摘要
为研究风险冲击在复杂金融系统中的传播与扩散机制,并对系统风险进行刻画与度量,通过模型分析和基于合成数据的仿真模拟,系统地研究了不同流动性水平和操作风险对系统造成的流动性冲击,分析了不同类别冲击对系统参与者和对系统结算效率的影响。研究发现,风险银行在支付网络中的地位及与其他参与者之间的支付流关系决定了一阶冲击的规模和分布;而一阶冲击的分布、参与者的流动性水平和系统参与者自身的稳健性决定了系统冲击的规模和分布。在此基础上构建的系统效应指标能很好地度量不同场景下的系统风险水平。
In order to research the shock's contagion in a complex financial network, and to measure the systemic risk, the impact of operational event on the other participants and settlement efficiency of sys- tem under different scenarios are studied based on the mathematical modeling and simulation. The results show that the importance and position of risky bank in payment networks determine the scale and distri- bution of first order shocks. The distribution of first order shocks, the liquidity level and the robustness of participants determine the scale and distribution of second order shocks. Constructed systemic effect index can be a good-fitting tool for the measurement of systemic risk.
出处
《吉林大学学报(信息科学版)》
CAS
2012年第3期297-305,共9页
Journal of Jilin University(Information Science Edition)
基金
国家自然科学基金资助项目(71003081)
国家社会科学基金重点资助项目(11AZD077)
西南财经大学211工程基金资助项目(211QN10060)
关键词
大额支付系统
系统风险
操作风险
流动性冲击
large value payment system
systemic risk
operational risk
liquidity shock