银行间市场中信用事件风险传染分析——基于银行主体信用评级变化的风险传染建模研究

An analysis of credit risk diffusion in inter-bank market

银行间市场由于银行主体之间通过信用借贷,形成了一种复杂的信用关系网。当银行间市场受到宏观经济或突发性事件影响时,银行主体的信用评级可能会产生移动,即单个银行的信用评级可能升高或降低,甚至信用破产,进而引发信用风险在银行间市场的扩散和传染。因此,有必要对基于银行主体信用评级变动所产生的风险传染的路径和强度进行深入研究。本文构建了用于分析银行间市场中信用评级变化的带自激过程的强度模型,并根据稀疏相关性理论,给出了具有评级变化相关性的两个银行的联合信用安全概率。

Due to the credit lending in the inter-bank market,there exists a complicated credit network.When the inter-bank market is affected by macroeconomic or unexpected events,banks'credit rating may rise,fall or go bankruptcy,which will trigger a credit risk diffusion and contagion in the inter-bank market.In this paper,we study the path and intensity of the risk diffusion arising from the changes of bank credit rating.Inspired by Giesecke(2011)and Yamanaka(2012)models,we first model the point process of each type of credit event with a self-exciting intensity process.Then based on thinning-dependence structure,we obtain the joint probability of credit security for two banks whose rating changes are correlated.