复杂金融网络中的系统性风险与流动性救助:基于不同网络拓扑结构的研究

以支付结算网络为例,通过构建复杂网络中的流动性循环模型,基于仿真模拟研究了不同网络拓扑结构和不同风险场景下的系统性风险与流动性救助问题.研究发现:1)网络拓扑结构对系统稳健性有显著影响,系统呈现出"稳健而脆弱"的特点,即网络节点间差异越小、相互连接越紧密,系统性风险发生的概率越小,但风险一旦形成,则后果更为严重;2)由于系统性风险的程度与系统流动性正缺口规模呈现线性正相关关系,在进行流动性救助时,基于节点流动性正缺口的救助资金配置方案均不劣于平均分配或基于冲击规模分配的方案,但在不同网络拓扑结构下,方案间的差异程度存在显著差异;3)在基于节点流动性正缺口的配置方案下,网络拓扑结构对不同救助顺序的效果也存在影响,但仅在网络节点间差异较大且中等救助规模下,影响才是显著的.

Systemic risk and liquidity rescue in complex financial network:A study based on different topologies

Using the payment settlement network as an example and constructing the liquidity circulation model in a complex network, the systemic risk and liquidity rescue under different network topologies and different risk scenarios are studied. The results are as follows:1) The network topology has a significant impact on the stability of the system, and the system shows the characteristics of "stable but fragile", which means that the smaller the differences between nodes and the closer the connections, the smaller the probability of systematic risk and the more serious the consequence when the risk is formed. 2) Because the degree of systemic risk is positively correlated with the system's liquidity gap, the rescue strategy based on using the nodes' liquidity gaps to allocate the rescue fund is not inferior to other strategies. Under different network topologies, the degree of differences between strategies is significantly different. 3) Under the strategy based on the node's liquidity gaps, the order of rescue also matters under different network topology. But the impact is significant only when there are large differences between the network nodes and with medium rescue scale.