基于动物传染病模型的我国银行间风险传染效应研究

Study on Risk Contagion Effect of the Banking Based on the SIR Epidemic Model

本文利用SIR动物传染病模型对银行体系市场风险传染进行了分析,并进行仿真模拟。结论表明:银行间风险扩散传染趋势主要取决于风险有效传播的概率,风险感染状态银行获得对风险免疫能力的概率和风险感染状态银行退出市场的概率;基本再生数小于1时,风险将逐渐被化解,不会形成风险扩散蔓延的情况。最后,从优化经营环境、强化内控建设等四方面提出防范市场风险在银行间传染的免疫策略。

As the recent national financial work conference highlighted guarding against and solving financial risks,this paper uses the SIR epidemic model to analyze the market risk contagion of the banking system with performing analogue simulation,and the conclusion shows that the trend of inter-bank market risks spread is mainly due to the probability of effective risk transmission,the probability of the infected banks to acquire immunity and the probability of the infected banks to withdraw from the market.When the basic regeneration number is less than 1,the risks will be gradually solved and not proliferate and spread widely.Finally,the paper also propound immune strategies to against the contagious inter-bank market risks such as optimizing the business environment and strengthening the banking inter controls and other four tactics.