【摘要】 同业拆借是银行之间常见的一种业务联系,银行通过同业拆借形成网络结构。从理论上推导了能够降低风险传染的网络结构连通性临界值,发现该临界值受到危机大小、危机范围、拆借比例、核心资本充足率和投资收益等参数的影响。对随机网络结构的仿真结果表明:无论是在个体危机还是系统危机的情况,所推导的网络结构连通性临界值都具有有效性。各类参数对风险传染的影响分析也为增强银行系统稳定性提供了有效的参考。更多还原

【Abstract】 Interbank lending is one of the commonest businesses for banks, which helps form a network among banks. The critical value of bank network connectivity, which can lower risk contagion, was deduced in this paper. It was found that the critical value was affected by parameters such as breadth and depth of a crisis, interbank lending ratio, core capital adequacy ratio and return on investment. Simulations based on random network structures show that the critical connectivity deduced is effective in the case of both individual and systemic crises. Meanwhile, the analysis of the effects of all parameters on risk contagion also provide relevant reference for improving the stability of the banking system.更多还原