基于金融网络与异质性的银行系统性风险度量及管理策略研究

Recent financial crises caused by massive cascade failures of banks not only severely destroyed the stability of global financial system but also caused devastated damage to real economy. It sounded an alarm that regulating systemic risk in banking ecosystem is of critical importance to maintain the steady development of global economic and financial markets. Nevertheless, this research field is still facing great challenges, mainly due to the wide range of risks in banking system coupled with the increasingly complicated network structure of interbank interconnections. Under the framework of financial networks, this project aims to identify, measure and manage systemic risk. Firstly, unlike most current studies based on the assumption of bank homogeneity, this project will construct financial networks incorporating heterogeneous characteristics of banks by adopting complex network theory, graph theory, financial risk measurement methods etc. Besides, we will propose new models to measure systemic risk, followed by identifying significant risky banks and risk contagion path. The impact of network structures on transmitting and propagating systemic risk will also be checked as well. Most importantly, we will both investigate and compare the effectiveness of government interventions and bank merges or alliances in terms of confronting systemic risk contagion intrigued by different contagion channels. Promising research results will not only enrich the traditional financial engineering risk management theory, but will also shed light on making effective systemic risk management strategies and prompting financial market stability.

银行级联破产导致的全球金融危机严重摧毁了全球金融市场的稳定并重创实体经济，凸显出银行业系统性风险监管对维护经济金融市场的稳健运行至关重要。但后危机时代，银行业面临多重风险，加之银行间日趋复杂的交互关联网络，相关研究面临极大挑战。本项目拟在金融网络视角下，提炼与银行系统的风险传染、度量及管理相关的科学问题，运用复杂网络、图论、金融工程学、随机过程等理论，以系统性风险的“形成—度量—应对”为总体思路展开研究：首先，构建融入银行异质性特征的金融网络；其次，设计系统性风险度量模型，识别系统重要性风险银行及风险传染路径，并探讨网络拓扑结构对系统性风险传染深度及广度的影响；最后，遵循“情景-应对”思路，考察和对比在不同冲击情景下，系统外政府干预措施及系统内银行业联盟救助应对系统性风险的有效性。本项目预期成果能丰富传统金融工程风险管理理论，为银行业系统性风险管理和国家经济金融市场健全稳定的发展建言献策。

多次重演的金融危机让学术界和实业界都意识到对系统性金融风险形成机理和度量方法研究的重要性和紧迫性。本项目创新性的：（1）考虑了多个金融传染渠道间的交互作用对系统性风险的影响，并深入考察了金融网络及投资组合网络的拓扑结构对系统性危机的影响；（2）构建了考虑银行等金融主体异质性的金融网络和风险传染理论模型，并推导出个体银行间以及单个银行对整个金融系统的系统性风险贡献度量指标；（3）构建了房地产价格冲击下银行系统性风险传染模型；（4）对金融系统性风险的跨市场和跨部门传染展开了动态量化研究。项目已有研究成果表明：（1）多个金融传染渠道对系统性风险的影响不仅存在简单的叠加作用，而且存在显著的交互作用，加速风险累积和风险传染；金融网络的拓扑结构对系统性危机的形成也至关重要；（2）本项目构建的系统性风险贡献度量指标能够识别出系统重要性风险节点，有助于风险监管机构有的放矢的制定风险干预措施；并证实了由传染路径导致的间接风险传染不可忽视，；（3）在房价高企的现实背景下，房价下跌会显著增加银行业系统性风险；本项目提出的风险传染模型亦可用于银行业压力测试，为银行业系统性风险提供预警；（4）本项目揭示了金融系统性风险跨市场和跨部门传染随时间的演化，发现系统性金融风险对重要的经济金融事件和政策快速响应。这些研究成果能丰富传统金融工程风险管理理论，为银行业及金融系统性风险管理和国家经济金融市场健全稳定的发展建言献策。