从复杂网络视角分析系统性风险: 综述和展望

Analysis of systemic risk from the perspective of complex networks: overview and outlook

中文关键词  系统性风险  复杂网络  关联性  测度  风险传染  风险防范

英文关键词  systemic risk  complex networks  relevance  measurement  risk contagion  risk prevention

中文摘要

      随着现代金融业的迅猛发展, 由多个金融主体形成的网络复杂程度不断加深, 发生系统性风险的概率明显上升. 利用复杂网络理论研究金融市场的网络拓扑结构及演化过程, 对系统性风险的测度、传染及防范具有重要作用. 首先, 阐明了系统性风险的内涵、成因与特性, 介绍了研究系统性风险的常用指标和复杂网络模型, 指出了系统性风险在金融网络中的重要影响; 其次, 基于金融机构之间的关联性归纳了构建网络模型的算法和系统性风险的测度方法, 对比分析了各自的基本特征、优势、局限性及应用; 然后, 剖析了系统性风险在网络结构下的传染效应; 最后, 基于复杂网络视角对系统性风险的难点问题进行了展望, 以期为相关研究提供参考.

英文摘要

      With the rapid development of the modern financial industry, the complexity of the network formed by multiple financial entities has continued to deepen, and the probability of systemic risk has increased significantly. The use of complex network theory to explore the network topology and evolution process of financial markets plays an important role in the measurement, contagion and prevention of systemic risk. In this review, the connotation of systemic risk is clarified firstly along with their causes and characteristics, common indicators and complex network models are reviewed, and the important impact of systemic risk in financial networks is pointed out. Based on the correlation between financial institutions, the algorithm for building the network model and the measurement method of systemic risk are discussed, and their characteristics are evaluated, along with their advantages, limitations and applications. Then, the contagion effect of systemic risk under the network structure are also analyzed. Finally, based on the perspective of complex networks, challenges in systemic risk problems are concluded to throw some light on the future research.