系统外部效应与流动性救助策略:大额支付系统中的系统风险  

Systemic Externalities and Liquidity Rescue Strategies: Systemic Risk in Large Value Payment System

作　　者：童牧[1] 何奕[2] 

机构地区：[1]西南财经大学中国支付体系研究中心,成都610074 [2]西南财经大学国际商学院,成都610074

出　　处：《系统管理学报》2013年第5期619-628,共10页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71003081;71303192);国家社科基金重点项目(11AZD077);中央高校基本科研业务费专项资金资助项目(JBK130503;JBK130401)

摘　　要：针对复杂金融网络中流动性冲击和流动性救助的系统外部效应和不同风险场景下的流动性救助策略选择问题,以大额支付系统网络为对象,运用数学建模和仿真模拟建立和验证了系统风险传染模型,并基于该模型比较了不同场景不同流动性救助水平下不同救助策略的绩效。结果表明:在所选择的4种个体不完全救助策略和3种个体完全救助策略中,均衡救助策略在绝大多数情况都严格优于其他个体不完全救助策略,这反映了范围救助外部效应的存在;而首先救助受冲击规模较小或救助效率较高参与者的两种个体完全救助策略则又要优于均衡救助策略,这反映了完全救助外部效应及其与范围救助外部效应并存的重要性。For the systemic externalities of liquidity shocks or liquidity rescue, and choice of different liquidity rescue strategies under different risky scenarios in a financial complex network, from the viewpoint of large value payment system （LVPS）, we construct and demonstrate a contagion model of systemic risk, and study the performance of different rescue strategies under different liquidity rescue levels and different scenarios, through mathematic modeling and simulation. The equilibrium strategy out of four selected individual non-full rescue strategies is dominant in most situations, which demonstrates the existence of scope-externality of rescue. However, two individual full-rescue strategies, which rescue the small shocked members or high efficiently rescued members first, are better than the equilibrium strategy.

关 键 词：系统风险 系统外部效应 复杂网络 大额支付系统 

分 类 号：F830[经济管理—金融学] N945[自然科学总论—系统科学]