具有CDS的动态多层网络银行系统性风险研究  

Investigating Banking Systemic Risk of Dynamic Multilayer Networks with CDS

作　　者：汤淼 范宏[1] TANG Miao;FAN Hong(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：《复杂系统与复杂性科学》2024年第3期55-61,68,共8页Complex Systems and Complexity Science

基　　金：国家自然科学基金(71371046);上海市自然科学基金(19ZR1402100)。

摘　　要：美国次贷危机表明CDS对银行系统性风险有很大影响,但CDS如何影响银行系统性风险的机理还未明。因此,构建了一个具有CDS交互作用的动态多层银行网络模型,研究两种经济环境下的CDS对银行系统的双重影响。研究结果表明:经济平稳时期,CDS有风险吸收作用,降低银行系统性风险;经济波动时期,银行因CDS释放的超额风险资产会转变为新的系统性风险;CDS的规模与银行系统性风险呈负相关关系,且规模存在临界值。The subprime mortgage crisis in the United States shows that CDS significantly impacts banking systemic risk,but the mechanism of how CDS affects banking systemic risk is still unclear.This paper first constructs a dynamic multi-layer banking network model with CDS interactions to study the dual impact of CDS on the banking system in both volatile and stable economic environments.The results show that when the economy is stable,CDS has a positive absorption effect,which successfully transfers the risk and reduces the banking systemic risk;When the economy is volatile,the excess risk assets released by banks due to CDS are transformed into new systemic risk;the size of CDS is negatively correlated with the banking systemic risk and there is a critical value of size.

关 键 词：信用违约互换(CDS) 系统性风险 银企间信用风险 风险转移 

分 类 号：F830[经济管理—金融学] N94[自然科学总论—系统科学]