银行资产监测中的系统性风险问题仿真

Simulation of Systemic Risk for Monitoring of Bank Asset

传统的银行资产风险监测仅针对单个银行的资本充足率、拨备覆盖率、不良资产率等指标进行监管。然而由于银行间的互相拆借关系,银行的资产风险不仅和银行自身有关,还与别的银行有关,即银行的系统性风险对银行资产风险有重要的影响。针对银行系统性风险问题,构建具有相关性的银行间资产波动模型,提出仿真算法对银行系统性风险进行计算机仿真,仿真结果得到了不同相关系数条件下的银行发生系统性风险的概率。研究结果表明:当银行系统稳定(银行资产波动率小)时,银行系统性风险会随着资产相关性的上升而上升;当银行系统较为稳定时,系统性风险会随着资产相关性的上升而先下降,然后再上升,即存在一个不为零的相关系数使得系统性风险最小;当银行系统不稳时,系统性风险也会随着资产相关性的上升而先下降,然后上升,但此时银行系统性风险已经很高。因此资产相关性作为衡量系统性风险的指标可以对系统性风险进行有效的监测。

Aiming at the the bank system risk problem, the paper presented a model that incorporates the corre- lation between bank asset volatility. An algorithm of simulation on the bank system risk was proposed in the paper, and then a computer simulation was carried out with the model. The simulation results obtain the probability of bank- ing systemic risk under the condition of different correlated coefficients. The results show that ： when the banking sys- tem is stable （ the fluctuation rate of bank assets is small）, bank system risk will rise along with the asset correlation ; when the banking system is relatively stable, the systemic risk will decline at first, and then rise, which means that there is not a correlation coefficient of zero makes systemic risk minimum ; when the banking system is instable, the systemic risk will first decrease and then increase, but the bank systemic risk is very high. The asset correlation as a measure of systemic risk index can be more effective for monitoring of systemic risk.