發(fā)布時(shí)間：2018-05-06 00:00

  本文選題：計(jì)算機(jī)仿真 + 系統(tǒng)性風(fēng)險(xiǎn)　； 參考：《計(jì)算機(jī)仿真》2014年10期

【摘要】：傳統(tǒng)的銀行資產(chǎn)風(fēng)險(xiǎn)監(jiān)測僅針對單個(gè)銀行的資本充足率、撥備覆蓋率、不良資產(chǎn)率等指標(biāo)進(jìn)行監(jiān)管。然而由于銀行間的互相拆借關(guān)系,銀行的資產(chǎn)風(fēng)險(xiǎn)不僅和銀行自身有關(guān),還與別的銀行有關(guān),即銀行的系統(tǒng)性風(fēng)險(xiǎn)對銀行資產(chǎn)風(fēng)險(xiǎn)有重要的影響。針對銀行系統(tǒng)性風(fēng)險(xiǎn)問題,構(gòu)建具有相關(guān)性的銀行間資產(chǎn)波動模型,提出仿真算法對銀行系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行計(jì)算機(jī)仿真,仿真結(jié)果得到了不同相關(guān)系數(shù)條件下的銀行發(fā)生系統(tǒng)性風(fēng)險(xiǎn)的概率。研究結(jié)果表明:當(dāng)銀行系統(tǒng)穩(wěn)定(銀行資產(chǎn)波動率小)時(shí),銀行系統(tǒng)性風(fēng)險(xiǎn)會隨著資產(chǎn)相關(guān)性的上升而上升;當(dāng)銀行系統(tǒng)較為穩(wěn)定時(shí),系統(tǒng)性風(fēng)險(xiǎn)會隨著資產(chǎn)相關(guān)性的上升而先下降,然后再上升,即存在一個(gè)不為零的相關(guān)系數(shù)使得系統(tǒng)性風(fēng)險(xiǎn)最小;當(dāng)銀行系統(tǒng)不穩(wěn)時(shí),系統(tǒng)性風(fēng)險(xiǎn)也會隨著資產(chǎn)相關(guān)性的上升而先下降,然后上升,但此時(shí)銀行系統(tǒng)性風(fēng)險(xiǎn)已經(jīng)很高。因此資產(chǎn)相關(guān)性作為衡量系統(tǒng)性風(fēng)險(xiǎn)的指標(biāo)可以對系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行有效的監(jiān)測。
[Abstract]:The traditional bank asset risk monitoring only aims at the single bank's capital adequacy ratio, reserve coverage rate, non-performing assets ratio and so on. However, because of the inter-bank lending relationship, the bank's asset risk is not only related to the bank itself, but also to other banks, that is, the bank's systemic risk has an important impact on the bank's asset risk. In order to solve the systemic risk problem of banks, an inter-bank asset fluctuation model with correlation is constructed, and a simulation algorithm is proposed to simulate the systemic risk of banks. The simulation results show the probability of systemic risk in banks with different correlation coefficients. The results show that when the banking system is stable (the volatility of bank assets is small), the systemic risk of the bank will rise with the asset-related increase, and when the banking system is more stable, The systemic risk decreases first and then rises with the asset-related increase, that is, there is a non-zero correlation coefficient that minimizes systemic risk; when the banking system is unstable, Systemic risk also decreases first and then rises with asset-related increases, but banks are already at high systemic risk. Therefore, asset correlation as an indicator to measure systemic risk can effectively monitor systemic risk.
【作者單位】： 東華大學(xué)旭日工商管理學(xué)院;
【基金】：國家自然科學(xué)基金資助項(xiàng)目((70971021,71371046) 上海市教委基礎(chǔ)創(chuàng)新重點(diǎn)項(xiàng)目(12ZS055)
【分類號】：F830.42;TP391.9

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本文編號：1849843