中国银行系统的系统性风险动态演化研究
|
摘要
针对随时间演化的银行系统性风险研究问题,提出一个理论框架,该框架包含动态演化的银行间拆借网络的度估算方法、动态演化的银行的资产负债估算算法及动态演化的银行间拆借的清算算法。然后根据提出的理论框架和我国上市银行2008-2015年的实际数据,构建动态演化的中国银行网络系统,研究中国银行系统的系统性风险动态演化情况,为中央银行防范系统性风险提供决策依据。研究表明:我国银行系统的系统性风险在2009年达到最高值,然后逐年下降,到2015年达到最低点。其中,大资产银行的违约概率是稳定不变的;大部分中资产银行在2009年达到峰值后下降,至2011年以后下降至0并保持稳定;大部分小资产银行的违约概率自2009年达到峰值后下降,但持续波动、不够稳定。虽然小资产银行对系统性风险有一定影响,但由于其在拆借网络中重要性较低,所以整个中国银行系统的系统性风险受它的影响较小。
For the research problem of the dynamical evolutional systematic risk in the banking network system, a theoretical framework is proposed. The framework includes the degree estimation method of the dynamical evolutional interbank lending network structure, the estimation algorithm of dynamical evolutional banks balance sheet, and the dynamic clearing algorithm of the interbank lending. Then the paper constructs the dynamic evolutional Chinese banking network system based on the actual data from 2008 to 2015, and further studies the important banks and the dynamical evolution of the systemic risk in the dynamic Chinese banking network system. The results show that: the systemic risk of the Chinese banking system reached the highest point in 2009; then the risk is decreased year by year until reached zero; finally, the risk is decreased to the lowest point in 2005. For the large asset banks, the default probability is stable and unchanged, while for the most middle asset banks, the default probability reached the highest in 2009, then decreased by year, and decreased to 0 and kept stable since 2011. For the most small asset banks, the default probability is the highest in 2009, and then decreased by year, keeping fluctuated and unstable. The small assets banks cause little effects on the systemic risk of the Chinese banking network system due to the low importance of the small assets banks in the interbank network.
For the research problem of the dynamical evolutional systematic risk in the banking network system, a theoretical framework is proposed. The framework includes the degree estimation method of the dynamical evolutional interbank lending network structure, the estimation algorithm of dynamical evolutional banks balance sheet, and the dynamic clearing algorithm of the interbank lending. Then the paper constructs the dynamic evolutional Chinese banking network system based on the actual data from 2008 to 2015, and further studies the important banks and the dynamical evolution of the systemic risk in the dynamic Chinese banking network system. The results show that: the systemic risk of the Chinese banking system reached the highest point in 2009; then the risk is decreased year by year until reached zero; finally, the risk is decreased to the lowest point in 2005. For the large asset banks, the default probability is stable and unchanged, while for the most middle asset banks, the default probability reached the highest in 2009, then decreased by year, and decreased to 0 and kept stable since 2011. For the most small asset banks, the default probability is the highest in 2009, and then decreased by year, keeping fluctuated and unstable. The small assets banks cause little effects on the systemic risk of the Chinese banking network system due to the low importance of the small assets banks in the interbank network.
引文
[1] Kaufman G G,Scott K E.What is Systemic Risk,and Do Bank Regulators Retard or Contribute to It?[J].Independent Review,2003,7(3):371- 391.
[2] Schwarcz S L.Systemic Risk [J].Social Science Electronic Publishing,2008,97(466):193-249.
[3] Billio M,Getmansky M,LO A W,et al.Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors [J].Journal of Financial Economics,2012,104(3):535-559.
[4] Jang I,Ahn M,Kang C.A Simple Method for Measuring Systemic Risk Using Credit Default Swap Market Data [J].Journal of Economic Development,2013,38(4):75-100.
[5] 肖璞,刘轶,杨苏梅.相互关联性、风险溢出与系统重要性银行识别[J].金融研究,2012(12):96-106.
[6] Adrian T,Brunnermeier M K.Covar [J].American Economic Review,2016,106(7):1705-1741.
[7] 曹小秋,吴园园,吴鹏昆.基于网络的系统性风险测度方法及其在中国银行业的应用[J].数学的实践与认识,2017,47 (4):83-93.
[8] 白雪梅,石大龙.中国金融体系的系统性风险度量[J].国际金融研究,2014(6):75-85.
[9] Huang X,Zhou H,Zhu H.A Framework for Assessing the Systemic Risk of Major Financial Institutions [J].Journal of Banking & Finance,2009,33(11):2036-2049.
[10] 隋聪,谭照林,王宗尧.基于网络视角的银行业系统性风险度量方法[J].中国管理科学,2016,24(5):54-64.
[11] Acharya V V,Pedersen L H,Philippon T,et al.Measuring Systemic Risk [J].Working Paper,2010,29(1002):85-119.
[12] Liao S,Sojli E,Tham W W.Managing Systemic Risk in the Netherlands [J].International Review of Economics & Finance,2015(40):231-245.
[13] 许博,刘鲁.银行间市场体系的相继违约风险分析与建模[J].系统工程,2013,29(06):217-222.
[14] 范宏,高倩倩.宏观经济波动下央行调控对银行稳定性的影响[J].系统工程,2017,35(11):26-36.
[15] 徐荣贞,刘梦卓,姚伟.金融生态恢复力视角下系统性风险 [J].系统工程,2017,35(02):30-35.
[16] 朱元倩,苗雨峰.关于系统性风险度量和预警的模型综述[J].国际金融研究,2012(1):79-88.
[17] 吕江林,赖娟.我国金融系统性风险预警指标体系的构建与应用[J].江西财经大学学报,2011(2):5-11.
[18] Frankel J A,Rose A K.Currency Crashes in Emerging Markets:An Empirical Treatment [J].International Finance Discussion Papers,1996,41(3-4):351-366.
[19] Kaminsky G,Lizondo S,Reinhart C M.Leading Indicators of Currency Crises [J].IMF Economic Review,1998,45(1):1-48.
[20] Allen F,Gale D.Financial Contagion [J].Levines Working Paper Archive,2000,108(1):1-33.
[21] Black F,Scholes M.The Pricing of Options and Corporate Liabilities [J].Journal of Political Economy,2015,81(3):637-654.
[22] 隋聪,迟国泰,王宗尧.网络结构与银行系统性风险[J].管理科学学报,2014,17(4):57-70.
[23] 刘红忠,赵玉洁,周冬华.公允价值会计能否放大银行体系的系统性风险[J].金融研究,2011(4):82-99.
[24] 彭锋.系统重要性金融机构的风险度量与监管[J].中国金融,2012(3):28-30.
[25] 张强,吴敏.中国系统重要性银行评估:来自2006-2010年中国上市银行的证据[J].上海金融,2011(11):39-42.
[26] 李虹含,杨驰.中国银行业系统性风险的测量方法与实证研究[J].广西大学学报(哲学社会科学版),2015,37(2):81-87.
[27] Dale F Gray A A J.Systemic CCA-A Model Approach to Systemic Risk.Available online:https://pdfs.semanticscholar.org/c179/e84048c64c731da37ac70f18a196f990f035.pdf,2010.
[28] A.Lehar,“Measuring systemic risk:A risk management approach,” Journal of Banking & Finance,2005,29(10):2577-2603.
[29] Eisenberg L,Noe T H.Systemic Risk in Financial Systems [J].Management Science,2001,47(47):236-249.
[30] Kanno M.Assessing Systemic Risk Using Interbank Exposures in the Global Banking System [J].Journal of Financial Stability,2015,20:105-130.
[31] Upper C.Simulation Methods to Assess the Danger of Contagion in Interbank Markets [J].Journal of Financial Stability,2011,7(3):111-125.
[32] Wells S J.Financial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion [J].Social Science Electronic Publishing,2004(3):331.
[33] Censor Y A,Zenios S A.Parallel Optimization:Theory,Algorithms and Applications [M].Computers and Mathematics with Applications,1998,35(9):143-143.
[34] Duan J C.Correction:Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994,4/2,155-167) [J].Mathematical Finance,2000,4(4):155-167.
[35] Duan J C,Simonato J G.On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models.Available online:https://rmi.nus.edu.sg/DuanJC/index_files/files/KMV-MLE_Nov%2030%202004.pdf,2005.
[36] 吴思竹,张智雄.网络中心度计算方法研究综述[J].图书情报工作,2010,54(18):107-110.
[2] Schwarcz S L.Systemic Risk [J].Social Science Electronic Publishing,2008,97(466):193-249.
[3] Billio M,Getmansky M,LO A W,et al.Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors [J].Journal of Financial Economics,2012,104(3):535-559.
[4] Jang I,Ahn M,Kang C.A Simple Method for Measuring Systemic Risk Using Credit Default Swap Market Data [J].Journal of Economic Development,2013,38(4):75-100.
[5] 肖璞,刘轶,杨苏梅.相互关联性、风险溢出与系统重要性银行识别[J].金融研究,2012(12):96-106.
[6] Adrian T,Brunnermeier M K.Covar [J].American Economic Review,2016,106(7):1705-1741.
[7] 曹小秋,吴园园,吴鹏昆.基于网络的系统性风险测度方法及其在中国银行业的应用[J].数学的实践与认识,2017,47 (4):83-93.
[8] 白雪梅,石大龙.中国金融体系的系统性风险度量[J].国际金融研究,2014(6):75-85.
[9] Huang X,Zhou H,Zhu H.A Framework for Assessing the Systemic Risk of Major Financial Institutions [J].Journal of Banking & Finance,2009,33(11):2036-2049.
[10] 隋聪,谭照林,王宗尧.基于网络视角的银行业系统性风险度量方法[J].中国管理科学,2016,24(5):54-64.
[11] Acharya V V,Pedersen L H,Philippon T,et al.Measuring Systemic Risk [J].Working Paper,2010,29(1002):85-119.
[12] Liao S,Sojli E,Tham W W.Managing Systemic Risk in the Netherlands [J].International Review of Economics & Finance,2015(40):231-245.
[13] 许博,刘鲁.银行间市场体系的相继违约风险分析与建模[J].系统工程,2013,29(06):217-222.
[14] 范宏,高倩倩.宏观经济波动下央行调控对银行稳定性的影响[J].系统工程,2017,35(11):26-36.
[15] 徐荣贞,刘梦卓,姚伟.金融生态恢复力视角下系统性风险 [J].系统工程,2017,35(02):30-35.
[16] 朱元倩,苗雨峰.关于系统性风险度量和预警的模型综述[J].国际金融研究,2012(1):79-88.
[17] 吕江林,赖娟.我国金融系统性风险预警指标体系的构建与应用[J].江西财经大学学报,2011(2):5-11.
[18] Frankel J A,Rose A K.Currency Crashes in Emerging Markets:An Empirical Treatment [J].International Finance Discussion Papers,1996,41(3-4):351-366.
[19] Kaminsky G,Lizondo S,Reinhart C M.Leading Indicators of Currency Crises [J].IMF Economic Review,1998,45(1):1-48.
[20] Allen F,Gale D.Financial Contagion [J].Levines Working Paper Archive,2000,108(1):1-33.
[21] Black F,Scholes M.The Pricing of Options and Corporate Liabilities [J].Journal of Political Economy,2015,81(3):637-654.
[22] 隋聪,迟国泰,王宗尧.网络结构与银行系统性风险[J].管理科学学报,2014,17(4):57-70.
[23] 刘红忠,赵玉洁,周冬华.公允价值会计能否放大银行体系的系统性风险[J].金融研究,2011(4):82-99.
[24] 彭锋.系统重要性金融机构的风险度量与监管[J].中国金融,2012(3):28-30.
[25] 张强,吴敏.中国系统重要性银行评估:来自2006-2010年中国上市银行的证据[J].上海金融,2011(11):39-42.
[26] 李虹含,杨驰.中国银行业系统性风险的测量方法与实证研究[J].广西大学学报(哲学社会科学版),2015,37(2):81-87.
[27] Dale F Gray A A J.Systemic CCA-A Model Approach to Systemic Risk.Available online:https://pdfs.semanticscholar.org/c179/e84048c64c731da37ac70f18a196f990f035.pdf,2010.
[28] A.Lehar,“Measuring systemic risk:A risk management approach,” Journal of Banking & Finance,2005,29(10):2577-2603.
[29] Eisenberg L,Noe T H.Systemic Risk in Financial Systems [J].Management Science,2001,47(47):236-249.
[30] Kanno M.Assessing Systemic Risk Using Interbank Exposures in the Global Banking System [J].Journal of Financial Stability,2015,20:105-130.
[31] Upper C.Simulation Methods to Assess the Danger of Contagion in Interbank Markets [J].Journal of Financial Stability,2011,7(3):111-125.
[32] Wells S J.Financial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion [J].Social Science Electronic Publishing,2004(3):331.
[33] Censor Y A,Zenios S A.Parallel Optimization:Theory,Algorithms and Applications [M].Computers and Mathematics with Applications,1998,35(9):143-143.
[34] Duan J C.Correction:Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994,4/2,155-167) [J].Mathematical Finance,2000,4(4):155-167.
[35] Duan J C,Simonato J G.On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models.Available online:https://rmi.nus.edu.sg/DuanJC/index_files/files/KMV-MLE_Nov%2030%202004.pdf,2005.
[36] 吴思竹,张智雄.网络中心度计算方法研究综述[J].图书情报工作,2010,54(18):107-110.