运筹与管理2024，Vol.33Issue(12)：158-164,7.DOI:10.12005/orms.2024.0400
我国金融风险传染机制与防控策略研究
Research on Financial Risk Contagion and Prevention Strategy in China:SIRS Model with Discontinuous Treatment in Complex Network
摘要
Abstract
The financial crisis that broke out in 2008 led scholars to expand their research focus from the risks of individual financial institutions to systemic financial risks and financial risk contagion,and countries have intro-duced a series of policies to prevent and resolve systemic financial risks.China has also put forward a series of profound discussions and important instructions on preventing financial risks,maintaining financial stability and financial security,expressing its determination to prevent and resolve financial risks.The outbreak of COVID-19 in 2020 had a serious impact on the world economy,intensifying the volatility of financial markets,and local financial risks may expose the hidden danger of latent systemic financial risks.China's economy has been grow-ing steadily for many years,and has begun to face the pressure of systemic financial risks.In this context,it is particularly important to study systemic financial risks.Although financial risks cannot be eliminated,by stud-ying the transmission mechanism of financial risks,the evolution process of individual risks to systemic risks,and the characteristics of systemic risk outbreaks,we can formulate policies to prevent and resolve financial risks,strengthen the supervision of financial institutions,and ultimately resolve financial risks and minimize the possi-ble losses.Networks in research to describe the intricate relationships among financial institutions have been in use more and more frequently in recent years.The research focus has also gone through the following stages of change:First,using different networks to fit the financial system and describe the relevant characteristics of financial networks.Second,introducing the contagion model into the study of financial risk transmission and combining it with complex networks to discuss the specific transmission process of risks.Third,using data simulation techniques to discuss the network structure and risk transmission based on the contagion model under complex networks.In general,the current research is limited by the availability of data and lacks corresponding empirical studies.In establishing the contagion model,the existing studies set mostly continuous-type treatment functions,which deviates from the real government's financial bailout behavior and does not reflect the real financial risk contagion process well. Therefore,with reference to the existing contagion models under complex networks,this paper introduces a new concept of risk spontaneous rate to measure the change of risk coefficients due to individual decisions in the system,proposes the concept of discontinuous treatment,sets the government treatment behavior as a discontinu-ous function,and revises the existing model to construct a SIRS model of discontinuous treatment strategy under complex networks.The quarterly financial statement data of listed banks from 2011 to 2021 are selected to estab-lish a risk evaluation system from both internal and external dimensions of the banks to empirically measure the historical risks of the banks.On this basis,we can determine the system base period risk state,and considering the characteristics of non-linearity and complexity of financial data,Copula function,auto-regression and thresh-old regression are used to measure parameters such as risk contagion rate,risk spontaneous rate,government bailout rate and immunity loss rate.And then we solve the model to observe the process of risk contagion in the system and examine the relationship between different node degrees and steady state quantities under the risk steady state relationship between different node degrees and steady-state quantities in the risk steady state.The government's bailout behavior is also evaluated,and different optimization schemes are proposed for simulation,based on the principles of highest system risk convergence rate and lowest number of negative deviations from the steady state,to save government bailout cost as much as possible and arrive at the optimal improvement scheme.The results show that:First,priority should be given to bailing out banks with high concentration of market participation in the bank bailout process,and important bank network nodes in a risk non-infectible state are the key to the system to reach risk steady state.Second,the current bank bailout strategy adopted in China can solve the current problem of high bank risk.Third,on the premise of achieving the bank bailout goal,the current ailout strategy can reduce the intensity by 57.55%.关键词
金融风险/风险传染机制/防控策略/非连续治疗SIRS模型Key words
financial risk/risk contagion/prevention strategy/SIRS model with discontinuous treatment分类
管理科学引用本文复制引用
王韶华,杨铭,张伟,李庆怡..我国金融风险传染机制与防控策略研究[J].运筹与管理,2024,33(12):158-164,7.基金项目
国家社会科学基金一般项目(21BJY014) （21BJY014）
