上市金融机构系统性风险传导与演化机制实证与模拟研究

Financial market supervision is based on the effective elaboration of the transmission mechanism and the identification the trigger border of systemic risk. Therefore, this project is devoted to construct the early warning system of systemic risk of China's financial market and to find the specific contagion mechanism and the border of system stability by using network and simulation analysis methods based on listed financial institutions. More than that, the scientificity and interpretability of the early warning system will be verified by historical simulation. Specifically, the heterogeneous network is constructed firstly, also the security indicators of the network and the transitive variables are selected. Then, we conduct the simulation of sub-network's stability and factor extraction, the identification of the risk transmission carriers between sub-network and its key indicators are examined by network simulation, and the positive feedback factors will be determined. Secondly, we will depict the contribution rate on the volatility of the overall financial network caused by systematic risk for each network nodes. Further, by the approach of Monte Carlo simulation and historical simulation, the transmission rule of systemic risk in the integrated network, the span and direction of its influence and the evolution path are also been analyzed. Lastly, feasible suggestions for the reform of the systemic risk supervision on the China's listed financial institutions will be attached in this project.

有效地刻画出系统性风险传导机制并有效地甄别出系统性风险的触发边界是资本市场监管的基础。鉴于此，本项目以上市金融机构为研究样本，借鉴复杂网络与系统仿真方法，通过模拟发现具体传染机制与系统稳定性边界，构建中国资本市场系统性风险预警体系并据此进行历史模拟以验证体系设计的科学性和可解释性。具体地，通过异质网络的构建与子网络安全性指标选择，以及对异质网络间的传递变量选择与度量，进行子网络稳定性模拟与因子提取、子网间风险传导载体与主要指标甄别、网络模拟测试与正反馈因子识别；采用SES方法定量刻画每个网络节点对整个网络系统性风险波动的贡献率，在此基础上通过蒙特卡罗模拟与历史模拟，研究风险在整体网络中传导规律，分析其影响范围，判断其影响方向和演化路径；最后，为中国上市金融机构的系统性风险宏观审慎监管改革提出具体建议。

有效地刻画出系统性风险传导机制并有效地甄别出系统性风险的触发边界是资本市场监管的基础。鉴于此，本项目以上市金融机构为研究样本，借鉴复杂网络与系统仿真方法，通过模拟发现具体传染机制与系统稳定性边界，构建中国资本市场系统性风险预警体系并据此进行历史模拟以验证体系设计的科学性和可解释性。具体地，通过异质网络的构建与子网络安全性指标选择，以及对异质网络间的传递变量选择与度量，进行子网络稳定性模拟与因子提取、子网间风险传导载体与主要指标甄别、网络模拟测试与正反馈因子识别；采用 SES 方法定量刻画每个网络节点对整个网络系统性风险波动的贡献率，在此基础上通过蒙特卡罗模拟与历史模拟，研究风险在整体网络中传导规律，分析其影响范围，判断其影响方向和演化路径；最后，为中国上市金融机构的系统性风险宏观审慎监管改革提出具体建议。