复杂网络结构下异质性银行系统稳定性研究  

Heterogenerous bank system stability research under complex networks structure

作　　者：陈冀[1] 陈典发[1] 宋敏[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《系统工程学报》2014年第2期171-181,共11页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(11101225);教育部人文社会科学研究资助项目(10YJC910006);中央高校基本科研业务费专项资金资助项目(NKZXB1222)

摘　　要：2008年美国次贷危机使西方国家银行系统陷入巨大的困境,国外学者也逐渐地从银行系统整体结构上寻求方法研究银行系统的稳定性.在异质性银行的假定下,本文提出改进的银行系统结构,该结构克服了Erd(o|¨)s-Renyi随机图和Upper静态传染模型的局限性,并对外部冲击实行了动态模拟.用此方法能够确定在危机爆发时对控制银行的系统风险较为重要的参数.In 2008, the crisis of sub-prime securities made most banks trapped in liquidity depression in western countries. More and more foreign scholars and practitioners began to focus on how to maintain the stability of the banking system which was considered as an entity. Assuming that all banks are heterogeneous, this paper provides an improved banking system structure, which overcomes the limitations of both the Erdrs- Rrnyi random graph and the Upper＇s static contagion model. Then, a dynamical simulation is carried out for external shocks. Using this method, it can be identified which parameter is more important in controlling banks＇ systemic risk when a crisis breaks out.

关 键 词：银行网络 异质性银行 系统损失 监管策略 

分 类 号：F830.1[经济管理—金融学]