基于复杂网络的我国信贷风险问题研究

发布时间：2018-02-20 06:21

  本文关键词： 信贷风险 投入产出网络 行业地位系数 KMV模型　出处：《当代经济科学》2017年03期 　论文类型：期刊论文

【摘要】：近年来,我国商业银行不良贷款率升高,信贷投放面临着行业和客户的选择困难。但是,现阶段我国仍缺乏关于行业资金投放的理论和方法。本文利用复杂网络的方法研究经济系统中行业的信贷风险,提出地位系数这一指标来衡量局部行业间投入产出网络的对称性。然后,考察地位系数与KMV模型中行业违约距离之间的负相关性,并根据宏观经济以及国家政策对低风险和高风险行业的地位系数进行对比说明。最终,提出了切实可行的政策建议。
[Abstract]:In recent years, the non-performing loan ratio of commercial banks in China has increased, and the credit supply is facing difficulties in the choice of industry and customers. At the present stage, our country still lacks the theory and method of industry capital investment. This paper uses the method of complex network to study the credit risk of the industry in the economic system. The status coefficient is proposed to measure the symmetry of the input-output network among local industries. Then, the negative correlation between the status coefficient and the default distance in the KMV model is investigated. According to the macroeconomic and national policies, the status coefficients of low risk and high risk industries are compared and explained. Finally, practical policy suggestions are put forward.
【作者单位】： 北京大学经济学院;浙江大学宁波理工学院;
【基金】：国家自然科学基金项目“基于数据挖掘-Copula理论的银行信贷中观组合管理研究”(71201143)
【分类号】：F832.4
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本文编号：1518972