基于展期风险模型的系统性风险分析

Analysis of Systemic Risk Based on the Rollover Risk Model

基于拓扑结构的视角,分析了风险分担机制诱发的系统性风险.构建了展期风险模型,并以簇状网络和环状网络为例,从风险的传染性和银行脆弱性两方面探讨了展期风险沿横向风险分担机制传染的情形,比较了不同网络结构对系统性风险的影响.结果表明:虽然风险分担机制的采用会降低银行的自有风险,但从银行系统整体来看风险分担机制会导致各银行的资产组合呈现出高度相关性,在外生冲击条件下可能会引发未曾预料的系统性风险.

From the perspective of network topology,we discuss the systemic risk caused by the horizontal risk-sharing mechanism.In this paper,we set up the rollover risk model.Based on the model,we analysis the pairwise stability network including the clustered network and the ring network,and compare the effects of topological structure on systemic risk from the aspects of contagion and fragility.The result shows us that the systemic risk can be induced by the horizontal risk sharing mechanism when the exogenous shock happens,and the topological structure of network will affect systemic risk.