银行资产监测中的系统性风险问题仿真

发布时间：2018-05-06 00:00

本文选题：计算机仿真 + 系统性风险　；参考：《计算机仿真》2014年10期

【摘要】：传统的银行资产风险监测仅针对单个银行的资本充足率、拨备覆盖率、不良资产率等指标进行监管。然而由于银行间的互相拆借关系,银行的资产风险不仅和银行自身有关,还与别的银行有关,即银行的系统性风险对银行资产风险有重要的影响。针对银行系统性风险问题,构建具有相关性的银行间资产波动模型,提出仿真算法对银行系统性风险进行计算机仿真,仿真结果得到了不同相关系数条件下的银行发生系统性风险的概率。研究结果表明:当银行系统稳定(银行资产波动率小)时,银行系统性风险会随着资产相关性的上升而上升;当银行系统较为稳定时,系统性风险会随着资产相关性的上升而先下降,然后再上升,即存在一个不为零的相关系数使得系统性风险最小;当银行系统不稳时,系统性风险也会随着资产相关性的上升而先下降,然后上升,但此时银行系统性风险已经很高。因此资产相关性作为衡量系统性风险的指标可以对系统性风险进行有效的监测。
[Abstract]:The traditional bank asset risk monitoring only aims at the single bank's capital adequacy ratio, reserve coverage rate, non-performing assets ratio and so on. However, because of the inter-bank lending relationship, the bank's asset risk is not only related to the bank itself, but also to other banks, that is, the bank's systemic risk has an important impact on the bank's asset risk. In order to solve the systemic risk problem of banks, an inter-bank asset fluctuation model with correlation is constructed, and a simulation algorithm is proposed to simulate the systemic risk of banks. The simulation results show the probability of systemic risk in banks with different correlation coefficients. The results show that when the banking system is stable (the volatility of bank assets is small), the systemic risk of the bank will rise with the asset-related increase, and when the banking system is more stable, The systemic risk decreases first and then rises with the asset-related increase, that is, there is a non-zero correlation coefficient that minimizes systemic risk; when the banking system is unstable, Systemic risk also decreases first and then rises with asset-related increases, but banks are already at high systemic risk. Therefore, asset correlation as an indicator to measure systemic risk can effectively monitor systemic risk.
【作者单位】：东华大学旭日工商管理学院;
【基金】：国家自然科学基金资助项目((70971021,71371046) 上海市教委基础创新重点项目(12ZS055)
【分类号】：F830.42;TP391.9

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