银保协作下商业银行信用风险的传导模型及机理研究——基于风险有限免疫制度环境

发布时间：2018-03-28 08:51

本文选题：银保协作模式　切入点：银行信用风险　出处：《金融经济学研究》2014年06期

【摘要】：在分析了银保协作下商业银行信用风险传导路径的基础上,结合风险有限免疫制度环境,构建了银保协作下商业银行信用风险传导的微分动力系统模型,并采用相平面分析法,揭示了银保协作下商业银行信用风险的传导机理,同时运用后向差分法,导出了风险传导模型的参数估计公式。研究发现,在风险有限免疫制度环境下,银保信贷系统的任意风险传导轨线必将滞留于唯一的均衡状态,该均衡状态对应于信用风险在商业银行与担保机构之间的最优配置水平。通过建立存款保险制度、再担保体系等相关制度,能够为银保信贷系统提供风险有限免疫的制度环境。
[Abstract]:In the analysis of the bancassurance cooperation under the credit risk of commercial banks on the basis of the conduction path, combined with limited risk immune system environment, we build the differential dynamical system model of bancassurance cooperation under the commercial bank credit risk conduction, and using the phase plane analysis method, the conduction mechanism of the bancassurance cooperation under the credit risk of commercial banks is revealed, while the use of the backward difference method, derived the parameter estimation formula of the risk conduction model. The study found that the risk of limited immune system environment, any risk conduction trajectory bancassurance credit system will stay in the state of equilibrium only, corresponding to the equilibrium in the credit risk between commercial banks and guarantee agencies optimal allocation level. Through the establishment of a deposit insurance system, and related system guarantee system, system environment can provide limited risk for immune bancassurance credit system.

【作者单位】：东华大学旭日工商管理学院;
【基金】：国家社会科学基金项目(13BGL041)
【分类号】：F832.33;F832.4;F224

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