金融网络结构与风险传染的模型探析

Model Analysis of Financial Network Structure and Risk Contagion

本文针对金融系统中的风险传染问题,借助Eiscnbcrg-Noc模型,构建传染变量来衡量系统中的违约事件,探讨了不同规模冲击下的风险传染效应。研究发现:资产负债率与风险传染发生概率呈正相关关系,同时,当冲击规模较大时,原始节点的债务违约将依次触发其它节点纷纷违约。本文结论表明:第一,在遭受经济冲击或金融危机时,金融系统内存在多重不确定的问题;第二,由于网络结构的高度连接性,单一金融机构的违约可能引发系统性危机。

This paper focuses on the risk contagion problem in the financial system,using the Eisenberg-Noe model to construct contagion variables to measure default events in the system,and explores the risk contagion effects under different scale shocks.Research has found that there is a positive correlation between the asset liability ratio and the probability of risk contagion.At the same time,when the impact scale is large,the debt default of the original node will sequentially trigger other nodes to default.The conclusion of this paper indicates that,firstly,there are multiple uncertain problems within the financial system when facing economic shocks or financial crises;Secondly,due to the high connectivity of the network structure,the default of a single financial institution may trigger a systemic crisis.