【摘要】：亞洲金融危機(jī)、LTCM公司倒閉、美國(guó)次貸危機(jī)的蔓延等一系列系統(tǒng)性金融危機(jī)的爆發(fā),使得系統(tǒng)性風(fēng)險(xiǎn)成為探討經(jīng)濟(jì)全球化新形勢(shì)下危機(jī)爆發(fā)原因的新視角。銀行業(yè)作為我國(guó)經(jīng)濟(jì)核心的金融業(yè)的重要組成部分,學(xué)術(shù)界和相關(guān)金融監(jiān)管機(jī)構(gòu)對(duì)于銀行系統(tǒng)性風(fēng)險(xiǎn)傳染的關(guān)注程度不斷提高。傳染效應(yīng)是銀行系統(tǒng)性風(fēng)險(xiǎn)最本質(zhì)的特征,銀行系統(tǒng)性風(fēng)險(xiǎn)傳染具有嚴(yán)重的破壞性,可能導(dǎo)致金融系統(tǒng)發(fā)生系統(tǒng)性危機(jī),因此對(duì)于銀行系統(tǒng)性風(fēng)險(xiǎn)傳染及其防控研究具有重要的理論與實(shí)踐意義。 首先,本文在歸納現(xiàn)有的關(guān)于銀行系統(tǒng)性風(fēng)險(xiǎn)傳染研究的相關(guān)文獻(xiàn)的基礎(chǔ)上,具體分析了銀行系統(tǒng)性風(fēng)險(xiǎn)的內(nèi)涵、特征以及形成機(jī)理。將種群集合理論引入銀行系統(tǒng)性風(fēng)險(xiǎn)傳染的研究,從種群集合論的角度分析銀行系統(tǒng)性風(fēng)險(xiǎn)傳染情況,并基于集合種群論中經(jīng)典的Levins模型,構(gòu)建銀行系統(tǒng)性風(fēng)險(xiǎn)傳染的隨機(jī)模型,并在不同參數(shù)條件下進(jìn)行隨機(jī)模擬風(fēng)險(xiǎn)傳染情況。模擬結(jié)果顯示銀行系統(tǒng)若能及時(shí)識(shí)別傳染風(fēng)險(xiǎn),采取高效的應(yīng)急措施,切斷系統(tǒng)性風(fēng)險(xiǎn)的傳染途徑,能夠有效地抑制系統(tǒng)性風(fēng)險(xiǎn)的進(jìn)一步傳染,而且降低銀行系統(tǒng)性風(fēng)險(xiǎn)的傳染率或者是增加銀行系統(tǒng)性風(fēng)險(xiǎn)的治愈率都可以有效地控制銀行風(fēng)險(xiǎn)的傳染。 其次,在詳細(xì)闡述熵最優(yōu)化矩陣法的基本原理和測(cè)量程序的基礎(chǔ)上,使用我國(guó)16家銀行2011年末在銀行間市場(chǎng)的拆借頭寸數(shù)據(jù),利用matlab數(shù)學(xué)軟件估計(jì)我國(guó)銀行間市場(chǎng)交易頭寸的熵最優(yōu)化矩陣結(jié)構(gòu),進(jìn)而模擬在不同違約損失率情況,由單個(gè)銀行倒閉所引發(fā)的系統(tǒng)性風(fēng)險(xiǎn)傳染效應(yīng)。模擬結(jié)果顯示城市銀行抵御系統(tǒng)性風(fēng)險(xiǎn)的能力較弱,股份制銀行以及四大國(guó)有銀行較為穩(wěn)定,本文的模擬結(jié)果可以認(rèn)為是針對(duì)我國(guó)銀行體系系統(tǒng)性風(fēng)險(xiǎn)的壓力測(cè)試。 最后,本文在綜合理論模型和實(shí)證模擬結(jié)果的基礎(chǔ)上,結(jié)合我國(guó)銀行業(yè)對(duì)于系統(tǒng)性風(fēng)險(xiǎn)傳染的防控應(yīng)急的實(shí)際情況,具體從健全銀行系統(tǒng)性風(fēng)險(xiǎn)監(jiān)管體系、完善銀行系統(tǒng)性風(fēng)險(xiǎn)監(jiān)測(cè)預(yù)警系統(tǒng)、提升銀行系統(tǒng)性風(fēng)險(xiǎn)應(yīng)急處置能力、建立銀行系統(tǒng)性風(fēng)險(xiǎn)問責(zé)與恢復(fù)機(jī)制四個(gè)維度探討防控銀行系統(tǒng)性風(fēng)險(xiǎn)積聚與傳染的對(duì)策建議。
[Abstract]:The outbreak of a series of systemic financial crises, such as the Asian financial crisis, the collapse of LTCM Company and the spread of the subprime mortgage crisis in the United States, has made systemic risk a new perspective to explore the causes of the crisis under the new situation of economic globalization. As an important part of the financial industry at the core of China's economy, academia and related financial regulators pay more and more attention to the systemic risk contagion of banks. Contagion effect is the most essential feature of bank systemic risk. Bank systemic risk contagion is seriously destructive and may lead to systemic crisis in the financial system. Therefore, it is of great theoretical and practical significance for the study of systemic risk contagion and its prevention and control in banks. First of all, on the basis of summing up the existing literature on the transmission of systemic risk in banks, this paper analyzes the connotation, characteristics and formation mechanism of systemic risk in banks. In this paper, the population set theory is introduced into the study of bank systemic risk transmission, and the situation of bank systemic risk infection is analyzed from the point of view of population set theory, and based on the classical Levins model in collective population theory, The stochastic model of systemic risk infection in banks is constructed, and the risk transmission situation is simulated randomly under different parameters. The simulation results show that if the banking system can identify the risk of infection in time, take efficient emergency measures and cut off the route of transmission of systemic risk, it can effectively restrain the further transmission of systemic risk. Moreover, reducing the infection rate of bank systemic risk or increasing the cure rate of bank systemic risk can effectively control the spread of bank risk. Secondly, on the basis of expounding the basic principle and measurement procedure of entropy optimization matrix method in detail, this paper uses the loan position data of 16 banks in the interbank market at the end of 2011. The entropy optimal matrix structure of China's inter-bank market trading position is estimated by using matlab mathematical software, and then the systemic risk contagion effect caused by single bank failure is simulated under different default loss rates. The simulation results show that the ability of city banks to resist systemic risks is weak, the joint-stock banks and the four state-owned banks are more stable. The simulation results of this paper can be considered as a stress test for the systemic risk of China's banking system. Finally, on the basis of comprehensive theoretical model and empirical simulation results, combined with the actual situation of the prevention and control of systemic risk contagion in China's banking industry, this paper concretely improves the banking systemic risk supervision system. To improve the monitoring and early warning system of bank systemic risk, to improve the ability of emergency management of bank systemic risk, to establish the accountability and recovery mechanism of bank systemic risk, to discuss the countermeasures and suggestions to prevent and control the accumulation and contagion of systemic risk of bank.
【學(xué)位授予單位】：武漢理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.2

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本文編號(hào)：2472122