基于复杂网络的银证业务风险传染与免疫策略研究

发布时间：2018-03-26 10:56

本文选题：复杂网络　切入点：银证业务　出处：《中国海洋大学》2014年硕士论文

【摘要】：我国作为世界贸易组织WTO的成员国，必须遵循金融服务贸易自由化的制度，随着金融市场的逐渐开放，大批具有竞争力的外资金融机构进入中国争夺我国银证业机构的市场，为了在激烈的市场竞争中占据优势，我国金融业必须紧跟历史潮流，全面调整组合传统的金融业，促进银证合作进程。银证混业经营虽然从经济效率角度出发具有迫切的必要性与可行性，但是由于我国目前金融体制监管尚不健全金融机构内部风险控制水平较低投资者过于激进的逐利行为券商的风险资产质量低等原因造成了银证合作中的利益冲突内部交易津贴外溢等风险，，并且由于银证业务资金上的联系使得银行券商相互捆绑，金融风险很容易在货币市场与资本市场之间传播放大，造成金融系统的效率低下甚至瘫痪，因此从安全角度出发却具有很多安全隐患，金融系统的稳定发展受到诸多限制与风险威胁，因此必须建立完善的金融系统风险控制机制来保证银证业务的顺利开展，这对于保证金融系统高效运行，提高金融资产利用率都具有重大意义。本文主要是运用复杂网络理论对针对银证业务关系建立银行与证券基金信托保险等金融主体为网络节点，以借贷关系股权关系业务合作等复杂联系为边的双向选择的复杂银证业务网络模型，从宏观的角度来描述金融系统的整体特征以及度量，并在此基础上提出该金融系统风险控制与免疫的的相关理论与方法。通过建立基于实际情况的银证业务复杂网络模型，并运用matlab软件进行风险在复杂网络模型中的传染动力学仿真研究，本文得出了下面几点结论：第一，根据银行与证券机构的业务联系以及商业银行证券市场存在监管机制不足风险内控能力较低等风险因素寻找出银证业务风险传染的载体以及风险交叉点，并且根据金融机构微观个体的互动关系描述了风险在银证业务关系复杂网络中的传播原因与途径，为以后复杂金融网络模型的构建奠定理论基础。第二，目前对于金融系统复杂网络模型的构建多是权重无标度网络，忽略了金融机构建立连接的双向选择性，复杂金融网络中新加入的节点会倾向于选择度大经济实力强的金融机构进行业务合作，但是每个金融机构都是以自身盈利为目的的，单方面的建立业务联系的要求是不符合实际情况的，因此本文根据金融机构的经济人特征构建了基于权重无标度网络的有向复杂网络。第三，本文根据病毒传染动力学模型分析了风险在有向的银证业务复杂网络中的研究，通过对SIR病毒演化方程的求导得出了风险在复杂金融网络中的传染范围R受到网络结构以及风险传播速率的影响。第四，本文利用了Matlab工具对复杂网络的性质以及风险在复杂网络中的传播过程进行了仿真研究，进一步证明了构建的有向权重复杂金融网络的合理性与可行性。
[Abstract]:As a member of WTO , China must abide by the system of liberalization of financial services trade . With the gradual opening of financial markets , a large number of competitive foreign financial institutions enter China to compete for the market of China ' s banking institutions . In order to take advantage of the fierce market competition , China ' s financial industry must follow the historical trend , adjust and combine the traditional financial industry , and promote the cooperation process of the Bank . Although the financial system ' s internal risk control level is low , the financial risk is easy to spread between the money market and the capital market , which causes the financial system to operate smoothly . Therefore , it is necessary to establish a perfect financial system risk control mechanism to guarantee the smooth development of the bank certificate business , which is of great significance to ensure the efficient operation of the financial system and improve the utilization rate of the financial assets . This paper mainly discusses the whole characteristics and measures of the financial system from the macro perspective by using the complex network theory to establish the bank and securities ? fund , trust , insurance and other financial entities for the relationship between the bank and securities ? trust ? insurance , etc . , and then puts forward the relevant theories and methods of the financial system risk control and immunity from the macro perspective . Through establishing a complex network model based on the actual situation , and using matlab software to study the transmission dynamics simulation of the risk in the complex network model , the following conclusions are drawn : First , according to the business relation between the bank and the securities institution and the lack of the supervision mechanism of the commercial bank and the securities market , the carrier and the risk cross point of the risk infection of the bank certificate business are found based on the risk factors such as the insufficient supervision mechanism of the risk internal control ability and the low risk internal control ability , and the reason and the way of the transmission of the risk in the complex network of the bank - based business relationship are described according to the interaction relation of the micro - individual of the financial institution , which lays a theoretical foundation for the construction of the later complex financial network model . Second , the construction of the complex network model of financial system is a weight - free network , the two - way selectivity of establishing the connection by financial institutions is ignored , and the newly added nodes in the complex financial network tend to choose the large - scale financial institutions , but each financial institution is not in conformity with the actual situation . Therefore , according to the characteristics of the economic man of the financial institution , the paper constructs a complex network based on the weight - free scale network . Thirdly , according to the virus infection dynamics model , this paper analyzes the research of the risk in the complex network of the directional silver syndrome business . Through the derivation of the SIR virus evolution equation , the infection range R of the risk in the complex financial network is influenced by the network structure and the risk propagation rate . Fourthly , this paper makes use of Matlab tools to simulate the nature of complex networks and the propagation process of risk in complex networks , and further proves the rationality and feasibility of the construction of complex financial networks .

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.2

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