银行资产负债结构对金融风险传染的影响

发布时间：2018-06-25 18:36

本文选题：资产负债 + 资本充足率　；参考：《系统工程理论与实践》2017年08期

【摘要】：最近的金融危机显示金融风险传染已经成为引发系统性风险的关键特征.本文致力于研究中国银行业潜在的风险传染规律和特征.首先,采用中国银行业数据,对银行间债务网络进行建模,并在模拟实验中采用了修正的偿还算法.其次,构造了三种网络、设计了四种情景,对银行间债务网络进行模拟实验,研究了银行间借贷比例、资本充足率等因素变化对银行间风险传染的单独影响和混合影响.实验结果表明:1)银行借贷比例超过5%就会引发风险传染.降低银行间借贷比例能够减少银行间的风险传染.2)资本比率保持在一个较高的水平,能够有效防范银行间风险传染.资本比例在6%~8%之间防范风险传染的效果比较明显.3)从网络结构来看,平均度对风险传染有明显影响,影响的规律由初始破产银行数量决定.
[Abstract]:The recent financial crisis has shown that financial risk contagion has become a key feature of systemic risk. This paper is devoted to studying the potential risk contagion law and characteristics of Chinese banking industry. Firstly, the interbank debt network is modeled with Chinese banking data, and the modified repayment algorithm is used in the simulation experiment. Secondly, three kinds of networks are constructed, four scenarios are designed to simulate the interbank debt network, and the effects of interbank loan ratio, capital adequacy ratio and other factors on interbank risk contagion are studied. The results show that more than 5% of bank lending can lead to contagion. Reducing the ratio of inter-bank lending can reduce the risk contagion between banks. 2) the capital ratio remains at a high level, which can effectively prevent inter-bank risk contagion. From the network structure, the average degree has obvious influence on risk contagion, and the law of influence is determined by the number of the initial bankrupt bank.
【作者单位】：东北财经大学金融学院;东北财经大学实验经济学实验室;东北财经大学萨里国际学院-旅游与酒店管理学院;
【基金】：国家自然科学基金(61304180,71571034) 辽宁省高等学校优秀人才支持计划(WJQ2015012)~~
【分类号】：F832

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