基于熵最优化的中国商业银行系统性风险传染效应的实证研究

发布时间：2018-11-11 09:28

【摘要】：近年来,多次金融危机的爆发使得商业银行的系统性风险越来越引起人们的关注,商业银行系统性风险的研究和控制越来越受到各国金融监管机构的重视。“传染效应”在银行业危机中已然成为系统性风险的代名词,揭示了银行业危机的本质特征。随着银行业的发展,银行间拆借市场越来越活跃。一方面,健康运行的银行间拆借市场可以增加银行的流动性,提高银行体系的效率；另一方面,在同业拆借市场中,银行的风险也直接暴露出来,一旦单个银行失败,则与其有债务关系的银行非常容易受到风险传染,使资产遭受损失甚至资不抵债。本文选取了16家上市银行作为研究对象,基于银行同业拆借市场,研究系一统性风险的传染效应。通过上市银行资产负债表获得银行同业拆借的拆入资金总额和拆出资金总额,利用熵最优化模型得到银行间拆借的风险头寸矩阵,再利用风险传染效应的判断标准,对风险传染效应进行研究。研究发现,国有控股银行是传染效应发生的重要诱因。在低违约损失率下,单个银行失败很难导致“多米诺骨牌”式的连锁反应,银行体系资产遭受损失但是不至于崩溃。在高违约损失率下,单个银行的经营失败容易引发“多米诺骨牌”式的连锁反应,使银行体系资产遭受巨额损失。但是,在高违约损失率下,并不是所有银行出现危机都会引发“多米诺骨牌”反应。本文通过理论和实证相结合的研究方法,得到了银行间系统性风险传染的具体过程和资产损失情况,并对商业银行系统性风险的防范和控制提出建议,为更好的控制系统性风险的传染、加强监管提供了适合的参考依据。
[Abstract]:In recent years, with the outbreak of many financial crises, people pay more and more attention to the systemic risk of commercial banks, and the research and control of the systemic risk of commercial banks have been paid more and more attention by the financial regulators of various countries. Contagion effect has become the synonym of systemic risk in banking crisis, which reveals the essential characteristics of banking crisis. With the development of the banking industry, the interbank lending market is becoming more and more active. On the one hand, a healthy interbank lending market can increase the liquidity of banks and improve the efficiency of the banking system; On the other hand, in the interbank lending market, the risk of banks is also exposed directly. Once a single bank fails, the banks with debt relations are very vulnerable to risk contagion, resulting in losses of assets and even insolvency. In this paper, 16 listed banks are selected to study the contagion effect of uniform risk based on the interbank lending market. Through the balance sheet of listed banks, the total amount of inter-bank borrowing funds and the total amount of funds lent out are obtained, and the risk position matrix of inter-bank lending is obtained by using entropy optimization model, and then the criterion of risk contagion effect is used. The risk contagion effect is studied. The study found that state-controlled banks are an important inducement of contagion effect. At a low default rate, a failure by a single bank can hardly lead to a domino chain reaction, with assets in the banking system suffering losses but not collapsing. Under the high default loss rate, the failure of a single bank can trigger a "domino" chain reaction, causing huge losses to the assets of the banking system. But with high default losses, not all bank crises trigger a domino response. Through the combination of theory and empirical research methods, this paper obtains the specific process of systemic risk contagion and asset loss among banks, and puts forward some suggestions on how to prevent and control the systemic risk of commercial banks. For better control of systemic risk infection, strengthen supervision to provide the appropriate reference basis.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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