基于协同理论的商业银行流动性风险防范  

Liquidity Risk Prevention of Commercial Banks Based on Synergetic Theory

作　　者：方先明[1] 牟星[1] 

机构地区：[1]南京大学经济学院,南京210093

出　　处：《商业研究》2009年第12期85-87,共3页Commercial Research

基　　金：国家社会科学基金项目;项目编号:04BJL027;教育部"985工程"哲学社会科学创新基地;南京大学经济转型和发展研究中心资助

摘　　要：防范商业银行流动性风险的前提是在对其净头寸深入分析的基础上,把握其变动规律。由于净头寸系统与外界既有物质又有能量交换,其在从无序向有序的转化过程中必须研究时间演化以及有关的方程结构。运用协同理论对其分析,结果表明净头寸系统的变动过程是一纯不连续马尔科夫过程,一段时间内的变动次数服从泊松分布,变动过程可通过微分方程来表征。The premise against liquidity risk of commercial banks is to grasp change law based on the in - depth analysis of its net position. As the net position of the system has material and energy exchange with the outside world, we must study time evolution and the related equation structure in the process of transformation from disorder to order. By analyzing with synergetic theory, the result shows changes process of net position of the system is a purely discontinuous Markov process, the number of state change follows the Possion distribution, and the change process can be characterized by differential equations.

关 键 词：净头寸 随机性 稳定性 

分 类 号：F830.99[经济管理—金融学]