CAJ | 학술논문

文章基于网络模型量化分析了金融危机前后我国银行业系统性风险的特征。利用2006-2011年银行间市场中各类型金融机构拆出与拆入资金数据，建立了金融机构间关联网络模型。在此基础上，通过模拟测试可揭示冲击在各类型金融机构间传染过程，同时可以分析各类型金融机构间风险暴露特征。实证研究表明：金融危机前后任一类型金融机构违约不足以引发银行业系统性风险；国有商业银行和其他商业银行在银行间市场中处于核心位置。
문장기우망락모형양화분석료금융위궤전후아국은행업계통성풍험적특정。이용2006-2011년은행간시장중각류형금융궤구탁출여탁입자금수거，건립료금융궤구간관련망락모형。재차기출상，통과모의측시가게시충격재각류형금융궤구간전염과정，동시가이분석각류형금융궤구간풍험폭로특정。실증연구표명：금융위궤전후임일류형금융궤구위약불족이인발은행업계통성풍험；국유상업은행화기타상업은행재은행간시장중처우핵심위치。
Based on the network model,this paper analyzes quantitatively systematic risk of China’s banking industry before and after the financial crisis. Though the use of data on lending and borrowing capital among various types of financial institu-tions in the interbank market from 2006 to 2011, the paper establishes network models of financial institutions. The network models facilitate simulations and stress testing to demonstrate shock transmission process,and analyze the risk exposure among financial institutions. The empirical study shows that,before and after the financial crisis,the default of any type of financial institutions is not enough to trigger the systematic risk;the state-owned commercial banks and other commercial banks are at the core position in the interbank market.