网络结构下的中国银行间债务违约传染风险分析——同业负债关联与金融市场的双维数据视角

The Risk Analysis of Chinese Inter-bank Debt Default Contagion Under Network Structure—A Two-dimensional Data Perspective of Inter-bank Debt and Financial Market

基于KMV模型和PageRank算法,提出新的测算银行间双边风险敞口的具体方法,并从同业债务违约视角模拟分析了银行间传染风险。研究表明:在每一个年份,商业银行同业负债引发传染风险可能性的排名都不相同,呈现出时变属性;中国国有大型商业银行的传染风险权重在整个银行体系中并不突出,说明中国国有大型商业银行倒闭引发传染风险的概率很低;中小商业银行既是传染风险的主要发起者,又是主要承受者;国有大型商业银行几乎不受传染风险的影响,即使银行体系出现大规模传染危机也不会倒闭。此外,即使样本中其他23家商业银行全部倒闭,中国银行、中国工商银行、中国建设银行、中国农业银行和招商银行的资本均不会低于监管要求,说明这几家商业银行能够在传染风险中保持较高的资本充足率水平,基本不会出现倒闭风险。

Research on contagion risk is hampered by the limitations of data to obtain exposure to bilateral interbank debt.Although scholars make some reasonable assumptions about the risk exposure distribution of interbank debt,it is often far from the reality,and excessive reliance on the balance sheet will lead to calculation results without considering the information of capital market.Based on the research framework of scholars,this paper proposes a new specific method to calculate the bilateral risk exposure of banks based on the KMV model and PageRank algorithm,simulates and analyzes the risk of inter-bank contagion from the perspective of inter-bank debt default.The overall conclusion shows that for each year,the ranking of the possibility of contagion risk caused by commercial bank liabilities is different,showing time-varying property.The weight of contagion risk of large state-owned commercial banks is not very prominent in the whole banking system,which indicates that the probability of contagion risk caused by the failure of large state-owned commercial banks is very low.Small and medium-sized commercial banks are not only the initiators but also the main acceptor of contagion risk.Large state-owned commercial banks are almost immune from contagion risk and would not fail even if there were a large-scale contagion crisis in the banking system.Moreover,this paper found that even if all the commercial banks,the bank of China,industrial and commercial bank of China,China construction bank,agricultural bank of China and China merchants bank were not lower than the regulatory capital requirements,this shows that these commercial banks still maintain a higher level of capital adequacy ratio in the contagion risk,basically,it will have not failure risk.