基于复杂网络的交叉性金融业务风险传染仿真  

Risk Contagion Simulation on Cross Financial Business Based on Complex Network

作　　者：吴田[1,2] 胡海青[1] 张丹[1] 刘鑫[3] WU Tian;HU Hai-qin;ZHANG Dan;LIU Xin(School of Economy and Management, Xi＇an University of Technology, Xi＇ an 710054, China;School of Finance,Xi＇an Eurasia University,Xi＇an 710065,China;Zhengzhou Branch, China Everbight Bank, Zhengzhou 450000, China)

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054 [2]西安欧亚学院金融学院,陕西西安710065 [3]中国光大银行郑州分行,河南郑州450000

出　　处：《系统工程》2018年第1期22-30,共9页Systems Engineering

基　　金：国家自然科学基金资助项目(71672144;71372173;70972053);国家软科学研究计划项目(2014GXS4D153);教育部博士点基金资助项目(20126118110017);陕西省软科学研究项目(2017KRM059;2017KRM057;2014KRM28-2);陕西省自然科学基础研究计划重点项目(2015JZ021);陕西省自然科学基础研究计划一般项目(2016JM7007);陕西省社科基金资助项目(12D231;13D217);西安市软科学项目(2017111SF/RK005-(2);SF1225-2);陕西省教育厅科学研究计划项目(15JK1544);西安社会科学规划课题重点项目(17J85);陕西省发展和改革委员会招标项目(ZBZB-2017-314-03)

摘　　要：尝试将复杂网络理论引入到交叉性金融业务领域中,通过与随机网络进行对比,得出金融机构之间交叉性业务网络具有小世界特性。在此种网络情境下,运用风险传播动力SIR模型,对交叉性金融业务风险传染爆发阈值展开推导并进行仿真分析,结果表明:传染率是整个交叉金融业务网络风险传播的关键,先健全整个市场的成熟度,再发展交叉性金融业务,此种路径最终可避免由于监管不善导致的风险大面积传染,实现绕过危机扩散的效果,从而同时实现业务的创新和风险防范。By an introduction of the complex network theory into the cross financial business fields, and in a comparison with the random network, the cross business network among financial institutions is found to have the small world char- acteristics. In this setting, adopting the dynamic model of risk communication,namely SIR Model, the outbreak threshold on financial risks in cross-markets is deduced and the network of risk contagions in cross-business is then to be simulated, which indicates that the infection rate is the critical element to risk contagions in the whole cross financial business. There- fore, it is possible for the financial institutions to avoid the huge spread of financial risks caused by poor supervision through improving the whole market maturity in cross financial business. And in this case, the diffusion effect of risks crisis is bypassed so as to achieve innovation and prevent risks at the same time.

关 键 词：交叉性金融业务 风险传染 复杂金融网络 SIR模型 

分 类 号：F830[经济管理—金融学]