金融网络稳健性及风险机制研究

发布时间：2018-01-16 01:29

本文关键词：金融网络稳健性及风险机制研究　出处：《西安电子科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融网络源于复杂网络理论，，是一个由大量具有一定适应性的金融机构主体相互影响而形成和拓展的超级网络，在宏观层次上表现出一定的结构特点。网络结构直接决定了网络的功能，因此本文以金融系统内机构间相互的关联程度为分析对象，立足于金融网络结构，对整个金融体系的稳健性及风险机制进行分析研究。首先，简要阐述了现有五种金融网络模型及其统计特性；其次，根据选定30家金融机构的每日收盘价构建了基于相关系数阈值法和基于MST最小生成树法的我国金融网络；再次，选定23家银行，根据年报中反映的银行间交叉持股、持有它行股权、证券投资及其他业务合作情况，构建了我国银行网络；最后，针对本文构建的三个网络模型的结构特征，探究随机故障和恶意攻击下的网络稳健性以及风险传染机制，并提出四点结论和风险管理建议。
[Abstract]:The financial network originated from the complex network theory is a super network formed and expanded by the interaction of a large number of financial institutions with certain adaptability. The network structure directly determines the function of the network, so this paper takes the degree of correlation between the institutions in the financial system as the analysis object, based on the financial network structure. The robustness and risk mechanism of the whole financial system are analyzed and studied. Firstly, five kinds of financial network models and their statistical characteristics are briefly described. Secondly, according to the daily closing price of 30 financial institutions, the financial network based on correlation coefficient threshold method and MST minimum spanning tree method is constructed. Thirdly, 23 banks are selected to construct the banking network of our country according to the cross-shareholding among banks reflected in the annual report, holding their equity, securities investment and other business cooperation. Finally, according to the structural characteristics of the three network models constructed in this paper, the network robustness and risk contagion mechanism under random faults and malicious attacks are explored, and four conclusions and risk management suggestions are put forward.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830

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