融合CDS网络的银行间信用风险传染模型研究

doi:10.16381/j.cnki.issn1003-207x.2019.1033

Abstract

Abstract: Through payment, settlement, bill, loan and other businesses, banks have established a connected inter-bank market, which amplifies the contagion effect and damage degree of credit risk. However, Credit Default Swap (CDS) is an effective way to mitigate the spillover effect of inter-bank credit risk. In this article, with the help of complex network theory, the inter-bank credit risk contagion effect and the credit risk inhibition effect of CDS on Banks are considered, and a two-layer network model of inter-bank credit risk contagion that integrates CDS network is constructed. The results show that: (1) the credit risk contagion threshold of the bank networkλ_B^*presents monotonically increasing characteristics with the increase of CDS network inhibition rateλ_C. Moreover, compared with homogeneous network structure, the contagion threshold of bank networkλ_B^*credit risk under heterogeneous network structure is relatively small. (2) The credit risk inhibition threshold of the CDS networkλ_C^*presents a monotonically increasing feature with the increase of the contagion rate of the bank networkλ_B. Moreover, the credit risk suppression threshold of CDS networksλ_C^*with homogeneous network structure is higher than that of CDS networks with heterogeneous network structure. (3) With the increase of CDS inhibition rateλ_C, the final bankruptcy scale of the bank networkR_B(∞)presents a monotonic decreasing characteristic; withthe increase of bank infection rateλ_B, it presents a monotonic increasing characteristic. Moreover, the scale of bank bankruptcyR_B(∞)under heterogeneous network structure is larger than that under homogeneous network structure. (4) With the increase of bank contagion rateλ_B, the bankruptcy scale of CDS network presents a monotonically increasing feature. Moreover, the bankruptcy scale of CDS networkR_C(∞)under homogeneous network structure is larger than that under heterogeneous network structure.The model and research results designed in this paper will provide new ideas for the application of two-layer network in the study of Banks and CDS counterparty credit risk contagion.

Key words: credit default swap, contagion of credit risk, restraining effect, contagion effect, the network structure

CLC Number:

F830
F276

CHEN Ting-qiang, ZHOU Wen-jing, TONG Mao-di, LIU Hai-fei. Research on the Model of Inter-bank Credit Risk Contagion by Fusing CDS Networks[J]. Chinese Journal of Management Science, 2020, 28(6): 24-37.

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Research on the Model of Inter-bank Credit Risk Contagion by Fusing CDS Networks

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