银行系统风险的建模与估计：基于银行同业复杂网络和货币政策视角

With the development and expansion of interbank market in China, the relations among banks become more and more complicated. They form the endogenous complex risk contagion networks in the banking system, which is one of the key reasons of banking systemic risk. However, the existing literature ignored the networks. This project targets to model and estimate the banking systemic risk in China after figuring out the complex interbank networks. Further, the project explores the risk contagion system in the interbank market and emphasizes the impact of monetary policy. In detail, we have the following research targets: ① establish the complex interbank networks on the basis of liquidity risk and directed acyclic graphs method, and then describe the network topology. ② propose a new measurement of banking systemic risk by adding the network into the CoVaR method and compare it with the old measures. ③ further use the interbank networks to stimulate the risk contagion mechanism among banks by maximum entropy method. ④ extend the above measurement by taking into account monetary policy and other institutional factors, and then get new enlightenments for macro-prudential regulation in China.

伴随银行同业市场的扩张，银行间的资产负债关系日趋复杂，由此形成体系内生的风险传染网络，这正是银行系统风险产生的根源之一，而以往的银行系统风险度量方法大多忽略了这一网络。因此，本课题创新地从测度银行同业市场的复杂网络入手，对银行系统风险进行建模与估计，并进一步探究银行间风险传染机制以及货币政策对之的动态影响。主要任务包括：①运用流动性风险和有向无环图技术（DAG）相结合的方法勾勒银行间的风险传染网络，并测度该网络的拓扑结构；②引入网络结构改写CoVaR方法，形成银行系统风险的新测度，并着重分析银行系统风险的时变性，同时对比以往的测度方法，检验该测度的有效性；③基于风险网络结构的约束，改进最大熵方法对银行同业资产负债关系进行估计，模拟中国银行间的风险传染效应； ④引入货币政策等制度变量，分析其对风险传染网络和银行系统风险新测度的影响，并得到对我国银行业宏观审慎监管的启示。

本项目的主要研究内容在于提出了引入银行间复杂网络结构的系统风险测度方法。我国银行同业间不断增进的紧密联系对系统风险的影响不容忽视，本项目立足于此重大现实问题，在刻画银行同业拆借网络结构的基础上，进一步将之引入到对银行系统风险的建模与估计中，并讨论其在货币政策、宏观审慎等框架下的应用。本项目的研究成果有助于更准确地评估和防控银行间系统风险。立项以来，项目负责人共发表论文6篇，其中SSCI或CSSCI论文6篇，包括《经济研究》1篇，《金融研究》3篇；已接收待发表论文3篇，包括《经济研究》1篇，《金融研究》1篇，《系统工程理论与实践》1篇。