發(fā)布時間：2018-01-21 19:51

  本文關(guān)鍵詞： 復雜網(wǎng)絡(luò) 商業(yè)銀行資本 穩(wěn)定性　出處：《天津大學》2016年碩士論文　論文類型：學位論文

【摘要】：隨著世界經(jīng)濟金融的不斷發(fā)展,經(jīng)濟運行周期的穩(wěn)定性,尤其是金融系統(tǒng)的穩(wěn)定性,越來越成為當前社會持續(xù)平穩(wěn)發(fā)展的關(guān)鍵點。在整個金融系統(tǒng)中,商業(yè)銀行系統(tǒng)以其發(fā)展的規(guī)模、發(fā)揮的作用,成為金融系統(tǒng)中不可或缺的重要角色。在銀行系統(tǒng)中,資金流動的穩(wěn)定性和安全性不僅僅取決于每一個參與銀行自身的特性和經(jīng)營財務(wù)狀況,也取決于整個銀行系統(tǒng)自身的結(jié)構(gòu)和其所處的經(jīng)濟金融環(huán)境。因此,銀行監(jiān)管部門的職責是要運用一系列監(jiān)管政策和手段,對銀行系統(tǒng)中現(xiàn)有或潛在的風險進行識別和隔離,確保整個銀行系統(tǒng)的穩(wěn)定性不因其中一家銀行或者少數(shù)幾家銀行的違約破產(chǎn)而受影響。在銀行系統(tǒng)中,當銀行不能對其欠款進行償付,即發(fā)生違約現(xiàn)象。當一家銀行的資本數(shù)額較大時,其應對大規(guī)模償付的能力相對較強,發(fā)生違約的風險較低。相反,若一家銀行的資本水平較低時,其應對大規(guī)模償付的能力相對較差,發(fā)生違約的風險較高。當一家銀行的資本不足以對外償付時,即失去償債能力,陷入破產(chǎn)危機。為防止銀行倒閉,保證銀行系統(tǒng)和金融系統(tǒng)的穩(wěn)定性,銀行監(jiān)管機構(gòu)通常會采取一系列措施對銀行的資本進行監(jiān)管。監(jiān)管的目的是使銀行維持充裕的資本金,防止商業(yè)業(yè)銀行資不抵債狀況的發(fā)生。一旦多家銀行發(fā)生違約狀況,銀行系統(tǒng)就會發(fā)生系統(tǒng)性風險,從而引發(fā)金融危機。本文從復雜網(wǎng)絡(luò)的角度出發(fā),探求商業(yè)銀行資本充足率與其同業(yè)業(yè)務(wù)之間的聯(lián)動關(guān)系。通過梳理和總結(jié)國內(nèi)外學術(shù)界關(guān)于復雜網(wǎng)絡(luò)和商業(yè)銀行資本充足率方面的研究,闡述復雜網(wǎng)絡(luò)和商業(yè)銀行資本充足率的主要理論知識及巴塞爾協(xié)議發(fā)展歷程,構(gòu)建出以各商業(yè)銀行作為節(jié)點、以風險之間存在的直接影響關(guān)系為邊、基于商業(yè)銀行資本穩(wěn)定性的無向加權(quán)關(guān)系網(wǎng)絡(luò)。并依據(jù)銀行自身特性及在銀行業(yè)務(wù)網(wǎng)絡(luò)拓撲結(jié)構(gòu)設(shè)定網(wǎng)絡(luò)閾值,即商業(yè)最低資本水平。最后,從三個層面出發(fā)對網(wǎng)絡(luò)做出分析和評價:從微觀層面對網(wǎng)絡(luò)中各節(jié)點統(tǒng)計參數(shù)進行分析,識別網(wǎng)絡(luò)中的Hub節(jié)點,定位關(guān)鍵性風險;從中觀層面對網(wǎng)絡(luò)中Hub節(jié)點所在局部網(wǎng)絡(luò)進行分析,設(shè)定Hub節(jié)點觸發(fā)風險的閾值范圍,識別網(wǎng)絡(luò)中與Hub節(jié)點緊密相連的關(guān)聯(lián)節(jié)點,模擬局部網(wǎng)絡(luò)風險動態(tài)傳播途徑;從宏觀層面對網(wǎng)絡(luò)整體的拓撲結(jié)構(gòu)及網(wǎng)絡(luò)特性進行分析,模擬風險在整個網(wǎng)絡(luò)中的傳播路徑,并據(jù)此提出風險防范措施及相關(guān)流動性救助策略。
[Abstract]:With the continuous development of the world economy and finance, the stability of the economic operation cycle, especially the stability of the financial system, has become the key point of the sustained and stable development of the current society. Commercial banking system with its development scale, play a role in the financial system become an indispensable important role in the banking system. The stability and security of capital flows depend not only on the characteristics of each participating bank and its operating financial situation, but also on the structure of the entire banking system and the economic and financial environment in which it is located. The role of banking regulatory authorities is to use a series of regulatory policies and means to identify and isolate existing or potential risks in the banking system. Ensure that the stability of the entire banking system is not affected by the default of one or a few banks. In the banking system, when a bank is unable to pay its arrears. When the amount of capital of a bank is relatively large, its ability to cope with large-scale repayment is relatively strong, and the risk of default is lower. On the contrary, if a bank has a lower level of capital. Its ability to cope with large-scale payments is relatively poor, and the risk of default is high. When a bank's capital is insufficient to pay its debts, it becomes insolvent and falls into a bankruptcy crisis... in order to prevent the bank from collapsing. To ensure the stability of the banking system and the financial system, bank regulators usually take a series of measures to regulate the capital of banks. Once many banks default, there will be systemic risk in the banking system, which will lead to financial crisis. This paper starts from the point of view of complex network. Through combing and summing up the research on complex network and capital adequacy ratio of commercial banks at home and abroad, this paper explores the linkage relationship between the capital adequacy ratio of commercial banks and their interbank business. This paper expounds the main theoretical knowledge of the capital adequacy ratio of complex networks and commercial banks and the development course of the Basel Accord, and constructs the direct influence relationship between the risk and the commercial banks as the node. Based on the capital stability of commercial banks, an undirected weighted relational network. According to the characteristics of banks and the topological structure of the banking network, the network threshold is set, that is, the commercial minimum capital level. Finally. Analyzing and evaluating the network from three aspects: analyzing the statistical parameters of each node in the network from the micro level, identifying the Hub nodes in the network and locating the key risks; This paper analyzes the local network of Hub nodes in the network from the mesoscopic level, sets the threshold range of the trigger risk of Hub nodes, and identifies the associated nodes closely connected with Hub nodes in the network. Simulates the local network risk dynamic propagation way; This paper analyzes the topology and characteristics of the whole network from the macro level, simulates the propagation path of the risk in the whole network, and puts forward the risk prevention measures and the relevant liquidity rescue strategies.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F832.33

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