银行风险传染随机模型研究被引量：14

Research on the Stochastic Models of Contagion of Banking Risk

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摘要借鉴生物学中传染病模型,建立了银行风险传染的随机模型。描述了银行风险在银行系统中的传染过程,分析了受传染银行的数目变化规律以及银行风险传染率、银行间的关联度和银行风险治理率对银行风险传染的影响。分析结果表明:通过降低传染率、降低关联度或增加治理率都可以控制银行风险的传染,并且降低银行间的关联度比增加治理率对控制银行风险传染的效果更好。 Drawing on the infectious disease models in biology,the paper builds the stochastic models of contagion of banking risk,which describe the transmission process of banking risk in the banking system.It then analyzes the variation law of the number of infected banks,and explores the impact on banking risk contagion of the spread rate of banking risk,the inter-bank correlation degree and the treatment rate of banking risk.The results show that the transmission of banking risk can be controlled by decreasing the spread rate of banking risk,reducing the inter-bank correlation degree or increasing the treat rate;the paper also concludes that decreasing the inter-bank correlation degree is more effective than increasing the treatment rate.

作者李守伟何建敏龚晨

机构地区东南大学经济管理学院东南大学信息科学与工程学院

出处《统计与信息论坛》 CSSCI 2010年第12期26-30,共5页 Journal of Statistics and Information

基金国家自然科学基金项目<流动性调整期望损失La-ES和最优变现策略>(70671025) 江苏省自然科学基金项目<基于复杂网络的非常规突发事件信息传播模型与实证研究>(BK2009290) 东南大学优秀博士学位论文基金资助<基于复杂网络的银行间传染风险演化模型与实证研究>(YBJJ1014)

关键词银行风险传染率关联度治理率 banking risk spread rate correlation degree treatment rate

分类号 F830 [经济管理—金融学]

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参考文献16

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二级参考文献31

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