基于复杂网络的银企间信贷风险传染机制研究  

The Mechanisms of Credit Risk Contagion between Banks and Firms:An Analysis Based on the Complex Network Theory

作　　者：刘晓星[1] 夏丹[2] 

机构地区：[1]东南大学经济管理学院 [2]东南大学经济与管理学院金融系

出　　处：《金融监管研究》2014年第12期37-53,共17页Financial Regulation Research

基　　金：国家自然科学基金面上项目"全球化条件下中国金融监管体系构建及其有效性研究"(编号:70973028);"全球化条件下流动性冲击金融系统稳定的传导扩散机制及其监控研究"(编号:71273048)的资助

摘　　要：本文基于复杂网络理论,构建了银企间通过信贷和产权关系形成的金融网络,利用信贷资产的信用转移矩阵和银行的资产负债表建立了银企间信贷风险传染的动态模型。通过理论推导和仿真模拟,本文系统分析了影响风险传染规模的各种因素以及系统重要性银行和不同风险传染渠道在信贷风险传染中所起的作用。研究表明:初始经济冲击、资产的市场流动性和违约损失率与风险传染效应间存在正相关关系,网络规模与风险传染呈现非单调的关系;随着网络规模的扩大,风险传染效应先增加后减小;系统重要性银行受到冲击时引发的传染规模远大于一般银行;随着金融系统总损失的不断增加,银行间的风险传染渠道逐渐居于主导地位。Based on the complex network theory, this paper constructs a financial network of firms and banks formed by credit and equity relationships, and uses credit transition matrix, default probability of credit assets and balance sheet of banks to discuss the dynamic mechanism of credit risk contagions between firms and banks. Through theoretical analysis and simulations, this paper systematically analyzes factors that affect the degree of the contagion, as well as the role of systemically important banks and different risk contagion channels during the credit risk contagion. The results suggest that economic fluctuations, asset market liquidity, and default probability are positively related to risk contagion. However, the relationship between the size of the network and contagion is not monotonous, as risk contagion first increases and then decreases with the expansion of the network. When systematically important banks suffer from economic shocks, the contagion is much more serious than that of common banks. With the increase of total loss, contagion channel between banks gradually dominates in the contagion.

关 键 词：银企信贷风险 传染 复杂网络 信用转移矩阵 

分 类 号：F832.4[经济管理—金融学]