中国银行系统的系统性风险动态演化研究  

Dynamical EvolutionalResearch on the Systemic Risk of the Chinese Banking Network System

作　　者：范宏[1] 郑阳 杨明明 FAN Hong;ZHENG Yang;YANG Ming-ming(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《系统工程》2019年第1期101-110,共10页Systems Engineering

基　　金：国家自然科学基金面上项目(71371046)

摘　　要：针对随时间演化的银行系统性风险研究问题,提出一个理论框架,该框架包含动态演化的银行间拆借网络的度估算方法、动态演化的银行的资产负债估算算法及动态演化的银行间拆借的清算算法。然后根据提出的理论框架和我国上市银行2008-2015年的实际数据,构建动态演化的中国银行网络系统,研究中国银行系统的系统性风险动态演化情况,为中央银行防范系统性风险提供决策依据。研究表明:我国银行系统的系统性风险在2009年达到最高值,然后逐年下降,到2015年达到最低点。其中,大资产银行的违约概率是稳定不变的;大部分中资产银行在2009年达到峰值后下降,至2011年以后下降至0并保持稳定;大部分小资产银行的违约概率自2009年达到峰值后下降,但持续波动、不够稳定。虽然小资产银行对系统性风险有一定影响,但由于其在拆借网络中重要性较低,所以整个中国银行系统的系统性风险受它的影响较小。For the research problem of the dynamical evolutional systematic risk in the banking network system,a theoretical framework is proposed.The framework includes the degree estimation method of the dynamical evolutional interbank lending network structure,the estimation algorithm of dynamical evolutional banks balance sheet,and the dynamic clearing algorithm of the interbank lending.Then the paper constructs the dynamic evolutional Chinese banking network system based on the actual data from 2008 to 2015,and further studies the important banks and the dynamical evolution of the systemic risk in the dynamic Chinese banking network system.The results show that:the systemic risk of the Chinese banking system reached the highest point in 2009;then the risk is decreased year by year until reached zero;finally,the risk is decreased to the lowest point in 2005.For the large asset banks,the default probability is stable and unchanged,while for the most middle asset banks,the default probability reached the highest in 2009,then decreased by year,and decreased to 0 and kept stable since 2011.For the most small asset banks,the default probability is the highest in 2009,and then decreased by year,keeping fluctuated and unstable.The small assets banks cause little effects on the systemic risk of the Chinese banking network system due to the low importance of the small assets banks in the interbank network.

关 键 词：系统性风险 重要性银行 违约概率 银行网络系统 

分 类 号：F830[经济管理—金融学]