关键词: 银行间市场, 清算顺序, 风险免疫, 货币池

Abstract: The risk infection is possible with cross-holdings between banks with deposits or interbank lending. In this paper,we explain the possible mechanism of infection for interbank deposits using three-step liquidity preference analyzing frame,and discuss the difference of the asset auditting order affect the bank system fragility. In addition, we probe into the probability of optimizing the asset auditing order from the cooperation game. Here we argue that the Allen-Gale model can be used to analysis the risk contagion inter banks only if the liquidity fluctuates big enough. However,when the liquidity shortage remain in [ε,ε] the optimizing asset auditing order is the best and the contagion can be avoided at some probability.Then we also proposed a "currency pool" of the immune structure model, when there is no asymmetric information of bank assets, the structure can be inter-bank risk-sharing and prevent the risk infection. Therefore, we provide an antibody of risk infection interbanks market from micro view.

Key words: interbank market, liquidating order, micro-decision making, risk immunity, currency pool