基于R藤Copula模型的银行间风险传染路径研究

A Study on Inter-Bank Risk Contagion Based on the R-Vine Copula Model

为防范银行业综合化经营所产生的银行间风险传染,维护金融安全,在银行间市场引入R藤Copula模型,对我国不同时期银行间的相依结构进行刻画,研究表明:我国上市银行间具有较强的正相依性,且在危机时期风险传染效应将增强;国有银行的相依结构较其他商业银行稳定;建设银行与中国银行是我国现阶段藤结构中的主要节点;农业银行、南京银行等则处于藤结构的边缘位置。根据银行间的相依结构特征,各上市银行应当及时做好相应的应对外生性金融风险的预案。

In order to prevent the inter-bank risk contagion caused by the comprehensive operation of the banking industry and maintain the financial security,the R-vine Copula model was introduced into the inter-bank market to describe the inter-bank dependency structure in different periods in China.The research shows that there is a strong positive correlation between listed banks in China,and the risk contagion effect will be enhanced during the crisis.The dependency structure of state-owned banks is more stable than that of other commercial banks.China Construction Bank and Bank of China are the main nodes of rattan structure in China.Agricultural Bank of China,Bank of Nanjing,etc.are in the marginal position of rattan structure.According to the characteristics of inter-bank dependency structure,each listed bank should make corresponding plans to deal with exogenous financial risks in time.