CAJ | 학술논문

针对复杂金融网络中的系统性风险预测和不同风险场景下的流动性救助策略问题，以中国大额支付系统网络为对象，运用数学建模和仿真模拟建立和验证了系统性风险演化模型，并基于该模型比较了不同场景不同流动性救助水平下不同救助策略的绩效。结果表明，在所选择的四种不完全救助策略中，均衡救助策略在绝大多数情况都是严格占优的，而三种非均衡救助策略则各有优劣。研究方法和结论对于复杂金融网络的系统性风险管理有显著意义。
침대복잡금융망락중적계통성풍험예측화불동풍험장경하적류동성구조책략문제，이중국대액지부계통망락위대상，운용수학건모화방진모의건립화험증료계통성풍험연화모형，병기우해모형비교료불동장경불동류동성구조수평하불동구조책략적적효。결과표명，재소선택적사충불완전구조책략중，균형구조책략재절대다수정황도시엄격점우적，이삼충비균형구조책략칙각유우렬。연구방법화결론대우복잡금융망락적계통성풍험관리유현저의의。
As for the systemic risk forecast and liquidity rescue under different risky scenarios in a financial complex network, at the angle of large value payment system （LVPS）, via mathematic modeling and simula- ting, this paper constructs and demonstrates a dynamic model of systemic risk, and studies the performance of different rescue strategies under different liquidity rescue levels and different scenarios. The equilibrium strategy out of four selected strategies is dominant under most situations, and other three un - equilibrium strategies have their own advantages and disadvantages. The research methods and results are applicable to risk management in the LVPS and similar financial complex networks.