金融机构的系统重要性分析——金融网络中的系统风险衡量与成本分担
发布时间：2018-08-27 18:30
【摘要】：基于金融网络模型对风险扩散机制的分析,本文尝试将金融网络结构因素纳入到对系统风险的衡量中,并依此建立了以"直接贡献"和"间接参与"两种方式分析和评价金融机构系统重要性的模式。在结合我国2007～2010年的银行间支付结算数据基础上,本文对国内主要银行的系统重要性水平开展了综合评测,并进一步讨论了影响机构系统重要性水平的因素。通过分析:(1)考虑了金融网络结构对整个系统的影响,构建了"系统风险曲线",对金融网络条件下的系统风险进行了重新度量;(2)理论上将单一金融机构对整个系统的影响区分为直接影响与间接参与影响两部分,并分别使用"冲击测试"与"Shapley-Value"测算了两种效应所造成的全系统损失;(3)实证上,依据数值模拟计算的结果,本文估计得到了当前金融网络条件下我国各银行机构的系统重要性分值及排序,为宏观审慎工具的设计、开发及进一步运用打下了基础。
[Abstract]:Based on the analysis of the risk diffusion mechanism based on the financial network model, this paper attempts to incorporate the financial network structure factors into the measurement of the system risk. Based on this, the model of "direct contribution" and "indirect participation" is established to analyze and evaluate the importance of financial institution system. Based on the data of inter-bank payment and settlement from 2007 to 2010 in China, this paper makes a comprehensive evaluation of the systematical importance level of the major banks in China, and further discusses the factors affecting the systematical importance level of the institutions. Through analysis: (1) considering the influence of financial network structure on the whole system, The system risk curve is constructed, and the system risk under the condition of financial network is remeasured. (2) the influence of a single financial institution on the whole system is divided into two parts: direct impact and indirect participation impact. The system losses caused by the two effects are calculated by "impact test" and "Shapley-Value" respectively. (3) empirically, according to the results of numerical simulation, In this paper, the system importance of banking institutions in China is estimated and sorted under the current financial network conditions, which lays a foundation for the design, development and further application of macroprudential instruments.
【作者单位】： 中国人民银行研究局;
【基金】：2011年“国家社会科学基金项目(11CJY103)” “第四十七批中国博士后科学基金项目(20100470443)” “中国博士后科学基金第四批特别资助项目(201104180)”的阶段性成果
【分类号】：F832.3;F224
，
本文编号：2208086
[Abstract]:Based on the analysis of the risk diffusion mechanism based on the financial network model, this paper attempts to incorporate the financial network structure factors into the measurement of the system risk. Based on this, the model of "direct contribution" and "indirect participation" is established to analyze and evaluate the importance of financial institution system. Based on the data of inter-bank payment and settlement from 2007 to 2010 in China, this paper makes a comprehensive evaluation of the systematical importance level of the major banks in China, and further discusses the factors affecting the systematical importance level of the institutions. Through analysis: (1) considering the influence of financial network structure on the whole system, The system risk curve is constructed, and the system risk under the condition of financial network is remeasured. (2) the influence of a single financial institution on the whole system is divided into two parts: direct impact and indirect participation impact. The system losses caused by the two effects are calculated by "impact test" and "Shapley-Value" respectively. (3) empirically, according to the results of numerical simulation, In this paper, the system importance of banking institutions in China is estimated and sorted under the current financial network conditions, which lays a foundation for the design, development and further application of macroprudential instruments.
【作者单位】： 中国人民银行研究局;
【基金】：2011年“国家社会科学基金项目(11CJY103)” “第四十七批中国博士后科学基金项目(20100470443)” “中国博士后科学基金第四批特别资助项目(201104180)”的阶段性成果
【分类号】：F832.3;F224
，
本文编号：2208086
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