复杂网络视角下行业风险传染与银行信贷配置  

Industry risk contagion and bank credit allocation from the perspective of complex network

作　　者：周骐 李仲飞[2,4] 曾燕 ZHOU Qi;LI Zhong-fei;ZENG Yan(School of Business Administration,South China University of Technology,Guangzhou 510641,China;Department of Finance,Business School,Southern University of Science and Technology,Shenzhen 518055,China;Lingnan(University)College,Sun Yat-sen University,Guangzhou 510275,China;Center for Financial Engineering and Risk Management,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]华南理工大学工商管理学院,广州510641 [2]中山大学金融工程与风险管理研究中心,深圳518055 [3]南方科技大学金融系,广州510275 [4]中山大学岭南学院,广州510275

出　　处：《管理科学学报》2022年第2期24-46,共23页Journal of Management Sciences in China

基　　金：国家自然科学基金资助重大项目(71991474);国家自然科学基金创新研究群体资助项目(71721001);国家自然科学基金资助项目(71771220);广东省自然科学基金资助项目(2022A1515011472);高校基本科研业务费中山大学优秀研究生创新发展资助项目。

摘　　要：信贷业务是银行业主要的收益和风险来源.然而,我国的银行对行业风险进行评估的过程中,没有考虑行业间的整体关联性.因此,基于已有研究,从复杂网络视角研究我国行业风险的主要聚类类型(循环型、中介型、吸收型和扩散型),在考虑行业聚类风险的基础上构建行业层面的银行信贷配置模型(Min-C即最小聚类系数模型)并给出信贷配置最优策略和信贷配置集中化的度量指标C-I-HHI(clustering-industry-HHI).研究结果表明:在4种聚类风险中,国内的行业间聚类风险主要是吸收型,属于较高风险传染类型;Min-C模型由于综合考虑了行业间的聚类风险类型,所以其信贷配置策略在贷款收益率、不良贷款率等指标上优于传统的Na6ve策略、Min-V模型和Min-CVaR模型下的最优策略;Min-C模型下的最优策略的银行不良贷款率也分别低于我国城市商业银行与农村商业银行的平均不良贷款率;稳健性检验中构造的C-I-HHI指标不仅说明了Min-C模型的稳定性,还为银行信贷配置是集中化还是多元化更优的争论提供了新的分析思路.Credit business is the main source of return and risk in banking industry.However,China’s banks fail to consider the overall correlation among industries when evaluating risks.Based on existing research,this paper studies the main infectious types of industrial risks in China from the perspective of complex networks.An allocation model of bank credit(Min-C,Minimum clustering coefficient model at the industry level)is constructed,the optimal strategy is put forward,and a measurement index for the centralization of bank credit allocation,C-I-HHI(clustering-industry-HHI),is constructed.The results show that among the four subdivided infection types(circulation,intermediary,absorption and diffusion),risk infection among industries in China is mainly the absorption type,which belongs to the higher risk infection type.The optimal allocation strategy of the Min-C model is superior to both the traditional Na6 ve strategy and the optimal strategy of the Min-V and Min-CVaR model in terms of loan yield,non-performing loan ratio and so on.The non-performing loan ratio of banks is also lower than the average non-performing loan ratio of urban commercial banks and rural commercial banks in China using the optimal strategy of Min-C model.The C-I-HHI index constructed in the robustness test not only illustrates the stability of the Min-C model,but also provides new analysis logic for the debate over whether bank credit allocation should be better concentrated or diversified.

关 键 词：复杂网络 信贷配置 聚类风险 Min-C C-I-HHI 

分 类 号：F830.59[经济管理—金融学] F832.48