基于信用风险传染的银行风险管理决策动态演化研究  

Dynamic evolution of bank risk management decision based on credit risk contagion

作　　者：陈庭强[1,2] 沈嘉贤 王磊 李建平[2] CHEN Tingqiang;SHEN Jiaxian;WANG Lei;LI Jianping(School of Economics and Management,Nanjing Tech University,Nanjing 211816,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]南京工业大学经济与管理学院,南京211816 [2]中国科学院大学经济与管理学院,北京100190

出　　处：《系统工程理论与实践》2023年第12期3461-3487,共27页Systems Engineering-Theory & Practice

基　　金：国家社科基金重大项目(22&ZD122);国家自然科学基金(71871115);教育部人文社会科学研究项目(22YJC790128);江苏省社会科学基金一般项目(22GLB032)。

摘　　要：信用风险传染一直是学术界关注的问题,银行风险管理决策是应对信用风险传染的关键一环,而成本问题是影响银行风险管理决策的关键因素.鉴于此,本文考虑信用风险管理成本的约束,构建了不同银行信用风险管理策略下信用风险传染和银行风险管理决策的共同动态演化模型,系统解析信用风险传染下银行信用风险管理的影响因素、策略稳定性及其演化特征,探究不同条件下银行信用风险管理的最优策略选择.研究结果表明:1)银行的信用风险管理重视程度、风险管理成本付出意愿、信用风险管理水平上限、信用风险管理能力均对其信用风险管理效果发挥正向影响;2)银行独立于信用违约和依赖信用违约调整的两种信用风险管理策略都能起到信用风险管控的效果,但效果差异显著,银行信用风险管理最优策略选择具有较大差异;3)信用风险传染速度动态变化时,其初始速度、目标速度以及银行风险管理对其的抑制程度都对信用风险传染演化特征产生影响,且目标信用风险传染速度对银行信用风险管理策略最优选择具有显著影响.本文针对信用风险传染下银行信用风险管理策略动态演化及其最优策略选择的系统研究,对提升我国银行信用风险管理水平和能力具有一定的参考价值.Credit risk contagion has always been a concern of academic circles.The bank’s credit risk management decision is a key link to deal with the credit risk contagion,and the cost is a key factor affecting the bank’s risk management decision.In view of this,this paper considers the cost constraint of credit risk management,constructs a common dynamic evolution model of credit risk contagion and bank credit risk management decision under different bank credit risk management strategies.We systematically analyzed the influencing factors,strategic stability and evolution characteristics of bank credit risk management under credit risk contagion,and explore the optimal strategy selection of bank credit risk management under different conditions.The results show that:1)The emphasis on bank credit risk management,the willingness to pay for bank credit risk management costs,the upper limit of credit risk management level,and banks’credit risk management ability all have a positive impact on the effect of bank credit risk management;2)The two credit risk management strategies of bank independence from credit default and adjustment according to credit default can both play the role of credit risk control,but the effect difference is significant,and the optimal strategy selection of bank credit risk management is quite different;3)When the speed of credit risk transmission changes dynamically,its initial speed,target speed and the degree of inhibition of bank risk management all have an impact on the evolution characteristics of credit risk transmission,and target credit risk transmission speed has a significant impact on the optimal selection of bank credit risk management strategy.In this paper,the evolution of bank credit risk management strategy and its optimal strategy selection under credit risk contagion are systematically studied,which has certain reference value for improving the credit risk management level and ability of Chinese banks.

关 键 词：信用风险传染 管理成本 最优策略 风险控制 演化动态 

分 类 号：F830[经济管理—金融学] F276