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中国管理科学 ›› 2016, Vol. 24 ›› Issue (1): 67-75.doi: 10.16381/j.cnki.issn1003-207x.2016.01.008

• 论文 • 上一篇    下一篇

基于多主体建模分析的银行间网络系统性风险研究

邓超1, 陈学军1,2   

  1. 1. 中南大学商学院, 湖南 长沙 410083;
    2. 中国人民银行郑州培训学院, 河南 郑州 450011
  • 收稿日期:2013-07-14 修回日期:2014-09-09 出版日期:2016-01-20 发布日期:2016-01-28
  • 通讯作者: 陈学军(1969-),男(汉族),河南开封人,中南大学商学院博士研究生,中国人民银行郑州培训学院,研究方向:宏观审慎管理、金融工程,E-mail:chenxuejun@pbcti.cn. E-mail:chenxuejun@pbcti.cn
  • 基金资助:

    国家自然科学基金资助项目(71173241);教育部新世纪人才基金(NCET-10-0830)

Studyon Multi-agent Models Analyses for Systemic Risk from the Interbank Network

DENG Chao1, CHEN Xue-jun1,2   

  1. 1. Business School of Central South University, Changsha 410083, China;
    2. Zhengzhou Training Institute, The People's Bank of China, Zhengzhou 450011, China
  • Received:2013-07-14 Revised:2014-09-09 Online:2016-01-20 Published:2016-01-28

摘要: 本文基于多主体建模分析了银行间核心-边缘网络的系统性风险。模型假设银行通过最优投资组合配置,在流动性和资本约束前提下谋求利润最大化。通过建立银行间市场交易环境的仿真模型,依据银行行为决策动态形成资产负债表与银行间网络敞口的数据,评估金融监管政策在银行间市场的实施效应。同时,引入不同网络结构模型加以对比分析,发现尽管核心-边缘银行间网络体系比无标度网络更易遭受共同冲击和传染风险,但当处于金融困境时,在宏观审慎管理政策机制作用下,核心-边缘网络体系比其他结构网络表现出更强的恢复力特性。

关键词: 多主体模型, 银行间市场, 系统性风险, 核心-边缘网络, 共同冲击

Abstract: In this paper a multi-agent model which analyses for systemic risk from the core-periphery structure in interbank network is proposed. Our model consists of a network of banks, which endogenously determine their optimal portfolio allocation by maximizing profits subject to liquidity and capital constraints. For the simulation framework to be useful for assessment of central bank policy, banking firm behavioral responses must be modelled in the context of interbank market conditions and with automated access to balance sheet and network exposure data to anchor the financial decisions being simulated. Different possible network structures are compared, while interbank markets network with the core-periphery topology is more susceptible to common shock and contagion than scale-free network, it tend to be more resilient to financial distress than others under macroprudential regulation and policy regime.

Key words: multi-agent model, interbank markets, systemic risk, core-periphery network, common shock

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