease the pressure on the ecological environment. This paper takes Wuhan Urban Development Zone as the research object, and studies its landscape pattern evolution and quantitative optimization strategy. First, remote sensing image data from 1990 to 2015 were interpreted by using Erdas software. Next, the landscape pattern index of landscape level, class level, and patch level was studied based on Fragstats. Then five indicators of ecological environment based on National Environmental Protection Standard of China were selected to evaluate the impact of landscape pattern evolution on the ecological environment. Besides, the cost distance analysis of ArcGIS was applied to simulate wildlife migration thus indirectly measuring the improvement of ecological environment quality. The result shows that the area of land for construction increased 491%. But the bare land, sparse grassland, forest, farmland, water decreased 82%, 47%, 36%, 25% and 11% respectively. They were mainly converted into construction land. On landscape level, the change of landscape index all showed a downward trend. Number of patches (NP), Landscape shape index (LSI), Connection index (CONNECT), Shannon's diversity index (SHDI), Aggregation index (AI) separately decreased by 2778, 25.7, 0.042, 0.6, 29.2%, all of which indicated that the NP, the degree of aggregation and the landscape connectivity declined. On class level, the construction land and forest, CPLAND, TCA, AI and LSI ascended, but the Distribution Statistics Core Area (CORE_AM) decreased. As for farmland, water, sparse grassland, bare land, CPLAND, TCA and DIVISION, the Patch Density (PD) and LSI descended, yet the patch fragmentation and CORE_AM increased. On patch level, patch area, Patch perimeter, Shape index of water, farmland and bare land continued to decline. The three indexes of forest patches increased overall, sparse grassland decreased as a whole, and construction land increased. It is obvious that the urbanization greatly influenced the landscape evolution. Ecological diversity and landscape heterogeneity of ecological patches clearly dropped. The Habitat Quality Index continuously declined by 14%. Therefore, optimization strategy based on greenway network planning is raised for discussion. This paper contributes to the study of landscape pattern evolution in planning and design and to the research on spatial layout of urbanization.

Keywords: Landscape pattern, optimization strategy, ArcGIS, Erdas, landscape metrics, landscape architecture.

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