银行系统性风险传染及其防控对策研究
发布时间：2019-05-08 18:13
【摘要】：亚洲金融危机、LTCM公司倒闭、美国次贷危机的蔓延等一系列系统性金融危机的爆发,使得系统性风险成为探讨经济全球化新形势下危机爆发原因的新视角。银行业作为我国经济核心的金融业的重要组成部分,学术界和相关金融监管机构对于银行系统性风险传染的关注程度不断提高。传染效应是银行系统性风险最本质的特征,银行系统性风险传染具有严重的破坏性,可能导致金融系统发生系统性危机,因此对于银行系统性风险传染及其防控研究具有重要的理论与实践意义。 首先,本文在归纳现有的关于银行系统性风险传染研究的相关文献的基础上,具体分析了银行系统性风险的内涵、特征以及形成机理。将种群集合理论引入银行系统性风险传染的研究,从种群集合论的角度分析银行系统性风险传染情况,并基于集合种群论中经典的Levins模型,构建银行系统性风险传染的随机模型,并在不同参数条件下进行随机模拟风险传染情况。模拟结果显示银行系统若能及时识别传染风险,采取高效的应急措施,切断系统性风险的传染途径,能够有效地抑制系统性风险的进一步传染,而且降低银行系统性风险的传染率或者是增加银行系统性风险的治愈率都可以有效地控制银行风险的传染。 其次,在详细阐述熵最优化矩阵法的基本原理和测量程序的基础上,使用我国16家银行2011年末在银行间市场的拆借头寸数据,利用matlab数学软件估计我国银行间市场交易头寸的熵最优化矩阵结构,进而模拟在不同违约损失率情况,由单个银行倒闭所引发的系统性风险传染效应。模拟结果显示城市银行抵御系统性风险的能力较弱,股份制银行以及四大国有银行较为稳定,本文的模拟结果可以认为是针对我国银行体系系统性风险的压力测试。 最后,本文在综合理论模型和实证模拟结果的基础上,结合我国银行业对于系统性风险传染的防控应急的实际情况,具体从健全银行系统性风险监管体系、完善银行系统性风险监测预警系统、提升银行系统性风险应急处置能力、建立银行系统性风险问责与恢复机制四个维度探讨防控银行系统性风险积聚与传染的对策建议。
[Abstract]:The outbreak of a series of systemic financial crises, such as the Asian financial crisis, the collapse of LTCM Company and the spread of the subprime mortgage crisis in the United States, has made systemic risk a new perspective to explore the causes of the crisis under the new situation of economic globalization. As an important part of the financial industry at the core of China's economy, academia and related financial regulators pay more and more attention to the systemic risk contagion of banks. Contagion effect is the most essential feature of bank systemic risk. Bank systemic risk contagion is seriously destructive and may lead to systemic crisis in the financial system. Therefore, it is of great theoretical and practical significance for the study of systemic risk contagion and its prevention and control in banks. First of all, on the basis of summing up the existing literature on the transmission of systemic risk in banks, this paper analyzes the connotation, characteristics and formation mechanism of systemic risk in banks. In this paper, the population set theory is introduced into the study of bank systemic risk transmission, and the situation of bank systemic risk infection is analyzed from the point of view of population set theory, and based on the classical Levins model in collective population theory, The stochastic model of systemic risk infection in banks is constructed, and the risk transmission situation is simulated randomly under different parameters. The simulation results show that if the banking system can identify the risk of infection in time, take efficient emergency measures and cut off the route of transmission of systemic risk, it can effectively restrain the further transmission of systemic risk. Moreover, reducing the infection rate of bank systemic risk or increasing the cure rate of bank systemic risk can effectively control the spread of bank risk. Secondly, on the basis of expounding the basic principle and measurement procedure of entropy optimization matrix method in detail, this paper uses the loan position data of 16 banks in the interbank market at the end of 2011. The entropy optimal matrix structure of China's inter-bank market trading position is estimated by using matlab mathematical software, and then the systemic risk contagion effect caused by single bank failure is simulated under different default loss rates. The simulation results show that the ability of city banks to resist systemic risks is weak, the joint-stock banks and the four state-owned banks are more stable. The simulation results of this paper can be considered as a stress test for the systemic risk of China's banking system. Finally, on the basis of comprehensive theoretical model and empirical simulation results, combined with the actual situation of the prevention and control of systemic risk contagion in China's banking industry, this paper concretely improves the banking systemic risk supervision system. To improve the monitoring and early warning system of bank systemic risk, to improve the ability of emergency management of bank systemic risk, to establish the accountability and recovery mechanism of bank systemic risk, to discuss the countermeasures and suggestions to prevent and control the accumulation and contagion of systemic risk of bank.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.2
[Abstract]:The outbreak of a series of systemic financial crises, such as the Asian financial crisis, the collapse of LTCM Company and the spread of the subprime mortgage crisis in the United States, has made systemic risk a new perspective to explore the causes of the crisis under the new situation of economic globalization. As an important part of the financial industry at the core of China's economy, academia and related financial regulators pay more and more attention to the systemic risk contagion of banks. Contagion effect is the most essential feature of bank systemic risk. Bank systemic risk contagion is seriously destructive and may lead to systemic crisis in the financial system. Therefore, it is of great theoretical and practical significance for the study of systemic risk contagion and its prevention and control in banks. First of all, on the basis of summing up the existing literature on the transmission of systemic risk in banks, this paper analyzes the connotation, characteristics and formation mechanism of systemic risk in banks. In this paper, the population set theory is introduced into the study of bank systemic risk transmission, and the situation of bank systemic risk infection is analyzed from the point of view of population set theory, and based on the classical Levins model in collective population theory, The stochastic model of systemic risk infection in banks is constructed, and the risk transmission situation is simulated randomly under different parameters. The simulation results show that if the banking system can identify the risk of infection in time, take efficient emergency measures and cut off the route of transmission of systemic risk, it can effectively restrain the further transmission of systemic risk. Moreover, reducing the infection rate of bank systemic risk or increasing the cure rate of bank systemic risk can effectively control the spread of bank risk. Secondly, on the basis of expounding the basic principle and measurement procedure of entropy optimization matrix method in detail, this paper uses the loan position data of 16 banks in the interbank market at the end of 2011. The entropy optimal matrix structure of China's inter-bank market trading position is estimated by using matlab mathematical software, and then the systemic risk contagion effect caused by single bank failure is simulated under different default loss rates. The simulation results show that the ability of city banks to resist systemic risks is weak, the joint-stock banks and the four state-owned banks are more stable. The simulation results of this paper can be considered as a stress test for the systemic risk of China's banking system. Finally, on the basis of comprehensive theoretical model and empirical simulation results, combined with the actual situation of the prevention and control of systemic risk contagion in China's banking industry, this paper concretely improves the banking systemic risk supervision system. To improve the monitoring and early warning system of bank systemic risk, to improve the ability of emergency management of bank systemic risk, to establish the accountability and recovery mechanism of bank systemic risk, to discuss the countermeasures and suggestions to prevent and control the accumulation and contagion of systemic risk of bank.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.2
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