网络结构与银行系统性风险  

Network structure and systemic risk by banks

作　　者：隋聪[1,2] 迟国泰[3] 王宗尧[4] 

机构地区：[1]东北财经大学金融学院,大连116025 [2]东北财经大学实验经济学实验室,大连116025 [3]大连理工大学管理与经济学部,大连116024 [4]东北财经大学萨里国际学院,大连116025

出　　处：《管理科学学报》2014年第4期57-70,共14页Journal of Management Sciences in China

基　　金：国家社会科学基金重点资助项目(12AZD044);国家自然科学基金资助项目(71171031);国家自然科学基金青年科学基金资助项目(61304180);教育部人文社会科学研究青年基金资助项目(11YJC790157)

摘　　要：建立了完整的度量银行间违约传染及银行系统性风险的研究框架.在这个框架下,研究了不同银行间网络结构下银行系统性风险.在模型建立过程中,分析了现有研究广泛采用的违约算法中存在的问题并对其进行了修正.为了模拟不同的银行间网络,还提出了一种构造无标度网络的方法.通过仿真模拟,研究发现集中度越高的网络由于传染而倒闭的银行数量越多.但是,当基础违约的银行数量不多时,网络集中度越高,由于传染而倒闭的银行的总资产越少.此外,在集中度高的网络中大银行倒闭引发违约传染的可能性和影响力都会大于集中度低的网络.而小银行引发传染的可能性远低于大银行,但是小银行倒闭达到一定规模时,可以引发大银行传染倒闭.In recent years, systemic risk by banks has become an important issue in finance research area. Inthis paper, we build a novel research framework to measure the inter-bank defauh contagion and systemic risk by banks. Under the framework, the problem of default algorithm in the present researches is pointed out and rectified. Moreover, the way of establishing scale-free network is put forward to simulate the inter-bank net- work. It is found that ： more banks are infected in a higher-centralized network ; the total assets of failed banks are less in higher-centralized networks when there are less banks suffering fundamental defaults. Furthermore, the influence of default contagion caused by large-bank failures in highly-centralized networks is bigger than that in low-centralized networks. Although small-bank failures do not easily bring about contagion, reaching a certain scale, they will also lead to large-bank failures contagiously.

关 键 词：银行系统性风险 网络结构 无标度网络 违约算法 违约传染 

分 类 号：F830[经济管理—金融学]