基于银企间多层金融网络的系统性风险传导机制及建模研究

Systematic Risk Contagion Mechanism and Modeling Based on Multi-Layer Financial Network between Banks and Firms

金融系统中的多种关系虽然提高了金融服务的便捷性,但也使得风险传导的渠道更为复杂。本文致力于构建包含银行同业拆借关系、银企间借贷关系和企业间担保关系的银企间多层金融网络。基于银行和企业两类主体的资产负债表内及表外业务,阐述各主体间的债务债权关系,明确风险构成要素。综合考虑初始冲击导致的个体风险、信用风险以及市场流动性风险等因素,从分层传导和分步传染两个角度描述风险传导机制,提出网络结构中的传染效应。同时,基于Debtrank算法提出风险传导过程中的测度方法,构建对个体与整体风险状态的测度思路。

Although the various relationships in the financial system have improved the convenience of fi-nancial services,they also make the risk contagion more complicated.This paper is devoted to the construction of a multi-layer financial network between banks and firms,including interbank lending,bank-firm lending and inter-firm guarantee relationships.Based on the balance sheet and off-balance-sheet business of banks and firms,we explain the relationship of rights and responsi-bilities between the various entities and clarify the risk components.Considering factors such as individual risk,credit risk and market liquidity risk,we describe the risk contagion mechanism from the perspective of layered conduction and step-by-step infection,and propose the contagion effect in the network structure.At the same time,based on the Debtrank algorithm,we construct a methodological approach to the individual and overall risk status in the risk conduction process.