基于复杂网络的银行风险传染及其免疫策略研究

发布时间：2018-12-06 21:50

【摘要】：2007年由美国开始爆发的次贷危机对世界各国的金融系统和经济环境造成了巨大的打击。在此次危机中,雷曼兄弟的破产成为危机开始的源头,而美国政府在危机爆发阶段的不作为也使得其一贯奉行的自由主义政策饱受争议。时至今日,危机似乎已经过去很久,但世界经济似乎仍然没有从危机中恢复过来,世界各国特别是新兴经济体仍然面临着国内外经济金融环境变化的巨大挑战。特别是对于银行业来说,作为金融业的核心,银行是连接实体经济和虚拟经济的核心中介,银行系统的稳定性受到了广泛的关注。而在危机中,以银行为核心的金融业在经济下行环境中,同样面临着盈利能力下降、行业风险增加等问题。银行之间通过同业拆借市场这类渠道形成了错综复杂的业务资金联系,也正是这种复杂的联系使得金融系统呈现出一种“稳健而又脆弱”的特性。鉴于此,我们有必要研究在金融体系的复杂网络中银行风险的传染过程,分析复杂网络结构下银行风险传染的规律以及相关的免疫策略。这对于银行体系参与者提高对银行风险传染的认识,加深对银行网络结构的理解,对维护银行业系统的稳定,甚至整个经济的稳定健康发展都有着重要的意义。本文介绍了复杂网络和银行风险传染的相关基础理论,着重分析了使用SIS模型来研究银行网络中风险传染问题的合理性,认为SIS模型相较于SIR模型更加契合现实银行网络的特征。文章重新界定了银行风险传染的涵义,详细分析了银行风险的传染渠道,并参考BA无标度网络的构造逻辑,对网络进行加权处理,从而构建了更加符合现实银行网络特征的加权无标度银行网络模型。为了能够更加科学的刻画银行风险传染规律,本文对SIS模型上的银行风险传染规则进行了设定,使模拟研究更加符合现实银行网络的风险传染过程。通过对相关变量的控制,文章分析了不同情境下的银行风险传染速度与规模。研究表明,采用降低潜在风险传染率和提高危机治愈率的手段,可以有效地减缓银行风险传播速度,控制风险传染规模。本文还在SIS模型的基础上分析了两种免疫策略。通过构建更加符合现实情形的银行网络和风险传染模型,进一步采用模拟的手段研究各类风险传染免疫策略的有效性。研究表明,在银行加权无标度网络情形下,采用权重最大免疫策略可以有效控制银行风险传染的规模和速度,只需要对网络中少量的节点实施免疫,就可以达到消除风险扩散的目的。为了验证模拟结果,文章使用有限的实际数据对银行风险传染的免疫策略进行了实证研究。实证结果表明,权重最大免疫策略依然是最有效的控制银行风险传染的手段,与模拟结果相符。最后,本文根据模拟分析的结果,提出我国必须从危机前的预防机制和危机后的应急机制两个方面着手来防范和应对突发的银行风险传染问题。
[Abstract]:The subprime mortgage crisis that broke out in the United States in 2007 has dealt a great blow to the financial system and economic environment around the world. The collapse of Lehman Brothers was the source of the crisis, and the U.S. government's inaction during the crisis has led to controversy over its usual liberal policies. Today, the crisis seems to have passed for a long time, but the world economy still does not seem to have recovered from the crisis, and the world, especially emerging economies, is still facing enormous challenges from changes in the economic and financial environment at home and abroad. Especially for the banking industry, as the core of the financial industry, the bank is the core intermediary between the real economy and the virtual economy, and the stability of the banking system has received extensive attention. In the crisis, the financial industry with banks as the core is also facing the problems of declining profitability and increasing industry risk in the downward economic environment. The interbank lending market forms a complex business capital relationship between banks, which makes the financial system show a kind of "steady and fragile" characteristics. In view of this, it is necessary to study the contagion process of bank risk in the complex network of financial system, analyze the rules of bank risk contagion under complex network structure and the related immune strategies. This is of great significance to the participants in the banking system to enhance their understanding of the risk contagion of the banks, to deepen the understanding of the network structure of the banks, to maintain the stability of the banking system, and even to maintain the stable and healthy development of the entire economy. This paper introduces the basic theory of complex network and bank risk contagion, and analyzes the rationality of using SIS model to study the risk contagion problem in bank network. Compared with the SIR model, the SIS model is more suitable for the characteristics of the real banking network. This paper redefines the meaning of bank risk contagion, analyzes the channel of bank risk contagion in detail, and, referring to the construction logic of BA scale-free network, carries on the weighted processing to the network. Thus, a weighted scale-free banking network model is constructed, which is more in line with the characteristics of the real banking network. In order to describe the law of bank risk contagion more scientifically, this paper sets the rules of bank risk contagion on SIS model, which makes the simulation study more in line with the risk contagion process of bank network. By controlling the relevant variables, the paper analyzes the speed and scale of bank risk contagion in different situations. The research shows that reducing the rate of potential risk contagion and increasing the cure rate of crisis can effectively slow down the speed of risk transmission and control the scale of risk contagion. Two immune strategies are also analyzed based on SIS model. By constructing a more realistic bank network and risk contagion model, the effectiveness of various risk transmission immunization strategies is further studied by means of simulation. The results show that the scale and speed of bank risk contagion can be effectively controlled by using the weighted maximum immune strategy in the case of weighted scale-free network, and only a small number of nodes in the network need to be immunized. The aim of eliminating risk diffusion can be achieved. In order to verify the simulation results, the paper makes an empirical study on the immune strategy of bank risk contagion using limited actual data. The empirical results show that the weighted maximum immune strategy is still the most effective means to control bank risk contagion, which is consistent with the simulation results. Finally, according to the results of simulation analysis, this paper puts forward that our country must take precautions against and deal with the problem of bank risk contagion from two aspects: pre-crisis prevention mechanism and post-crisis emergency mechanism.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832

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