小世界银行网络、非线性效应和尾部风险:随机动态视角

Small World Network of Banks,Nonlinear Effects and Tail Risk:A Stochastic Dynamics Perspective

防范和化解系统性金融风险是中国当前经济社会发展中的重大问题。众所周知,支付系统是银行间系统性风险传染的主要渠道之一。本文基于“中国现代化支付系统(2006-2015)”的支付结算数据,建立银行间复杂网络并研究了网络的拓扑性质,在此基础上采用随机动态模型与代数动力学方法,探索了银行业系统性风险及其概率分布的演化规律问题,并讨论了风险的影响因素。研究结果表明,采用支付结算数据建立的中国银行间复杂网络具有小世界性,各节点关联度较高。在没有外界干预的情况下,系统中有可能发生极端风险事件;而外界的随机扰动会增大风险,因此科学、高效的监管十分必要。银行间网络中的非线性效应对系统性风险有吸收、抑制作用。以上研究对丰富系统性风险理论、健全宏观审慎监管机制具有一定的参考价值,同时对于中国支付系统的设计和优化,也有一定的借鉴作用。

Preventing and resolving systemic financial risk is an important problem in Chinese current economic and social development.As we all know,payment system is one of the main channels of systemic risk contagion among banks.Based on the payment and settlement data of Chinese payment system 2006-2015,this paper establishes a complex inter-bank network and studies the topological properties of the network.On this basis,the stochastic dynamic model(stochastic NWMY equation and corresponding Fokker-Planck equation)and algebra dynamics method are used to explore the evolution of systemic risk and its probability distribution in banking industry,and the influencing factors of risk are discussed.The results show that the complex inter-bank network established by payment and settlement data has small world feature,and the correlation degree of each node is high.In the absence of external intervention,extreme risk events may occur in the system,and the random disturbance from the outside world will increase the risk,so scientific and efficient supervision is necessary.The nonlinear effect in interbank network absorbs and suppresses systemic risk.The above research has certain reference value for enriching systemic risk theory and perfecting macro-prudential supervision mechanism,and also has certain reference function for the design and optimization of payment system in China.