动态银行网络系统中系统性风险定量计算方法研究

Calculation of system risk in a dynamical bank network system

采用复杂网络理论研究银行网络系统中的系统性风险问题已有较多的报道.这些研究大多假设银行网络系统是静态的(银行节点是静态的,银行节点间的借贷关系也是静态的),然后在系统性风险已经累积到爆发的情况下,研究风险爆发后,风险在静态网络系统中的传染与网络结构的关系.然而对于系统性风险如何在银行网络中累积直至爆发的问题的研究还很少.系统风险的累积过程需在动态演化的银行网络系统中才能实现,同时观察风险累积过程需对系统风险进行定量估算.因此,本文首先建立带有宏观经济趋势及多期清算的动态银行网络系统模型;提出系统风险的定量计算方法;最后对系统风险进行仿真计算与分析,得到了系统风险变化曲线,显示了系统风险累积的过程.该研究为定量研究动态银行网络系统的风险累积问题奠定了基础.

There have been many researches and rich results on the system risk in bank network systems that use complex .network theory. Researches to date focus on the relationship between the contagion of the risk and the structure of the network after risk bursting, based on the assumptions that the accumulation of the system risk in network systems has approached the critical point of bursting and that the network is static （both the node and connection of the bank network are static）.However, the problem why the system risk accumulates gradually and finally bursts in the network has not been addressed yet. The study on the system risk accumulation can only be conducted in dynamically evolving bank network systems; and the risk can be observed clearly only if the system risk is evaluated quantitatively. Therefore, a dynamically evolving complex bank network system, which has nodes of dynamic behavior and exhibits macroeconomic trends, is modelled first in the present paper. A lending-borrowing algorithm and a multi-term clearing algorithm for the dynamic bank network system are designed, and the method for calculating the system risk is proposed also. Finally, the system risk is calculated and analyzed by simulation. The curve of the system risk evolving with time is shown and the process of the accumulation of the system risk can be observed clearly. Researches in the present paper are to lay a foundation for the quantitative study of the system risk accumulation in dynamically evolving bank network systems.