同业金融网络视角下的银行系统风险研究

Research on the Systemic Risk of Banking System from the Perspective of the Interbank Financial Networks

2008年国际金融危机反映出过度创新会加剧金融系统风险积累,金融机构关联性增加也会提高金融体系的脆弱性。在公开披露数据基础上,本文构建了我国主要上市银行组成的同业金融网络和风险传导模型,并通过Shapley值方法分析了个体银行的系统风险。研究发现,在传统同业业务口径下,四大国有银行是同业金融网络的核心枢纽,具有较强风险溢出效应和突出系统重要性;在广义同业业务口径下,大型股份制银行也具有同业金融网络枢纽的特征,对系统内的风险溢出效应明显增多。通过冲击风险传染模拟发现,四大国有银行单位资产蕴含的系统风险较低,反映对系统重要性机构更高的监管要求有助于增强金融系统的稳健性。

The financial crisis in 2008 reflects that excessive innovation could promote the systemic risk accumulation and the relevance of the financial institutions could exacerbate the vulnerability of financial systems.Based on the publicly disclosed data,this paper constructs interbank financial network and risk contagion model of China's main listed banks,it also analyzes the systemic risk of the individual banks by using the Shapley value method.In the traditional interbank business,it reveals that the four large joint-stock banks are the core hinge among the interbank financial networks and they have stronger risk spillover effect and prominent systemic importance;while in the broad interbank business,the stock-holding banks with large scale bear the same features as the interbank financial networks and exert more obvious risk spillover effect within the system.Through the shocking risk contagion simulation,it is found that the four largest banks contain less systemic risk per unit asset than the small-medium ones.