| 银行间市场体系的相继违约风险分析与建模 |
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| 引用本文： | 许博,刘鲁. 银行间市场体系的相继违约风险分析与建模[J]. 系统工程, 2011, 0(6) |
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| 作者姓名： | 许博 刘鲁 |
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| 作者单位： | 北京航空航天大学经济管理学院; |
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| 基金项目： | 国家自然科学基金资助项目(90924020); 教育部博士点基金资助项目(200800060005) |
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| 摘 要： | 总结分析当今世界各主要经济体的银行间市场体系的网络结构特征,指出随机网络和无标度网络是目前各国银行间市场的主要网络结构形态。并进一步通过模型说明和数值仿真揭示了这两种不同的网络体系下银行间市场的相继违约风险发生过程和演化特征,分析了网络结构对于银行体系风险的影响,指出无标度的银行体系结构会带来更大的相继违约风险。
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| 关 键 词： | 银行间市场体系 系统性风险 金融系统网络 |
Successive Default Risk in Interbank Market:Analysis and Modeling |
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| XU Bo,LIU Lu. Successive Default Risk in Interbank Market:Analysis and Modeling[J]. Systems Engineering, 2011, 0(6) |
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| Authors: | XU Bo LIU Lu |
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| Affiliation: | XU Bo,LIU Lu(School of Economics and Management,Beihang University,Beijing 100191,China) |
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| Abstract: | This research makes a brief overview on the interbank network structures in different economies all over the world and concludes that they exhibit either random or scale free network property.A model is proposed to describe the default risk cascade among banks within the system.Then we analyze the influence of the network structure on the systemic risk cascade,arguing that scale free network structure will lead to the increase of successive default risk in interbank market system. |
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| Keywords: | Interbank Market Systemic Risk Financial System |
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