| 银行风险传染随机模型研究 |
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| 引用本文： | 李守伟,何建敏,龚晨.银行风险传染随机模型研究[J].统计与信息论坛,2010,25(12):26-30. |
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| 作者姓名： | 李守伟 何建敏 龚晨 |
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| 作者单位： | [1]东南大学经济管理学院,江苏南京211189 [2]东南大学信息科学与工程学院,江苏南京211189 |
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| 基金项目： | 国家自然科学基金，江苏省自然科学基金，东南大学优秀博士学位论文基金资 |
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| 摘 要： | 借鉴生物学中传染病模型,建立了银行风险传染的随机模型。描述了银行风险在银行系统中的传染过程,分析了受传染银行的数目变化规律以及银行风险传染率、银行间的关联度和银行风险治理率对银行风险传染的影响。分析结果表明：通过降低传染率、降低关联度或增加治理率都可以控制银行风险的传染,并且降低银行间的关联度比增加治理率对控制银行风险传染的效果更好。
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| 关 键 词： | 银行风险 传染率 关联度 治理率 |
Research on the Stochastic Models of Contagion of Banking Risk |
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| LI Shou-wei,HE Jian-min,GONG Chen.Research on the Stochastic Models of Contagion of Banking Risk[J].Statistics & Information Tribune,2010,25(12):26-30. |
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| Authors: | LI Shou-wei HE Jian-min GONG Chen |
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| Institution: | b(a.School of Economics and Management;b.School of Information Science and Engineering,Southeast University,Nanjing 211189,China) |
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| Abstract: | Drawing on the infectious disease models in biology,the paper builds the stochastic models of contagion of banking risk,which describe the transmission process of banking risk in the banking system.It then analyzes the variation law of the number of infected banks,and explores the impact on banking risk contagion of the spread rate of banking risk,the inter-bank correlation degree and the treatment rate of banking risk.The results show that the transmission of banking risk can be controlled by decreasing the spread rate of banking risk,reducing the inter-bank correlation degree or increasing the treat rate;the paper also concludes that decreasing the inter-bank correlation degree is more effective than increasing the treatment rate. |
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| Keywords: | banking risk spread rate correlation degree treatment rate |
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