Systemic risk in the consumer credit network across financial institutions

This study investigated a network of financial institutions in Korea using the Consumer Credit Panel (KCCP). It is assumed that each consumer borrows from multiple institutions, so those share risks same consumers regardless quality or type loan. We constructed comprising and computed contagion index based on their interconnections weight probability default for individual borrowers. found strong connection between banking credit card firms because convenience making small loans cards. However, with weighted to linkages among connections savings banks, non-credit finance corporations merchant banks are stronger than others, while hold central position exposed largest amount individually. The hit peak 2013Q1 then fell rapidly, before fluctuating at relatively low level 2016 2017Q2. results enabled authorities monitor systemic risk credit, accounting specific types default. paper’s main contribution its construction credit.