基于信贷网络的上市系统性重要银行清偿力风险研究  

Study on Solvency Risk of Systemically Important Banks in Chinese Listed Banking System——Based on Credit Network Model

作　　者：宋凌峰[1] 苏新[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《经济管理》2015年第11期93-100,共8页Business and Management Journal ( BMJ )

基　　金：教育部人文社会科学研究青年基金项目"基于相互隐含担保的金融部门与政府间风险反馈机制研究"(14YJC790100);国家社科基金项目"经济增速下行引致的系统性金融风险及防范机制研究"(15BJY152)

摘　　要：本文利用我国上市银行在同业市场上的信贷关系构建网络结构模型,分析上市银行所构成网络的结构特征,发现上市银行信贷网络联系紧密,倾向于群体性结构。以信贷网络为基础研究单个银行发生清偿力问题时对整个系统的影响,得出上市银行中有三家系统性重要银行,即中国银行、中国工商银行和兴业银行。最后使用或有权益方法对三家系统性重要银行2007—2014年的清偿力风险进行分析,发现三家银行受2008年国际金融危机影响较大,但随着存款准备金率以及存贷款基准利率等政策的调整,清偿力风险得到缓解和控制。The stability of the banking system plays a crucial role in the growth of macro economy. Regulators and policy makers pay a lot attention to the stability of the banking system. While most of the studies about systemic risk in the network of financial institutions focused on macroeconomic impact, they neglected the risk of default risk contagion in financial system. In order to effectively maintain the stability of the banking system, we need to study systematic risk of the banking system and put forward effective suggestions to preventing the banking system cri- sis. Study about bank systematic risk should not only concern about the impact of external shocks to the system, but also pay attention to the structure of the banking banking system and the risk contagion in banking system. This paper establishes a network structure model and analyses the solvency risk of systemically important banks. Firstly, taken the financial system as a whole, its stability is mainly reflected in the following two points： one is the ability to deal with external shocks. The other is the ability to control risk contagion in the financial system. The stronger the ability of the financial system to deal with external shocks and control risk conduction, the more stable the financial system is. External shocks may induce a single bank failure and then through several rounds of risk contagion it may lead to default of other banks. Thus the risk is spread through the banking system. Random factors lead an institution i in the system to bankrupt. In the first round of risk transmission, all institutions in the banking system related will bankrupt if the capital hold is less than the amount of loss caused by risk transmission. The second round begins if any institution go bankrupt except institution i, institutions bankruptcy in the first round except i will in turn affect other institutions in the banking system. If an institution＇ s cumulative loss goes beyond its capital, the institution will face bankruptcy. The domino effect will

关 键 词：网络结构模型 系统性重要性银行 清偿力风险 CCA方法 

分 类 号：F830[经济管理—金融学]