| 摘要: |
| 为了度量银行货币存贮网络的系统风险，引入了相互影响的跳扩散模型和复合泊松过程来刻画银行拆借网络中货币存储的变化和突然冲击对银行货币存储的影响，系统中的货币存储满足随机微分方程，证明了该随机微分方程解的存在唯一性，给出了系统风险概率表达式，并对表达式中关键参数进行了数值模拟，数值模拟结果表明了银行货币存贮网络的系统风险随着银行货币存储波动率的增加先增加后减小，随着破产阈值和时间期限的增加而减小。 |
| 关键词: 跳扩散模型 系统风险；银行拆借；系统事件 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Systemic Risk in One Type of Network of Monetary Reserves |
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LU Min, LI Zhi-min
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| Abstract: |
| In order to measure the size of systemic risk in interbank monetary reserves networks, we introduce an interacting jump diffusion model and compound Poisson process to characterize the dynamic of and the impact of sudden shocks on monetary reserves of banks in interbank lending networks. Monetary reserves in the system satisfy a stochastic differential equation.We prove the existence and uniqueness of the solution; also we give a probability expression of the systemic risk and numerical simulations of our results for the key parameters in the expression. The results show that the size of systemic risks will increase firstly, and then will decrease with the increase of the volatility of monetary reserves and that the size of systemic risks will decrease with the increase of bankruptcy thresholds and time intervals. |
| Key words: jump diffusion model systemic risk interbank lending systemic event |
