本文關(guān)鍵詞： 復(fù)雜網(wǎng)絡(luò) 銀行間市場 系統(tǒng)性風(fēng)險(xiǎn) 流動(dòng)性沖擊　出處：《南京大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：歷次金融危機(jī)對銀行業(yè)造成的巨大沖擊和損失使得銀行系統(tǒng)性風(fēng)險(xiǎn)逐漸受到重視,研究銀行系統(tǒng)性風(fēng)險(xiǎn)成為近年來的熱點(diǎn)問題。銀行間市場因其規(guī)模巨大和銀行間拆借形成的復(fù)雜關(guān)系成為銀行系統(tǒng)性風(fēng)險(xiǎn)的重要來源。簡單來說,銀行間市場系統(tǒng)性風(fēng)險(xiǎn)是指在流動(dòng)性沖擊下單個(gè)或多個(gè)銀行的倒閉以及其后可能引發(fā)的風(fēng)險(xiǎn)傳染威脅市場穩(wěn)定的現(xiàn)象。 綜合已有文獻(xiàn)研究,銀行間市場系統(tǒng)性風(fēng)險(xiǎn)可分為初始沖擊和風(fēng)險(xiǎn)傳染兩部分。本文在復(fù)雜網(wǎng)絡(luò)的三種基本模型的基礎(chǔ)上構(gòu)造了有向賦權(quán)的三種銀行間市場網(wǎng)絡(luò)結(jié)構(gòu),通過分析網(wǎng)絡(luò)結(jié)構(gòu)的流動(dòng)性傳導(dǎo)能力來考察網(wǎng)絡(luò)結(jié)構(gòu)對于初始沖擊的防范功能。借助Matlab軟件編程實(shí)現(xiàn)網(wǎng)絡(luò)架構(gòu)模擬分析了外生流動(dòng)性沖擊下特定網(wǎng)絡(luò)的結(jié)構(gòu)參數(shù)、拆借抵押資產(chǎn)風(fēng)險(xiǎn)扣減率和拆借模式對網(wǎng)絡(luò)結(jié)構(gòu)流動(dòng)性傳導(dǎo)能力的影響。 研究表明隨著拆借抵押資產(chǎn)風(fēng)險(xiǎn)扣減率的不斷提高,三種網(wǎng)絡(luò)結(jié)構(gòu)的流動(dòng)性傳導(dǎo)能力均逐漸下降,并且出現(xiàn)了拆借抵押資產(chǎn)風(fēng)險(xiǎn)扣減率的閥值現(xiàn)象。銀行間市場網(wǎng)絡(luò)雙向拆借占比的增加極大的增強(qiáng)了三種網(wǎng)絡(luò)結(jié)構(gòu)的流動(dòng)性傳導(dǎo)能力。通過相同平均連接概率下的對比發(fā)現(xiàn),無標(biāo)度網(wǎng)絡(luò)因其各節(jié)點(diǎn)之間拆借資源的極度不均造成了流動(dòng)性傳導(dǎo)能力明顯低于隨機(jī)網(wǎng)絡(luò)和小世界網(wǎng)絡(luò)。相較而言,小世界網(wǎng)絡(luò)結(jié)構(gòu)表現(xiàn)出優(yōu)于隨機(jī)網(wǎng)絡(luò)和無標(biāo)度網(wǎng)絡(luò)的流動(dòng)性傳導(dǎo)能力,在受到外生流動(dòng)性沖擊時(shí)能夠更好的發(fā)揮銀行間市場的風(fēng)險(xiǎn)分擔(dān)功能。
[Abstract]:The great impact and losses caused by the previous financial crises on the banking industry have made the systemic risk of the banks receive more and more attention. The study of systemic risk in banks has become a hot issue in recent years. The interbank market has become an important source of systemic risk for banks because of its large scale and the complex relationship between interbank lending and lending. The systemic risk of interbank market refers to the phenomenon of single or multiple bank failure under the impact of liquidity and the risk contagion that may lead to threaten the stability of the market. The systematic risk of interbank market can be divided into two parts: initial impact and risk contagion. Based on the three basic models of complex network, this paper constructs three kinds of directed weighted interbank market network structure. By analyzing the fluidity conduction ability of the network structure, the function of the network structure against the initial shock is investigated, and the structure parameters of the specific network under the exogenous liquidity shock are simulated and analyzed by Matlab software programming. The effect of risk reduction rate of mortgage assets and the mode of lending on the liquidity conduction ability of network structure. The results show that with the increasing of risk reduction rate of mortgage assets, the fluidity conductivity of the three kinds of network structure decreases gradually. And the phenomenon of threshold value of risk reduction rate of mortgage assets appears. The increase of two-way ratio of interbank market network greatly enhances the liquidity conductivity of three kinds of network structure. Through the comparison of the same average connection probability, it is found that, Scale-free networks have significantly lower liquidity conductivity than random networks and small-world networks because of the extreme imbalance in borrowing resources between nodes. Small-world network structure shows better liquidity conduction ability than random network and scale-free network, and it can play the role of risk sharing in interbank market better when it is impacted by exogenous liquidity.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830;O157.5

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本文編號(hào)：1499806