基于网络视角的银行业系统性风险度量方法

网络模型已经成为研究银行系统性风险的重要方法。然而现有研究忽视了银行系统性风险的小概率特点,同时也缺少度量银行系统性风险的统一标准。为此,本文提出了基于网络模型的银行系统性风险度量方法:银行系统性风险VaR和银行系统性风险ES。首先,本文采用蒙特卡洛模拟方法,模拟银行外部冲击造成银行间网络损失的大样本。在银行间网络损失大样本中,估计银行系统性风险VaR和银行系统性风险ES。这两个测度能够捕捉到银行间网络损失的尾部特征,解决了对比随机冲击结果无法反映银行系统性风险的问题。其次,在模拟实验中,本文利用真实银行间网络结构参数,对模拟的三种银行间网络进行校准,保证了研究结论真实性和可靠性。最后,在模拟实验中发现:(1)外部冲击会引发违约传染的连锁反应,并导致银行间网络损失分布从近似正态分布转变成尖峰厚尾分布,最后变成双峰分布。(2)网络集中度越高发生违约传染连锁反应的概率越小,但是传染的破坏力会更大。(3)银行间网络的潜在传染作用会极大的放大银行系统的风险,而且违约传染效应是呈指数增长的。     

网络结构与银行系统性风险

建立了完整的度量银行间违约传染及银行系统性风险的研究框架.在这个框架下,研究了不同银行间网络结构下银行系统性风险.在模型建立过程中,分析了现有研究广泛采用的违约算法中存在的问题并对其进行了修正.为了模拟不同的银行间网络,还提出了一种构造无标度网络的方法.通过仿真模拟,研究发现集中度越高的网络由于传染而倒闭的银行数量越多.但是,当基础违约的银行数量不多时,网络集中度越高,由于传染而倒闭的银行的总资产越少.此外,在集中度高的网络中大银行倒闭引发违约传染的可能性和影响力都会大于集中度低的网络.而小银行引发传染的可能性远低于大银行,但是小银行倒闭达到一定规模时,可以引发大银行传染倒闭.     

基于资产负债表关联的银行系统性风险研究

应用61家银行2009年年报数据对基于资产负债表关联的银行间市场双边传染风险进行研究,从信用违约和流动性风险角度对传染路径和资本损失进行估测,并深入分析银行间市场的不同结构对传染效应的影响,此外,本文还应用负二项式计数模型对系统重要性银行和易被传染银行的微观特征进行实证检验.研究得出:(1)在“完全分散型”市场结构假设下,我国银行间市场传染性风险极小;当考虑交易主体集中度并假设“相对集中型结构”时,系统性风险和传染效应将上升;当考虑违约风险和流动性风险联合冲击时,资本损失和风险传染的范围显著扩大.(2)大型国有银行处于银行间资本流动的中心环节,尤其中国银行和工商银行是传染风险发生的重要诱导来源.(3)影响银行在拆借市场中系统重要性的因素有银行类型、资产规模和风险头寸;而影响银行易受传染性的因素有银行类型、资本充足状况和风险暴露程度.     

系统性风险的传染渠道与度量研究——兼论宏观审慎政策实施

本文创新性构建了包含银行破产机制和去杠杆机制的资产负债表直接关联网络模型。本文发现:(1)四类银行特征和4个外生参数影响四类传染渠道,且影响存在显著差异,四类传染渠道中去杠杆渠道(Loss~(DEL))和银行间负债违约渠道(Loss~(IA_DF))最为重要;(2)在传染过程中,银行破产会导致系统性风险急剧上升,且破产越集中,系统性风险越大;(3)系统性风险存在"区制转换"效应:当低于某一参数阈值,金融体系呈现出随时间递减的"常态"系统性风险(SR),该风险由银行体系杠杆率驱动;当高于某一参数阈值,金融体系呈现出随时间递增的"危机"系统性风险(SR),该风险由银行关联性和资产规模驱动,并主要来源于传染指标较高的大型商业银行;(4)4个外生参数对应了四类针对金融体系整体的宏观审慎政策,脆弱性指标(VBI)和传染性指标(CBI)对应了针对单家金融机构的宏观审慎政策,这些宏观审慎政策应根据金融周期(上行或下行)和系统性风险类型(常态或危机)来实施。     

不同网络结构下银行间传染风险研究

基于复杂网络理论,研究了银行间市场随机网络、小世界网络和无标度网络中银行间传染风险特征及其差异.首先构建了银行间市场有向随机网络、小世界网络和无标度网络,进而通过描述银行资产负债表建立了银行间传染风险分析模型.最后,在银行分别为同质和异质下模拟分析了随机性冲击和选择性冲击下传染风险特征.研究结果表明:随机性冲击与选择性冲击造成的传染风险效应与网络结构以及遭受冲击银行数目密切相关;在三种网络结构下,冲击在小世界网络中造成的传染风险效应最大,在无标度网络中最小.该研究结果意味着:在此三种网络结构下,银行间市场无标度网络面对冲击具有最高的稳定性.     

我国系统重要性银行评估:网络层次结构视角北大核心CSCDCSSCI

通过改进性地引入最小密度法解构了我国银行间双边风险敞口矩阵,在此基础上运用密度估计构建了契合我国银行间网络层次结构的核心-外围模型,实证甄别了系统重要性银行,并研究了我国银行间网络关联性和系统性风险.研究表明:1)核心块动态组成作为系统重要性银行在我国银行业网络层次结构中发挥着重要作用;2)我国系统重要性银行规模随时间的变化呈现出“庞大无序-两极分化-多但有序”的三阶段特征,表明我国银行系统日渐稳定,但仍需重点关注系统重要性银行以防范系统性风险;3)金融动荡时期,系统重要性银行与其他银行的关联强度和关联权重下降,积极的监管措施会使不良关联特征得到明显改观.本研究可为逆周期宏观审慎监管、基于银行系统重要性的针对性监管提供有益参考.     

银行间资产清算顺序优化与风险传染免疫机制

银行间交叉持有同业存款时,风险共担和传染是可能的。银行间市场结构的不同会对风险共担和传染产生影响,本文采用三阶段流动性偏好模型的一般分析框架,讨论了应对危机时银行微观层面的资产清算顺序的异同对于银行系统脆弱性的不同影响,并从合作博弈的视角探讨了"货币池"风险免疫的可能性。研究发现:在不存在银行资产信息不对称的条件下,当问题银行流动性波动足够大(ε>ε) ,银行间风险传染可能难以避免,而当流动性短缺ε在区间[ε,ε]内,银行间的合作博弈效果最优,风险传染可以在很大程度上避免。银行间市场的"货币池"免疫结构模式可以实现风险分担和防范银行间风险传染,从微观层面提供了一种银行间市场危机传染的内生免疫机制。     

中国金融机构关联性与系统性风险贡献研究——基于尾部风险溢出网络视角

在后危机时代如何准确地测度金融机构的系统性风险贡献以识别系统重要性金融机构是宏观审慎监管的重要任务.采用2010年至2019年中国32家上市金融机构数据以及宏观特征变量，通过TENET模型构建尾部风险溢出网络以度量金融机构关联性，并引入公司规模、杠杆和流动性指标，基于改进的PageRank算法提出网络-市场-账面相结合的系统性风险贡献测度思想，具体从系统整体、部门行业、机构个体三个层面对网络关联性展开实证分析.研究结果表明：1)金融系统总体关联性在危机与下行时处于高位水平，尾部风险溢出网络能有效捕捉极端风险事件；2)行业内的关联性水平总体而言高于行业间的关联性水平，但在极端情况下跨行业风险溢出强度会增大；3)银行和保险机构相对证券机构而言对系统性风险的贡献程度更高.     

我国系统重要性银行评估：网络层次结构视角

通过改进性地引入最小密度法解构了我国银行间双边风险敞口矩阵,在此基础上运用密度估计构建了契合我国银行间网络层次结构的核心－外围模型,实证甄别了系统重要性银行,并研究了我国银行间网络关联性和系统性风险．研究表明：１）核心块动态组成作为系统重要性银行在我国银行业网络层次结构中发挥着重要作用;２）我国系统重要性银行规模随时间的变化呈现出“庞大无序－两极分化－多但有序”的三阶段特征,表明我国银行系统日渐稳定,但仍需重点关注系统重要性银行以防范系统性风险;３）金融动荡时期,系统重要性银行与其他银行的关联强度和关联权重下降,积极的监管措施会使不良关联特征得到明显改观．本研究可为逆周期宏观审慎监管、基于银行系统重要性的针对性监管提供有益参考．     

基于多主体建模分析的银行间网络系统性风险研究

本文基于多主体建模分析了银行间核心-边缘网络的系统性风险。模型假设银行通过最优投资组合配置,在流动性和资本约束前提下谋求利润最大化。通过建立银行间市场交易环境的仿真模型,依据银行行为决策动态形成资产负债表与银行间网络敞口的数据,评估金融监管政策在银行间市场的实施效应。同时,引入不同网络结构模型加以对比分析,发现尽管核心-边缘银行间网络体系比无标度网络更易遭受共同冲击和传染风险,但当处于金融困境时,在宏观审慎管理政策机制作用下,核心-边缘网络体系比其他结构网络表现出更强的恢复力特性。     

Trust,Emotion, Sex,Politics, and Science: Surveying the Risk-Assessment Battlefield

Risk management has become increasingly politicized and contentious. Polarized views, controversy, and conflict have become pervasive. Research has begun to provide a new perspective on this problem by demonstrating the complexity of the concept risk and the inadequacies of the traditional view of risk assessment as a purely scientific enterprise. This paper argues that danger is real, but risk is socially constructed. Risk assessment is inherently subjective and represents a blending of science and judgment with important psychological, social, cultural, and political factors. In addition, our social and democratic institutions, remarkable as they are in many respects, breed distrust in the risk arena. Whoever controls the definition of risk controls the rational solution to the problem at hand. If risk is defined one way, then one option will rise to the top as the most cost-effective or the safest or the best. If it is defined another way, perhaps incorporating qualitative characteristics and other contextual factors, one will likely get a different ordering of action solutions. Defining risk is thus an exercise in power. Scientific literacy and public education are important, but they are not central to risk controversies. The public is not irrational. Their judgments about risk are influenced by emotion and affect in a way that is both simple and sophisticated. The same holds true for scientists. Public views are also influenced by worldviews, ideologies, and values; so are scientists' views, particularly when they are working at the limits of their expertise. The limitations of risk science, the importance and difficulty of maintaining trust, and the complex, sociopolitical nature of risk point to the need for a new approach—one that focuses upon introducing more public participation into both risk assessment and risk decision making in order to make the decision process more democratic, improve the relevance and quality of technical analysis, and increase the legitimacy and public acceptance of the resulting decisions.     

Why Study Risk Perception?

Studies of risk perception examine the opinions people express when they are asked, in various ways, to characterize and evaluate hazardous activities and technologies. This research aims to aid risk analysis and societal decision making by (i) improving methods for eliciting opinions about risk, (ii) providing a basis for understanding and anticipating public responses to hazards, and (iii) improving the communication of risk information among laypeople, technical experts, and policy makers.     

Taxonomic Analysis of Perceived Risk: Modeling Individual and Group Perceptions Within Homogeneous Hazard Domains

Previous studies of risk perception have typically focused on the mean judgments of a group of people regarding the riskiness (or safety) of a diverse set of hazardous activities, substances, and technologies. This paper reports the results of two studies that take a different path. Study 1 investigated whether models within a single technological domain were similar to previous models based on group means and diverse hazards. Study 2 created a group taxonomy of perceived risk for only one technological domain, railroads, and examined whether the structure of that taxonomy corresponded with taxonomies derived from prior studies of diverse hazards. Results from Study 1 indicated that the importance of various risk characteristics in determining perceived risk differed across individuals and across hazards, but not so much as to invalidate the results of earlier studies based on group means and diverse hazards. In Study 2, the detailed analysis of railroad hazards produced a structure that had both important similarities to, and dissimilarities from, the structure obtained in prior research with diverse hazard domains. The data also indicated that railroad hazards are really quite diverse, with some approaching nuclear reactors in their perceived seriousness. These results suggest that information about the diversity of perceptions within a single domain of hazards could provide valuable input to risk-management decisions.     

相关性下的银行风险集成研究综述

银行风险之间的相关关系会使风险之间相互转化，相互影响，令风险呈现出放大或者缩小的趋势，显著影响着银行风险度量结果的准确性。银行风险集成致力于在充分考虑银行风险相关关系的基础上，对银行风险进行较为准确的度量。但是银行风险具有相关关系种类繁多、表现形式复杂、以及数据的可获得性差等显著特征，导致银行风险的集成度量领域存在诸多挑战。本文对相关性下的银行风险集成研究进行综述，具体从集成对象、集成方法和集成数据三个层次系统展开。首先对银行风险及其蕴含的种类繁多的相关关系类型进行解析，然后分析银行风险相关关系表征出的多种复杂特性，根据对这些特性的刻画能力对银行风险的集成方法进行划分和比较，最后总结了获取银行风险集成数据的多种途径。在此基础上，进一步分析了银行风险集成研究的难点和未来趋势。     

The Theory of Risk Homeostasis: Implications for Safety and Health

No strategy for countermeasure design or future directions of research in the areas of human behavior which leads to traffic accidents or lifestyle-related diseases can be rationally developed without an acceptable working theory of human behavior in these domains. For this purpose, an attempt has been made to conceptually integrate the available evidence with respect to the role of human behavior in the causation of road accidents. From this integrative effort it would seem that the accident rate is ultimately dependent on one factor only, the target level of risk in the population concerned which acts as the reference variable in a homeostatic process relating accident rate to human motivation. Various policy tactics for the purpose of modifying this target level of risk have been pointed out and the theory of risk homeostasis has been speculatively extended to the areas of lifestyle-dependent morbidity and mortality.     

Risk Framework for an Organizational System With Major Components

Many large organizations accomplish their various functions through interactions across their major components. Components refers to functional entities within a large complex organization, such as business sectors, academic departments, or regional divisions. The dependency between the various components can cause risk to propagate through their overall system. This article presents a risk assessment framework that integrates risk across a diverse set of components to the overall organization functions. This project addresses three major challenges: aggregating risk, estimating component interdependencies including cycles of dependencies, and propagating risk across components. The framework aggregates risk assessments through a value function for severity that is evaluated at the expected outcome of accomplishing planned goals in terms of performance, schedule, and resources. The value function, which represents risk tolerance, scales between defined points corresponding to failure and success. Different risk assessment may be aggregated together. This article presents a novel approach to establishing relationships between the various components. This article develops and compares three network risk propagation models that characterize the overall organizational risk. The U.S. Air Force has applied this risk framework to evaluate success in hypothetical future wars. The analysts employing this risk framework have informed billions of dollars of strategic investment decisions.     

Risk analysis under attack: How risk science can address the legal,social, and reputational liabilities faced by risk analysts

The role of the risk analyst is critical in understanding and managing uncertainty. However, there is another type of uncertainty that is rarely discussed: The legal, social, and reputational liabilities of the risk analyst. Recent events have shown that professionals participating in risk analysis can be held personally liable. It is timely and important to ask: How can risk science guide risk analysis with consideration of those liabilities, particularly in response to emerging and unprecedented risk. This paper studies this topic by: (1) Categorizing how professionals with risk analysis responsibilities have historically been held liable, and (2) developing a framework to address uncertainty related to those potential liabilities. The result of this framework will enable individual analysts and organizations to investigate and manage the expectations of risk analysts and others as they apply risk principles and methods. This paper will be of interest to risk researchers, risk professionals, and industry professionals who seek maturity within their risk programs.     

Risk Comparisons, Conflict, and Risk Acceptability Claims

Despite many claims for and against the use of risk comparisons in risk communication, few empirical studies have explored their effect. Even fewer have examined the public's relative preferences among different kinds of risk comparisons. Two studies, published in this journal in 1990 and 2003, used seven measures of "acceptability" to examine public reaction to 14 examples of risk comparisons, as used by a hypothetical factory manager to explain risks of his ethylene oxide plant. This study examined the effect on preferences of scenarios involving low or high conflict between the factory manager and residents of the hypothetical town (as had the 2003 study), and inclusion of a claim that the comparison demonstrated the risks' acceptability. It also tested the Finucane et al. (2000) affect hypothesis that information emphasizing low risks-as in these risk comparisons-would raise benefits estimates without changing risk estimates. Using similar but revised scenarios, risk comparison examples (10 instead of 14), and evaluation measures, an opportunity sample of 303 New Jersey residents rated the comparisons, and the risks and benefits of the factory. On average, all comparisons received positive ratings on all evaluation measures in all conditions. Direct and indirect measures showed that the conflict manipulation worked; overall, No-Conflict and Conflict scenarios evoked scores that were not significantly different. The attachment to each risk comparison of a risk acceptability claim ("So our factory's risks should be acceptable to you.") did not worsen ratings relative to conditions lacking this claim. Readers who did or did not see this claim were equally likely to infer an attempt to persuade them to accept the risk from the comparison. As in the 2003 article, there was great individual variability in inferred rankings of the risk comparisons. However, exposure to the risk comparisons did not reduce risk estimates significantly (while raising benefit estimates), and Conflict-Claim respondents found the risk of the hypothetical factory less acceptable than No-Conflict respondents. Results suggest that neither risk comparisons nor risk acceptability claims are automatically anathema to audiences, but they may have tiny or unintended effects on audience judgments about risky situations.     

风险相关性下的信用风险、市场风险和操作风险集成度量

商业银行各种风险之间相关性的存在,对其整体风险的度量产生重要影响。本文针对商业银行的信用风险、市场风险和操作风险这三类主要风险,在考虑相关性基础上给出了风险集成过程,通过copula函数和蒙特卡洛模拟方法计算了商业银行的整体风险,同时研究了风险分散化效应和在不同copula函数下整体风险的变化情况。最后以主流文献中的数据做了实证分析,结果显示本文提出方法能够很好的描述风险损失之间的相关性,同时在能够抵御相同风险的情况下考虑相关性下的在险值与简单相加得到的在险值相比要小,这能为银行业提高资金利用率提供了一定的理论和方法依据。     

A general guideline for management of risk from carcinogens

A simple relationship is formulated that helps to discriminate between acceptable and unacceptable individual lifetime risks (RL) to populations that are exposed to chemical carcinogens. The relationship is an empirical one and is developed using objective risk data as well as subjective risk levels that have found substantial acceptance among those concerned with carcinogenic risk assessment issues. The expression sets acceptable levels of lifetime carcinogenic risk and is a function of the total population exposed to the carcinogen. Its use in risk assessment and risk management provides guidance in distinguishing those carcinogens that should be regulated because of the health hazard they pose from those whose regulation may not be needed.