基于银企信用网络的交易对手风险传染研究
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摘要
本文运用文献分析和理论推演方法,从信贷、金融产品、关联关系三个视角剖析银企信用超网络结构及其特征,阐释银企信用网络交易对手的行为决策机制及其信用风险形成。基于上述分析,从资产负债表关联和风险关联两个方面探寻了银企信用网络交易对手风险的传染渠道,并从银企信贷网络、银企金融产品网络、银企关联关系网络三个角度研究了银企信用网络交易对手风险的传染机制。研究发现:银企间关联关系是银企信用网络形成的根本途径;银企信用网络交易对手的行为决策主要受流动性、收益与成本、资产利益最大化、风险规避、伙伴关系的影响;银企信用网络中交易对手的风险传染源于资产负债表关联和风险关联;银企信用网络交易对手风险的传染强度受信贷损失大小、金融产品状态、关联关系紧密度的影响。
Based on literature analysis and theoretical deduction,this paper analyzes the structure and characteristics of credit network of banks and enterprises from three perspectives: credit, financial products and relationship,and explains the behavior decision-making mechanism and credit risk formation of bank and enterprise credit network counterparties. Based on the above analysis,this paper explores the contagion channels of counterparty risk in the bankenterprise credit network from two aspects:the balance sheet correlation and the risk correlation,and the bank-enterprise credit network counterparty risk contagion mechanism from the perspectives of the bank-enterprise credit network,the bank-enterprise financial product network and the bank-enterprise relation network. The study found that the relationship between banks and enterprises is the fundamental way for the formation of credit network for banks and enterprises. The behavior decision-making of bank-enterprise credit network counterparty is mainly affected by liquidity,profit and cost,maximization of asset interests,risk aversion and partnership. The risk contagion of the counterparty in the bank-enterprise credit network is derived from the balance sheet and risk association. The risk contagion of the counterparty in bank-enterprise credit network is affected by the size of credit loss, the status of financial products,and the closeness of the relationship. This study has important theoretical reference to the development of monitoring strategies for the credit risk of bank-credit network in China.
Based on literature analysis and theoretical deduction,this paper analyzes the structure and characteristics of credit network of banks and enterprises from three perspectives: credit, financial products and relationship,and explains the behavior decision-making mechanism and credit risk formation of bank and enterprise credit network counterparties. Based on the above analysis,this paper explores the contagion channels of counterparty risk in the bankenterprise credit network from two aspects:the balance sheet correlation and the risk correlation,and the bank-enterprise credit network counterparty risk contagion mechanism from the perspectives of the bank-enterprise credit network,the bank-enterprise financial product network and the bank-enterprise relation network. The study found that the relationship between banks and enterprises is the fundamental way for the formation of credit network for banks and enterprises. The behavior decision-making of bank-enterprise credit network counterparty is mainly affected by liquidity,profit and cost,maximization of asset interests,risk aversion and partnership. The risk contagion of the counterparty in the bank-enterprise credit network is derived from the balance sheet and risk association. The risk contagion of the counterparty in bank-enterprise credit network is affected by the size of credit loss, the status of financial products,and the closeness of the relationship. This study has important theoretical reference to the development of monitoring strategies for the credit risk of bank-credit network in China.
引文
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[43]林琳,曹勇,肖寒.中国式影子银行下的金融系统脆弱性[J].经济学:季刊,2016,(3).
[44]杨星,胡国强.交易对手信用违约事件与信用违约互换公允价值[J].系统工程理论与实践,2013,33(6).
[45]巴曙松,曾智,朱元倩.交易对手信用风险的度量及其防范[J].价格理论与实践,2014,(4).
[46]韩平,席酉民.违约相关性分析[J].统计研究,2001,18(5).
[2]Gatti D D,Gallegati M,Greenwald B,et al.2010Business fluctuations in a credit-network economy[J].Physica A:Statistical Mechanics&Its Applications,370(1).
[3]Arora N,Gandhi P,Longstaff F A.2012.Counterparty credit risk and the credit default swap market[J].Journal of Financial Economics,103(2).
[4]Beretta E,Del P S.2013.Banking Consolidation and Bank-Firm Credit Relationships:The Role of Geographical Features and Relationship Characteristics[J].Review of Economics&Institutions,4(3).
[5]Fujiwara Y,Aoyama H,Ikeda Y,et al.2009.Structure and temporal change of the credit network between banks and large firms in Japan[J].Economics,3(2009-7).
[6]Yang J,Zhou Y.2013.Credit risk spillovers among financial institutions around the global credit crisis:firmlevel evidence[J].Management Science,59(10).
[7]Giesecke K,Weber S.2006.Credit Contagion and Aggregate Losses[J].Journal of Economic Dynamics&Control,(30).
[8]Masi G D,Gallegati M.2012.Bank-firms topology in Italy[J].Empirical Economics,43(2).
[9]He J,Sui X,Li S.2016.An endogenous model of the credit network[J].Physica A:Statistical Mechanics and its Applications,441.
[10]Kwan S H,Laderman E S.1999.On the portfolio effects of financial convergence:A review of the literature[J].Economic Review,(2).
[11]Santos T.2006.Comment on:Credit risk transfer and contagion[J].Journal of Monetary Economics,53(1).
[12]Allen F,Carletti E.2006.Credit risk transfer and contagion[J].Journal of Monetary Economics,53(1).
[13]Heise S,Kühn R.2012.Derivatives and credit contagion in interconnected networks[J].European Physical Journal B,85(4).
[14]Krause A,Giansante S.2012.Interbank lending and the spread of bank failures:A network model of systemic risk[J].Journal of Economic Behavior&Organization,83(3).
[15]Markose S,Giansante S,Shaghaghi A R.2012“Too interconnected to fail”financial network of US CDSmarket:Topological fragility and systemic risk[J].Journal of Economic Behavior&Organization,83(3).
[16]Miranda R C,Tabak B.2013.Contagion Risk within Firm-Bank Bivariate Networks[C].Central Bank of Brazil,Research Department.
[17]Detragiache E,Garella P,Guiso L.2010.Multiple versus Single Banking Relationships:Theory and Evidence[J].Journal of Finance,55(3).
[18]Chen T,He J,Yin Q.2013.Dynamics Evolution of Credit Risk Contagion in the CRT Market[J].Discrete Dynamics in Nature and Society,(6).
[19]Yin W,Liu X.2016.Bank versus nonbank financial institution lending behaviour:indictors of firm size,risk or ownership?[J].Applied Economics Letters,1-4.
[20]Berndt A,Ritchken P,Sun Z.2010.On Correlation and Default Clustering in Credit Markets[J].The Review of Financial Studies,23(7).
[21]Jorion P,Zhang G Y.2009.Credit contagion from counterparty risk[J].The Journal of Finance,64(5).
[22]Bo L,Capponi A.2015.Counterparty risk for CDS:Default clustering effects[J].Journal of Banking&Finance,52(3).
[23]Riccetti L,Russo A,Gallegati M.2013.Leveraged network-based financial accelerator[J].Journal of Economic Dynamics&Control,37(8).
[24]Diamond D W.1984.Financial Intermediation and Delegated Monitoring[J].Review of Economic Studies,51(3).
[25]Ongena S,Smith D C.2000.What Determines the Number of Bank Relationships?Cross-Country Evidence[J].Journal of Financial Intermediation,9(1).
[26]Pais A,Stork P A.2011.Contagion risk in the Australian banking and property sectors[J].Journal of Banking&Finance,35(3).
[27]Li S,Sui X.2016.Contagion risk in endogenous financial networks[J].Chaos Solitons&Fractals,91.
[28]Chen T,He J,Li X.2017.An evolving network model of credit risk contagion in the financial market[J].Technological&Economic Development of Economy,23(1).
[29]Jorion P,Zhang G.2007.Good and bad credit contagion:Evidence from credit default swaps[J].Journal of Financial Economics,2007,84(3).
[30]Casu B,Dontis-Charitos P,Staikouras S,et al.2016.Diversification,Size and Risk:the Case of Bank Acquisitions of Nonbank Financial Firms[J].European Financial Management,22(2).
[31]Giesecke K,Weber S.2004.Cyclical correlations,credit contagion,and portfolio losses[J].Journal of Banking&Finance,28(12).
[32]Wagner W.2010.Diversification at financial institutions and systemic crises[J].Journal of Financial Intermediation,19(3).
[33]Güner A B,Malmendier U,Tate G.2008.Financial expertise of directors[J].Journal of Financial Economics,88(2).
[34]Ciamarra E S.2012.Monitoring by Affiliated Bankers on Board of Directors:Evidence from Corporate Financing Outcomes[J].Financial Management,41(3).
[35]Agarwal R,Elston J A.2001.Bank-firm relationships,financing and firm performance in Germany[J].Economics Letters,72(2).
[36]刘晓星,夏丹.基于复杂网络的银企间信贷风险传染机制研究[J].金融监管研究,2014,(12).
[37]陈庭强,李心丹,何建敏.基于熵空间交互理论的CRT网络信用风险传染模型[J].中国管理科学,2016,24(6).
[38]邓建平,曾勇.金融生态环境、银行关联与债务融资--基于我国民营企业的实证研究[J].会计研究,2011,(12).
[39]孙艳霞,鲍勤,汪寿阳.房地产贷款损失与银行间市场风险传染--基于金融网络方法的研究[J].管理评论,27(3).
[40]翟胜宝,张胜,谢露,郑洁.银行关联与企业风险--基于我国上市公司的经验证据[J].管理世界,2014,(4).
[41]陈庭强,王杰朋,王冀宁.基于CDS的交易对手信用风险传染机理研究[J].金融理论与实践,2017,(4).
[42]王杰朋,陈庭强,王冀宁.信用衍生品创新扩散下CRT市场信用风险传染机制研究[J].金融发展研究,2018(5).
[43]林琳,曹勇,肖寒.中国式影子银行下的金融系统脆弱性[J].经济学:季刊,2016,(3).
[44]杨星,胡国强.交易对手信用违约事件与信用违约互换公允价值[J].系统工程理论与实践,2013,33(6).
[45]巴曙松,曾智,朱元倩.交易对手信用风险的度量及其防范[J].价格理论与实践,2014,(4).
[46]韩平,席酉民.违约相关性分析[J].统计研究,2001,18(5).