首页    编委会    编辑部    历任主编    获奖信息    征稿简则    友情链接    出版道德    English    旧版主页
  在线期刊
       最新录用
       当期目次
       过刊浏览

  下载专区
       版权协议
       征稿范文
       来稿登记表
       录用证明

  联系我们

投稿e-mail: jbnuns_sub@bnu.edu.cn

主编e-mail: jbnuns_eic@bnu.edu.cn

办公地点:北京师范大学 科技楼A区216,218,220室

电话:(010)58807851,58802050,58807872,58807713

通信处:北京市海淀区新街口外大街19号北京师范大学理科学报编辑部

邮政编码:100875

办公室e-mail: jbnuns@bnu.edu.cn

本网站暂不提供全文下载,如需全文下载请点击

中国知网

 

标题

基于投资组合关联的金融系统性风险影响因素研究

作者

张 吟 朱淑媛 张 瑞 李红刚

机构

北京师范大学政府管理学院; 北京师范大学系统科学学院

摘要

基于Caccioli等的金融网络模型构建了一个银行-资产网络模型来研究具有资产重叠的金融系统的风险传染 机制. 用金融系统发生危机( 大规模破产) 的概率表征金融风险的频度, 用发生危机时机构实际破产比例表征金融风险的强度, 并视风险频度和强度为金融系统稳定性的基本特征. 通过模型模拟发现, 金融系统的稳定性受到投资组合分散化程度、市场拥挤度、机构财务杠杆率、机构投资组合相似度、初始市场冲击等因素的影响. 特别地, 尽管持有资产 种类的多样化有利于独立金融机构的运营, 但过度的多样性会威胁金融系统整体的稳定. 看法” 的理解.

关键词

投资组合关联; 复杂网络; 金融风险传染

引用

张 吟 朱淑媛 张 瑞 李红刚.基于投资组合关联的金融系统性风险影响因素研究.[J]. 北京师范大学学报(自然科学版),2016,52(4)425-429.

基金

北京师范大学本科生科研基金资助项目(310400040); 中央高校基本科研业务费专项资金资助项目(2015KJJCA06)

分类号

F83

DOI

10.16360/j.cnki.jbnuns.2016.04.004

Title

Analysis of financial contagion based on overlapping portfolios

Author

ZHANG Yin, HU Shuyuan, ZHANG Rui, LI Honggang

Affiliations

School of Government, Beijing Normal University; School of Systems Science, Beijing Normal University

Abstract

The financial network of Coccioli and colleagues is adapted to establish a bank-and-asset network to better understand how financial contagion works due to overlapping portfolios. In the new model, contagion (large-scale bankruptcy probability is used to indicate frequency of financial risk and proportion of bankruptcy in a crisis is used to indicate intensity of financial contagion. Frequency and intensity of risk are regarded as basic characteristics of financial system stability. Instability of financial system is likely to occur as a function of parameters such as bank diversification, market crowding, initial financial leverage, portfolio similarity and initial shock. Occasionally too much diversification may destabilize the financial system but diversification can help manage individual institutions .

Key words

portfolios; complex network; financial contagion

cite

ZHANG Yin HU Shuyuan ZHANG Rui LI Honggang. Analysis of financial contagion based on overlapping portfolios [J]. Journal of Beijing Normal University (Natural Science), 2016,52(4):425-429.

DOI

10.16360/j.cnki.jbnuns.2016.04.004

Copyright © 2014 Journal of Beijing Normal University (Natural Science)
Designed by Mr. Sun Chumin. Email: cmsun@mail.bnu.edu.cn