银行资产负债结构对金融风险传染的影响

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.

The influence of bank assets liabilities structure on financial risk contagion

The recent financial crisis shows that risk contagion is the key factor to trigger systemic risk. This paper aims to explore the potential risk contagion rules and characteristics. Firstly, interbank debt network is modeled with Chinese banking data. And the revised payment algorithm is applied in the simulation experiments. Secondly, three types of networks and four situations are constructed to simulate the interbank debt network. The experiments aim to research the individual and mixed impacts of interbank loan ratio, capital adequacy ratio and etc on interbank risk contagion. The results show that 1) if interbank loan ratio exceeds 5%, the risk contagion will be triggered. Reducing the interbank loan ration can reduce the chance of interbank risk contagion. 2) a higher level capital ratio can effectively prevent interbank risk contagion. The best capital ratio is 6% to 8%. 3) from the perspective of network structure, average degree of network graph has an obvious effect on risk contagion. The impact rule is determined by the number of initial bankrupt banks.