【作者】 黄岩渠；

【导师】 胡宗义；

【作者基本信息】 湖南大学 ， 应用经济学， 2018， 博士

【摘要】 2017年7月中国金融工作会议提出了“防控金融风险”的工作任务,2017年10月党的第十九次全国代表大会上习近平总书记提出了“守住不发生系统性金融风险的底线”的目标,2017年11月,经党中央、国务院批准,我国成立了国务院金融稳定发展委员会。系统性金融风险是当前的研究热点。将金融系统看作复杂网络,使用复杂网络理论研究系统性金融风险,对于丰富系统性金融风险的研究内容,创新系统性金融风险的研究方法,具有十分重大的理论价值和现实意义。在系统性金融风险研究中,由于溢出效应的存在(复杂网络传染效应),系统性金融风险并不等于各个金融机构风险之和。金融系统的脆弱性与金融网络相关性、网络结构密切相关,是影响系统性金融风险的主要内因。金融系统与复杂网络在形态上是同构的,许多复杂网络特征与系统性金融风险特征相互对应,如复杂网络中心理论反映了系统重要性机构特征。复杂网络的网络相关性、网络结构、网络节点的稳定性是影响系统脆弱性的主要因素,是系统性金融风险爆发的主要内因,基于复杂网络的传染算法可以用来改进系统性金融风险的传染算法。金融系统随着金融网络状态变化的出现风险的积累与释放,网络状态变化是金融机构的风险分散行为造成系统性风险增加的理论基础。本文首先研究系统性金融风险测度,主要研究了两个基本的问题,一是系统性风险定量测度方法,二是机构的风险贡献测量方法(包含如何测量风险在各机构间的分解)。系统性金融风险的测度出现了一些不一致的测度结果,本文认为原因之一是没有在公理化风险测度体系中研究风险测度所造成的。当前主流的风险测量方法很多,如方差法,下方差法,Va R,ES等,这些测量方法各有优缺点,由于这些方法测量的是风险的不同侧面,造成测量结果无法进行一致性比较。本文在对风险进行分类,分析风险测度方法及组合风险测度公理性要求的基础上,给出了方差、Va R不符合相容性要求的原因,给出了CVa R作为风险测度相容性要求的推导过程。并分析了满足风险相容性测度的条件及组合风险测度的性质,最后对组合风险与系统性风险测度的性质进行了分析讨论,指出了相容性风险测度及凸性风险测度的局限性,即相容性及凸性在系统性金融风险测度中是不成立的。风险贡献方法与风险分解方法既是风险管理的一般工具,也是确定系统重要性机构的手段。首先通过介绍风险贡献与风险分解的概念,说明风险贡献研究的作用、重要性与必要性,然后分为组合风险贡献、系统性风险贡献两个方面对风险贡献测量方法(包含风险分解方法)进行回顾,对比,分析,总结。对风险贡献测量方法和风险分解方法的现状、使用场景与作用进行了研究,较为系统地总结了风险贡献研究的成果,通过研究得出了不同风险贡献方法导致的测量结果之间存在的联系,并对风险贡献测量方法,风险分解方法的适用性进行了讨论,指出了风险贡献方法的今后研究方向。在系统性金融风险的研究方面,一是采用定性研究方法,研究宏观经济金融指标,金融系统内部指标与系统性风险的关系;二是采用定量的研究方法,研究机构的进入、重组、传染、退出等过程中系统性金融风险的形成,积聚与爆发。本文采用基于复杂网络理论,使用定性、定量两种方法对系统性金融风险、系统重要性机构与系统脆弱性机构进行研究。在定性研究方面,本文建立一个以互信息系数为基础的网络模型,研究网络相关性、网络结构与金融系统性风险的关系。利用金融机构总市值的互信息系数矩阵时间序列以及对应各时点的最大生成树、无标度网络研究网络相关性、网络结构与系统性风险的关系。研究结果表明,网络结构在受到外部冲击时发生变化,从动态角度看最优网络结构并不存在;我国基于互信息系数的金融机构总市值网络是无标度网络;网络相关性是影响系统性金融风险的主要因素,最后针对网络相关性、结构与系统性风险的关系,提出了一种利用相关性干预系统性风险的方法。在定量研究方面,本文研究了我国2014年至2016年的系统重要性机构,系统脆弱性机构及系统性金融风险。通过建立一个封闭环境下的银行系统网络模型,利用改进的Debt Rank算法,研究单个机构受到冲击后损失在整个网络中的传播。研究发现在不发生机构倒闭的情况下,系统受到的损失与初始冲击大小线性相关;在初始冲击不造成机构倒闭的情况下,机构是否倒闭与初始冲击的大小无关,即系统的稳定性取决于本身。系统可以通过部分机构的倒闭来缓解外部冲击,形成新的稳定结构。从系统重要性,系统脆弱性是系统内生的观点出发,证明了一般意义下机构系统重要性次序由损失矩阵的列向量和机构受到冲击前的所有者权益决定,机构的系统脆弱性次序由损失矩阵的行向量和机构受到冲击前的所有者权益决定。通过对我国银行系统的数据分析,结果显示系统重要性机构随时间变化,存在部分银行既是系统重要性机构,又是系统脆弱性机构,需要特别加强对这些机构的监管。本文最后研究了复杂网络视角下系统性金融风险的防范与缓解。金融网络是一类复杂网络,复杂网络的稳定性决定着金融系统的稳定,本文首先从网络节点、网络连接、网络结构以及网络的整体稳定角度研究了金融系统稳定性与政策要求的关系。系统性金融风险最重要的是事前预防,预防的方式是建立更为稳健的金融经济系统;系统性金融风险发生后,缓解措施可以降低系统性金融风险造成的影响。本文针对金融经济风险现状和2008年的全球金融经济危机的教训提出建立稳健经济金融系统的思路与相关对策,分析了当前的系统性风险状况并研究当前的金融经济政策,对2008年金融经济危机涉及的问题进行了分析并提出对策建议。在系统性金融风险的缓解方面,主要对2008年美国在金融危机中采用的财政政策工具、货币政策工具及其有效性进行了讨论。更多还原

【Abstract】 The study of financial system as a complex network is a hot topic recently.The complex network theory is helpful to study the systemic financial risk,theory related network help to construct a stable financial system,prevent systemic financial risk occurrence from systemic events.The corresponding methods provide policy guidance,alleviate systemic risk consequences.The research shows that the financial network is a kind of complex network,in the study of the financial risk in the system,due to the existence of spillovers,financial systemic risk does not mean that all the organization’s risk and vulnerability of financial system is closely related to the financial network relationship and network structure,network relationship and network structure is the main internal factors of systemic risk.In the research of relationship between complex ne tworks and systemic financial risk,this paper argues that the complex network and the financial system is in the form of isomorphism,many characteristics of the complex network corresponding to characteristics of financial systemic risk,such as the complex network center theory reflects the characteristics of the importance of institution.Th e complex network’s correlation,network structure and institutional stability directly affect systemic financial risk.It is an important factor that affects the vulnerability of the system,and it is the main internal cause that affects systemic financia l risk.In terms of contagion and quantitative research of systemic financial risk,the contagion algorithm based on complex network can be used to help improve the infection algorithm of systemic financial risk.In complex systems and complex networks fro m the perspective of systemic financial risk,the accumulation and release of systemic financial risks associated with complex networks(complex systems)of various network(system)state changes,changes in the network is to understand the risks of financ ial institutions caused by the dispersion behavior of systematic theory foundation of increased risk.In the research of systemic financial risk measurement from the perspective of complex network,this paper mainly studies two basic problems,one is risk quantitative measurement method,and the other two is risk contribution measurement method(including how to measure the decomposition of risk among agencies).The measurement of systemic financial risk has some inconsistent measurement results.The main reason is that there is no risk measurement in the axiomatic risk measurement system.The current mainstream risk measurement methods are many,such as variance method,down difference method,Va R,ES and so on.These measuring methods have their own advant ages and disadvantages.Because these methods describe different sides of risk,they can not make consistent results.On the basis of reviewing the risk classification and reviewing the axiomatic requirements of risk measurement and portfolio risk measurem ent,this paper gives the reasons why the variance and Va R do not meet the compatibility requirements,and CVa R as the derivation process of the compatibility requirement of risk measures.And the analysis of the risk measure satisfies the property compati bility conditions and portfolio risk measure,the last character of portfolio risk and systemic risk measures are analyzed and discussed,points out the limitations of compatibility risk measure and convex risk measure,compatibility and convexity is not e stablished in the system of financial risk measure.The method of risk contribution and the method of risk decomposition are both the general tools of risk management and the means to determine the importance of the system.This paper firstly introduces th e concept of risk contribution and risk decomposition,illustrates the contribution of the role of risk,the importance and necessity of risk measurement method with two aspects and then divided into portfolio risk contribution,systemic risk contribution(including risk decomposition method)are reviewed,comparison,analysis,summary.On the current situation,risk measurement and risk contribution decomposition method using scene and function are studied,systematically summarizes the research results of the risk contribution,through the analysis of the existing measurement results lead to different risk contribution method of the contact,and the contribution of risk measurement methods,the applicability of risk decomposition method are discussed.And points out the future research direction of risk contribution method.In the research of systemic risks,the first is using qualitative research methods,research on the macro economic and financial indicators,financial indicators such as internal relevancy,network structure and the relationship of systemic risk;the second is the quantitative research methods,systematic risk,into the group,infection,exit process research institutions in the accumulation and outbreak.In this paper,based on the complex network method,qualitative and quantitative methods are used to study the systemic risk,systemically important institutions and system vulnerability institutions,and the relevant policy recommendations are put forward.Two.Based on the qualitative research of complex network theory,this paper establishes a network model based on mutual information coefficient,and studies the relationship between network correlation,network structure and financial systemic risk.The relationship between network correlation,network structure and systemic risk is studied by using the mutual information coefficient matrix time series of the total market capitalization and the maximum spanning tree and scale-free network at corresponding time points.Through the research,the financial institutions of China 2014-2016 stock market capitalization data showed no correlation with monotonic relationship between the systemic risk of China’s financial system,but can predict systemic risk by correlation;network structure changes under external shocks,see the optimal network structure does not exist from the dynamic perspective of China’s network;the total market value of the financial system based on mutual information coefficient is scale-free network;finally,the correlation relationship network structure and system risk,puts forward a method using correlation between the intervention of systemic risk..In terms of quantitative research based on complex network theory,this paper studies systemically important institutions in China from 2014 to 2016,including systemic vulnerability institutions and systemic risks.By establishing a closed banking system network model and improving the Debt Rank algorithm,we use the improved algorithm to study the loss of a single organiza tion after the impact.It is found that the loss of the system is linearly related to the magnitude of the initial impact.If the initial impact does not cause institutional failure,whether the institution is closed or not has nothing to do with the size of the initial impact.It is only related to the network itself,that is,the stability of the system depends on itself.The system can alleviate external shocks by the failure of some institutions and form a new stable structure.From the importance of system vulnerability is in the view of system,proved the importance order of mechanism system in general sense is decided by the owners’ equity loss matrix and initial mechanism,the vulnerability of the order mechanism decided by the owners’ equity loss ma trix vector and the initial mechanism.Through the data analysis of China’s banking system,the results show that the systemically important institutions are changing over time.There are some banks that are both systemically important and fragility instit utions,which need to strengthen the supervision of these institutions.Finally,this paper studies the prevention and resolution of systemic risk.The most important systemic financial risk is prevention,prevention is the way to build a more robust financial system,after the mitigation of systemic risk and resolve measures can reduce the impact of systemic risk caused by the shock.In view of the current situation of China’s financial economy and the lessons of the global financial and economic crisis in 2008,this paper puts forward the ideas and Counter measures to establish a sound economic and financial system to prevent the occurrence of systemic risk.This paper also analyzes the current situation of systemic risk in China,discusses the current financial and economic policies,and analyzes the problems involved in the financial and economic crisis in 2008.In terms of the resolution of systemic financial risks,the paper mainly discusses the fiscal policy tools and monetary policy tools adopted by the United States in the financial crisis in 2008 and their effectiveness.更多还原