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银行间的债务联系构成了复杂银行间债务网络,而其网络结构直接影响了银行间的风险传染。本文研究了银行间网络演化的动态特征。在Lenzu&Tedeschi(2012)的研究基础上,构建银行间交易对手重新选择的概率函数,分析银行间网络的演化机理。与以往研究不同,本文引入风险厌恶调整参数反映银行风险偏好对决策的影响,进而揭示导致不同银行间网络演化差异的根本原因。模拟仿真研究表明,不同的银行风险偏好会导致银行间网络集中度的改变。而且银行的风险厌恶程度越高,银行间网络集中度越高。
Inter-bank debt links constitute a complex network of inter-bank debt, and its network structure directly affects the risk of contagion among banks. This paper studies the dynamic characteristics of the evolution of interbank networks. Based on the research of Lenzu & Tedeschi (2012), we construct the probability function of inter-bank counterparty reselection and analyze the evolution mechanism of inter-bank network. Different from previous researches, this paper introduces risk aversion adjustment parameters to reflect the impact of bank risk appetite on decision-making, and then reveals the root causes that lead to the difference of network evolution among different banks. Simulation studies show that different bank risk appetite can lead to changes in the concentration of interbank networks. And the higher the risk aversion of banks, the higher the concentration of inter-bank networks.