【摘要】：相對(duì)于依賴市場價(jià)格數(shù)據(jù)的標(biāo)準(zhǔn)計(jì)量統(tǒng)計(jì)方法,基于機(jī)構(gòu)間雙邊敞口網(wǎng)絡(luò)拓?fù)浣Y(jié)構(gòu)的金融網(wǎng)絡(luò)模型更有助于系統(tǒng)重要性金融機(jī)構(gòu)的識(shí)別和系統(tǒng)性風(fēng)險(xiǎn)評(píng)估。本文構(gòu)建了貼近現(xiàn)實(shí)的CDS市場網(wǎng)絡(luò)模型,并基于單個(gè)違約機(jī)構(gòu)傳染機(jī)制的分析,借鑒特征向量中心度和PageRank算法思想,研究建立了系統(tǒng)重要性金融機(jī)構(gòu)識(shí)別的度量模型。本文所采用的排名技術(shù)算法在應(yīng)對(duì)大規(guī)模金融網(wǎng)絡(luò)數(shù)據(jù)時(shí)具靈活性和可行性。測試結(jié)果顯示,監(jiān)管當(dāng)局不僅要關(guān)注"太大而不能倒"的機(jī)構(gòu),更須將金融網(wǎng)絡(luò)中"關(guān)聯(lián)太緊密而不能倒"的中心節(jié)點(diǎn)作為問題認(rèn)真加以對(duì)待。
[Abstract]:Compared with the standard statistical method which relies on the market price data, the financial network model based on the topological structure of the inter-agency bilateral exposure network is more helpful to identify systemically important financial institutions and to assess the systemic risk. In this paper, a realistic CDS market network model is constructed, and based on the analysis of the contagion mechanism of a single default institution, the measurement model of systemically important financial institution identification is established based on the feature vector centrality and PageRank algorithm. The ranking algorithm used in this paper is flexible and feasible in dealing with large scale financial network data. The test results show that regulators should not only focus on "too big to fail" institutions, but also take the central nodes of the financial network "too closely connected to fail" as a problem.
【作者單位】： 中南大學(xué)商學(xué)院;中國人民銀行鄭州培訓(xùn)學(xué)院;
【基金】：國家自然科學(xué)基金資助項(xiàng)目(71173241;71473275) 教育部新世紀(jì)人才基金資助項(xiàng)目(NCET-10-0830)
【分類號(hào)】：F831.2
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本文編號(hào)：2230846