基于流动性配置的银行系统性风险研究

本文基于银行负债表构建了反映银行间借贷关系的复杂网络,用模型模拟了银行系统在面对储户提款冲击下,由银行间资金挤兑和投资资产打折出售而引发的流动性短缺危机在银行体系中的传播过程.研究发现银行间借贷网络结构和银行资产变卖时的损失程度在流动性短缺危机传染中起着关键作用.其中,银行间借贷网络的连通性一方面有抑制风险传播的作用,同时也蕴藏了风险在银行体系中扩散和传播的可能.

Banking systemic risk research by the mechanism of liquidity reallocation

Base on the complex networks that showing the relationship between interbank lending, we build a model of bank systems in terms of the bank's balance-sheet. We simulate the process of crisis spreading since depositors withdraw that cause the interbank funding runs and investment assets sell at a discount. Our research show that the interbank lending market structure and loss rate due to bank assets fire sale are the key factors in the risk contagion which caused by liquidity shortage shock. The tight connection between the interbank market suppress the risk spread meanwhile contain the possibility that make the risk expand and exacerbate.