CAJ | 학술논문

本文研究了银行间风险传染机制，并构建了符合我国银行系统的同业拆借市场网络结构，该网络结构满足应用矩阵法的条件；通过采用矩阵法对银行间风险传染进行测算及仿真，运用最优熵值法构建了上市商业银行的双边敞口矩阵，沿用弗阿菲尼方法估计传染损失率，在此基础上利用C＋＋软件，对具有代表性的五家商业银行进行了银行间同业拆借风险传染测度及仿真研究，根据仿真结果提出各商业银行、损失率、风险爆发、风险传染间的相互关系。
본문연구료은행간풍험전염궤제，병구건료부합아국은행계통적동업탁차시장망락결구，해망락결구만족응용구진법적조건；통과채용구진법대은행간풍험전염진행측산급방진，운용최우적치법구건료상시상업은행적쌍변창구구진，연용불아비니방법고계전염손실솔，재차기출상이용C＋＋연건，대구유대표성적오가상업은행진행료은행간동업탁차풍험전염측도급방진연구，근거방진결과제출각상업은행、손실솔、풍험폭발、풍험전염간적상호관계。
The risk contagion mechanism and network structure of the interbank lending market which was fit for the banking system in our country was built in this article .After inquiry, the interbank network structure in our country was found to meet the application conditions of matrix method .On this basis, the matrix method was used to measure and simulate the risk contagion in the interbank:the method of optimal entropy was applied to build bilateral exposure matrix , and then the method of loss rate measuring of contagion by Foa Feeney and C ++software was used to measure and sim-ulate the process of risk contagion in banking system after the risk of source bank occurred .According to the simulation results, the relationships among commercial banks , loss rate, risk outbreaking and the risk contagion were obtained .