【摘要】：2007年由美國開始爆發(fā)的次貸危機對世界各國的金融系統(tǒng)和經(jīng)濟環(huán)境造成了巨大的打擊。在此次危機中,雷曼兄弟的破產(chǎn)成為危機開始的源頭,而美國政府在危機爆發(fā)階段的不作為也使得其一貫奉行的自由主義政策飽受爭議。時至今日,危機似乎已經(jīng)過去很久,但世界經(jīng)濟似乎仍然沒有從危機中恢復(fù)過來,世界各國特別是新興經(jīng)濟體仍然面臨著國內(nèi)外經(jīng)濟金融環(huán)境變化的巨大挑戰(zhàn)。特別是對于銀行業(yè)來說,作為金融業(yè)的核心,銀行是連接實體經(jīng)濟和虛擬經(jīng)濟的核心中介,銀行系統(tǒng)的穩(wěn)定性受到了廣泛的關(guān)注。而在危機中,以銀行為核心的金融業(yè)在經(jīng)濟下行環(huán)境中,同樣面臨著盈利能力下降、行業(yè)風(fēng)險增加等問題。銀行之間通過同業(yè)拆借市場這類渠道形成了錯綜復(fù)雜的業(yè)務(wù)資金聯(lián)系,也正是這種復(fù)雜的聯(lián)系使得金融系統(tǒng)呈現(xiàn)出一種“穩(wěn)健而又脆弱”的特性。鑒于此,我們有必要研究在金融體系的復(fù)雜網(wǎng)絡(luò)中銀行風(fēng)險的傳染過程,分析復(fù)雜網(wǎng)絡(luò)結(jié)構(gòu)下銀行風(fēng)險傳染的規(guī)律以及相關(guān)的免疫策略。這對于銀行體系參與者提高對銀行風(fēng)險傳染的認識,加深對銀行網(wǎng)絡(luò)結(jié)構(gòu)的理解,對維護銀行業(yè)系統(tǒng)的穩(wěn)定,甚至整個經(jīng)濟的穩(wěn)定健康發(fā)展都有著重要的意義。本文介紹了復(fù)雜網(wǎng)絡(luò)和銀行風(fēng)險傳染的相關(guān)基礎(chǔ)理論,著重分析了使用SIS模型來研究銀行網(wǎng)絡(luò)中風(fēng)險傳染問題的合理性,認為SIS模型相較于SIR模型更加契合現(xiàn)實銀行網(wǎng)絡(luò)的特征。文章重新界定了銀行風(fēng)險傳染的涵義,詳細分析了銀行風(fēng)險的傳染渠道,并參考BA無標度網(wǎng)絡(luò)的構(gòu)造邏輯,對網(wǎng)絡(luò)進行加權(quán)處理,從而構(gòu)建了更加符合現(xiàn)實銀行網(wǎng)絡(luò)特征的加權(quán)無標度銀行網(wǎng)絡(luò)模型。為了能夠更加科學(xué)的刻畫銀行風(fēng)險傳染規(guī)律,本文對SIS模型上的銀行風(fēng)險傳染規(guī)則進行了設(shè)定,使模擬研究更加符合現(xiàn)實銀行網(wǎng)絡(luò)的風(fēng)險傳染過程。通過對相關(guān)變量的控制,文章分析了不同情境下的銀行風(fēng)險傳染速度與規(guī)模。研究表明,采用降低潛在風(fēng)險傳染率和提高危機治愈率的手段,可以有效地減緩銀行風(fēng)險傳播速度,控制風(fēng)險傳染規(guī)模。本文還在SIS模型的基礎(chǔ)上分析了兩種免疫策略。通過構(gòu)建更加符合現(xiàn)實情形的銀行網(wǎng)絡(luò)和風(fēng)險傳染模型,進一步采用模擬的手段研究各類風(fēng)險傳染免疫策略的有效性。研究表明,在銀行加權(quán)無標度網(wǎng)絡(luò)情形下,采用權(quán)重最大免疫策略可以有效控制銀行風(fēng)險傳染的規(guī)模和速度,只需要對網(wǎng)絡(luò)中少量的節(jié)點實施免疫,就可以達到消除風(fēng)險擴散的目的。為了驗證模擬結(jié)果,文章使用有限的實際數(shù)據(jù)對銀行風(fēng)險傳染的免疫策略進行了實證研究。實證結(jié)果表明,權(quán)重最大免疫策略依然是最有效的控制銀行風(fēng)險傳染的手段,與模擬結(jié)果相符。最后,本文根據(jù)模擬分析的結(jié)果,提出我國必須從危機前的預(yù)防機制和危機后的應(yīng)急機制兩個方面著手來防范和應(yīng)對突發(fā)的銀行風(fēng)險傳染問題。
[Abstract]:The subprime mortgage crisis that broke out in the United States in 2007 has dealt a great blow to the financial system and economic environment around the world. The collapse of Lehman Brothers was the source of the crisis, and the U.S. government's inaction during the crisis has led to controversy over its usual liberal policies. Today, the crisis seems to have passed for a long time, but the world economy still does not seem to have recovered from the crisis, and the world, especially emerging economies, is still facing enormous challenges from changes in the economic and financial environment at home and abroad. Especially for the banking industry, as the core of the financial industry, the bank is the core intermediary between the real economy and the virtual economy, and the stability of the banking system has received extensive attention. In the crisis, the financial industry with banks as the core is also facing the problems of declining profitability and increasing industry risk in the downward economic environment. The interbank lending market forms a complex business capital relationship between banks, which makes the financial system show a kind of "steady and fragile" characteristics. In view of this, it is necessary to study the contagion process of bank risk in the complex network of financial system, analyze the rules of bank risk contagion under complex network structure and the related immune strategies. This is of great significance to the participants in the banking system to enhance their understanding of the risk contagion of the banks, to deepen the understanding of the network structure of the banks, to maintain the stability of the banking system, and even to maintain the stable and healthy development of the entire economy. This paper introduces the basic theory of complex network and bank risk contagion, and analyzes the rationality of using SIS model to study the risk contagion problem in bank network. Compared with the SIR model, the SIS model is more suitable for the characteristics of the real banking network. This paper redefines the meaning of bank risk contagion, analyzes the channel of bank risk contagion in detail, and, referring to the construction logic of BA scale-free network, carries on the weighted processing to the network. Thus, a weighted scale-free banking network model is constructed, which is more in line with the characteristics of the real banking network. In order to describe the law of bank risk contagion more scientifically, this paper sets the rules of bank risk contagion on SIS model, which makes the simulation study more in line with the risk contagion process of bank network. By controlling the relevant variables, the paper analyzes the speed and scale of bank risk contagion in different situations. The research shows that reducing the rate of potential risk contagion and increasing the cure rate of crisis can effectively slow down the speed of risk transmission and control the scale of risk contagion. Two immune strategies are also analyzed based on SIS model. By constructing a more realistic bank network and risk contagion model, the effectiveness of various risk transmission immunization strategies is further studied by means of simulation. The results show that the scale and speed of bank risk contagion can be effectively controlled by using the weighted maximum immune strategy in the case of weighted scale-free network, and only a small number of nodes in the network need to be immunized. The aim of eliminating risk diffusion can be achieved. In order to verify the simulation results, the paper makes an empirical study on the immune strategy of bank risk contagion using limited actual data. The empirical results show that the weighted maximum immune strategy is still the most effective means to control bank risk contagion, which is consistent with the simulation results. Finally, according to the results of simulation analysis, this paper puts forward that our country must take precautions against and deal with the problem of bank risk contagion from two aspects: pre-crisis prevention mechanism and post-crisis emergency mechanism.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832

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