基于复杂网络的商业银行流动性风险评价
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引用本文:任英华,谢佳汇,周金龙,张洁莹.基于复杂网络的商业银行流动性风险评价[J].湖南大学学报社会科学版,2020,(4):65-73
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任英华,谢佳汇,周金龙,张洁莹 (湖南大学 金融与统计学院湖南 长沙 410079) 
中文摘要:基于商业银行流动性风险传染网络,本研究分析流动性风险在经济繁荣和经济衰退下的网络传染机制和网络特征。实证表明:商业银行流动性风险传染机制具有层次性和反传染性;传染网络在经济繁荣(高阈值网络)时符合无标度特性,在经济衰退(低阈值网络)时符合小世界特性;高阈值网络中多数国有银行易受攻击,低阈值网络中股份制银行易受攻击;股份制银行具有传染性和易感性,并充当传染中介角色。在宏微观审慎监管下,监管部门应加强对商业银行流动性风险指标的监测,并同时关注银行外部业务联系,及时监测流动性风险,防患于未然。
中文关键词:商业银行流动性风险  风险传染  万有引力模型  复杂网络
 
A Study of Commercial Banks’ Liquidity Risk Contagion Based on Complex Network
Abstract:Commercial banks' liquidity risk contagion networks are constructed to study the contagion mechanism and characteristics of its networks under booming and depressed economy. The empirical findings show that, the liquidity risk contagion is hierarchical and is capable of rebounding between commercial banks in different properties; the contagion networks are scale-free in stable economy (high threshold network) while small-world in poor economy (low threshold network); state-owned banks in high threshold networks are vulnerable to be attacked, and joint-stock banks in low-threshold networks are vulnerable; joint-stock banks are contagious and susceptible, and act as the core transfer intermediary of risks. Therefore, under the macro-micro prudential supervision, the monitoring of liquidity risk indicators of commercial banks should be strengthened, and at the same time, attention should be paid to the external business contacts among banks for the sake of preventing and monitoring liquidity risks in time.
keywords:liquidity risk of commercial banks  risk contagion  gravitation method  complex networks
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