摘要
本文分析当银行遭受不同类型初始冲击时,传染概率、传染范围、损失程度随资产多样化程度、初始冲击程度变化的分布情况。研究表明,在两类传染途径共同作用下,资产多样化程度和初始冲击程度很低时风险传染概率与范围仍呈现较高水平,资产多样化程度较高时风险传染概率与范围呈现较低水平;不同网络结构中资产多样化对于初始冲击具有不同的吸收能力,且传染范围呈现出明显的由稳定转向非稳定的相变过程;在传染范围稳定的区域,损失程度仍随资产多样化程度的增加而增大。
The authors of this paper analyze the changes in contagion probability,contagion range,loss degree due to the asset diversification degree and initial impact degree when banks suffer different types of initial impact.The results of the paper show that,the two types of contagion channel make the contagion possibility and contagion range great when the asset diversification and initial impact are at a low level,and small when the asset diversification is at a high level;the ability of the asset diversification to absorb initial impact varies in different network structure,and the contagion range shows a clear phase transition from stable to unstable;in the zone of stable contagion,the loss degree rises with the increase in as- set diversification level.
出处
《金融论坛》
CSSCI
北大核心
2019年第1期12-25,共14页
Finance Forum
基金
国家自然科学基金项目(71173140)
山西省高等学校人文社会科学重点研究基地项目(2017323)
山西省重点学科建设专项项目(晋教财[2013]289号)
山西省研究生教育创新项目(2017BY095)
关键词
银行同业网络
系统风险
金融风险传染
对手违约风险
共同资产持有风险
inter-bank network
systemic risk
financial risk contagion
risk of counter-party default
risk of holding com- mon asset
