监管视角下的金融系统性风险度量与优化建模

Systemic risk has become the focus of financial regulation since it could cause the collapse of the financial system and even the economic system. Improving the effectiveness and rationality of financial supervision is not only the main direction of financial reform, but also an important research subject.From the perspective of supervision and regulation, this project aims at minimizing the risk of government bailout funds and developing modeling methods and numerical simulations based on actual data . Specifically, it includes: 1）starting from the axiomatic system, based on the risk contagion model，we propose a systemic risk measurement：CMRSK ; 2）we intend to solve the optimization problems and numerical simulation based on CMRSK, find the impact of the leverage ratio and the asset-liability matrix on systemic risk; 3）we analysis the collaborative impact of asset matrix and the liability matrix reveals the logic behind the transformation of debt-equity swaps.The aim of this project is to provide theoretical basis and management inspiration for the systemic risk supervision and regulation.

系统性风险因其造成金融体系甚至经济体系的崩溃而成为金融监管的重心。提高金融监管的有效性和合理性是金融改革的主要方向，也是亟待研究的重要课题。本项目从监管者最大化社会福利的角度出发，针对政府救助资金的风险最小化问题，发展与实际数据和监管策略选择相关的建模方法和数值模拟。具体包括：从公理化体系出发提出了基于风险传染模型的系统性风险度量CMRISK；拟解决CMRISK相关的优化问题和数值模拟，挖掘杠杆率以及资产负债矩阵对于系统性风险的影响；从股票持有关联矩阵和负债矩阵的协同分析，揭示了“债转股”背后的风险转化逻辑。本项目旨在为系统性风险的监管决策提供理论依据和管理启示。

本研究圆满完成了既定的研究目标。针对系统性风险的度量问题，构建金融系统的持股矩阵和负债矩阵，建立了对应的优化模型，并提出了一种迭代算法来求解均衡，通过求解该平衡。基于该金融网络，得到外来冲击产生系统性风险的阈值，得到持股矩阵与负债矩阵的影响力的大小。比较结合监管者救助金的风险与网络传染机制，提出新的系统性风险度量CMRISK（Contagion Model RISK）。挖掘了杠杆对于系统性风险的影响机制，有效的解决系统重要性银行排序的问题，对于监管增强针对性有重要的意义。最后，本项目从简单优化模型出发，揭示机构之间由于互相持股和负债而形成的复杂网络对于系统性银行的影响机制。从理论上证明，在给定的系数条件下，债转股的模式可以有效的降低杠杆进而减小系统性风险。