| 大额支付系统中系统性风险传染规律研究 |
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| 引用本文： | 王鹏,付延平,魏文,伍艳君. 大额支付系统中系统性风险传染规律研究[J]. 吉林大学学报(信息科学版), 2014, 32(5): 556-562 |
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| 作者姓名： | 王鹏 付延平 魏文 伍艳君 |
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| 作者单位： | 西南财经大学 a. 经济信息工程学院； b. 金融智能与金融工程四川省重点实验室, 成都 611130 |
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| 基金项目： | 教育部人文社会科学基金资助项目，中央高校基本科研业务费博士研究生课题基金资助项目，中央高校基本科研业务费创新团队建设基金资助项目，国家社会科学基金重点资助项目 |
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| 摘 要： | 基于复杂网络理论, 针对支付系统中系统性风险的传染问题进行了研究。通过对现有成果的借鉴, 建立了描述风险传染过程的时滞微分方程, 并依据更新过程理论求出了此方程的解析解, 然后利用该解析解分析了不同时滞下系统性风险的传染规律。结果表明, 提出的相关的支付系统监管对策建议可对中国现代化支付系统建设、 宏观审慎监管制度的完善等实际问题起到一定的推动作用。
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| 关 键 词： | 支付系统 系统性风险 复杂网络 |
| 收稿时间： | 2014-04-09 |
Research of Systemic Risk Contagion in Payment System |
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| WANG Peng,FU Yanping,WEI Wen,WU Yanjun. Research of Systemic Risk Contagion in Payment System[J]. Journal of Jilin University:Information Sci Ed, 2014, 32(5): 556-562 |
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| Authors: | WANG Peng FU Yanping WEI Wen WU Yanjun |
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| Affiliation: | a. School of Economic Information Engineering; b. Department of Laboratory for Financial Intelligence andFinancial Engineering, South Western University of Finance and Economics, Chengdu 611130, China |
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| Abstract: | This paper studies the contagion risk in the payment system based on network model.Using current research result for reference,we describe the financial contagion through delay-differential equation and get the analytical solution with the help of renewal process.Then we analyze the contagion risk in different time-delay parameters based on the analytical solution.The results show that contagion risk significantly increases as time passed.Time-delay parameter also has a very strong effect on the contagion risk.Then we present related suggestions and policy implications which may improve the construction of China national automatic payment system and prudent macro-economic management both in theory and practice. |
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| Keywords: | payment system systemic risk complex network |
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