银行风险传染集合种群模型--基于元胞自动机动态模拟.pdfVIP

银行风险传染的集合种群模型 基于元胞自动机的动态模拟 1,2 1 1 陈建新 罗伟其 庞素琳 （1. 暨南大学管理学院, 广东广州 510632 ） （2. 广东工业大学应用数学学院，广东广州，510006 ） 摘要： 近年来银行危机发生的频率越来越高，出现了因一个或者多个银行出乎预料的倒闭， 而在整个银行体系中由于银行风险传染效应引发的系统性风险或危机，引起了世界范围内的 关注。但无论国内还是国外，对银行系统性风险的传染过程的研究还有待于进一步深化。在 我国，这一问题的研究还处于起步阶段，为此，我们借助于生物学集合种群理论构建了银行 风险传染模型，应用元胞自动机方法模拟了我国商业银行风险传染的时间和空间的动态过程， 通过分析银行风险传染的特征，提出了影响银行风险传染速度的因素，这对控制银行风险传 染，保持银行稳定性具有重大意义。此外，该模型不仅可以对银行风险传染过程进行模拟和 动态分析，同样也适用于研究金融系统中其他金融机构间的风险传染问题。 关键词：银行风险；集合种群模型；元胞自动机；传染率；灭绝率 中图分类:F120 Met population model of the risk infection of the bank Cellular Automata-based Dynamic Simulation Chen Jianxin1, 2 Lou weiqi1 Pang Sulin1 1. Department of Accountancy Institute of Finance Engineering, School of Management, Jinan University, Guangzhou 510632 2. Department of Mathematics, Guangdong University of Technology Guangzhou 510006 Abstract: Recently, the repeated systemic risk triggered by the high frequency of bank incident and hazard has caused much concern in the economic and financial circles and also attracted by the world-wide attention. Experts in other countries have made efforts to probe the problem of the bank systemic risk and made some contribution, but still need further profound research. In China，the study of this subject is still at the beginning, and has not made systematic and thorough study yet. So we construct the model of bank risk contagion and simulate the dynamic process of the contagion in time and space by cellular automata by means of met population in biology. Through analyzing the feature of bank risk contagion, we put forward the influencing factors which have great significance about controlling the contagion and hol