CAJ | 학술논문

近年来的金融危机凸显了评估一个国家或地区系统性风险传染效应的紧迫性和重要性，是否存在系统性风险成为衡量金融安全的一个重要方面。本文利用矩阵法构建我国银行的风险传染模型，用最小二乘法和相对熵两种方法分析了不同损失水平下单家银行倒闭可能引起的系统性风险传染。结果表明：最小二乘方法下的风险敞口矩阵更符合实际；2005年的银行风险传染过程会发生一到二轮，且受到负面影响的主要是股份制银行；由于银行核心资本的提高，2009年的风险传染则几乎不会发生。
근년래적금융위궤철현료평고일개국가혹지구계통성풍험전염효응적긴박성화중요성，시부존재계통성풍험성위형량금융안전적일개중요방면。본문이용구진법구건아국은행적풍험전염모형，용최소이승법화상대적량충방법분석료불동손실수평하단가은행도폐가능인기적계통성풍험전염。결과표명：최소이승방법하적풍험창구구진경부합실제；2005년적은행풍험전염과정회발생일도이륜，차수도부면영향적주요시고빈제은행；유우은행핵심자본적제고，2009년적풍험전염칙궤호불회발생。
The recently financial crisis highlights the importance and urgency to assess the systematic risk contagion effect of a country or a region, and whether there exist systematic risks or not has become an important aspect of financial security. In this paper, we use the matrix method to establish our country＇ s banking risk contagion model, and analyze the systematic risk contagion with different loss levels if one bank bankrupts under least square and relative entropy. It shows that the least square fits for reality; the risk contagion would go through one or two rounds in 2005, and furthermore, the banks infected were small and medium - sized joint - equity banks; no contagion happened in 2009 due to the enhancing of core capital adequacy ratio.