多层网络系统性风险研究——基于银行、企业、资产间多重关系

Research on Systemic Risk in Multi-Layer Networks—Based on the Multiple Connections among Banks, Firms, and Assets

摘要: 在复杂的金融系统中，银行或重要企业节点的系统性风险事件可能导致广泛的经济冲击。银行间的同业拆借市场一直是学者们研究的重点，因为它为银行提供了便捷的融资渠道，在一定程度上能够分摊外部冲击带来的风险。然而，这种互联性也可能为风险的传播提供便利。与此同时，银企信贷市场也是研究的焦点之一：银行通过向企业提供贷款支持其运营，而企业的信用状况则直接影响银行的资产质量，企业信用违约甚至可能导致银行资产贬值，进而引发系统性风险。银行与企业之间的信贷关系不仅在金融信息传递和风险分散方面发挥作用，还构成了系统风险传播的潜在途径。此外，银行往往会将资金投资于多种资产，多个银行持有相同资产的情况并不少见，形成所谓的重叠投资组合。当银行因规避风险而抛售某一资产时，资产价格可能会下跌，从而影响其他持有该资产的银行，进一步加剧风险的集中。在企业间的信用担保关系中，企业通过互相担保在融资过程中获得支持，然而这也可能导致风险的连锁传递，进一步扩大金融风险。因此，研究多主体、多关联的风险传染机制对于防范系统性金融风险具有重要意义。本文通过构建包含四类网络链接的多层网络系统模型——即企业–银行信贷网络、银行–资产投资网络、银行间拆借网络和企业间信用担保网络，模拟了企业信贷违约、资产贬值、银行破产以及企业破产四种冲击下，系统性风险的传染与演变过程。对于我国防范金融网络系统性风险具有一定意义。

Abstract: In complex financial systems, systemic risk events involving banks or key corporate nodes can trigger widespread economic shocks. The interbank lending market has been a focal point for researchers, as it provides banks with a convenient financing channel, which to some extent can mitigate risks from external shocks. However, this interconnectedness can also facilitate risk transmission. Meanwhile, the bank-enterprise credit market is another key area of research. Banks support companies’ operations by providing loans, and the creditworthiness of these companies directly impacts the asset quality of banks. Corporate credit defaults may even lead to a devaluation of bank assets, thereby triggering systemic risk. The credit relationship between banks and enterprises not only plays a role in financial information transmission and risk dispersion but also serves as a potential pathway for systemic risk contagion. Additionally, banks often invest funds in a variety of assets, and it is common for multiple banks to hold the same assets, forming what is known as overlapping portfolios. When banks attempt to mitigate risk by selling a particular asset, the asset’s price may drop, impacting other banks holding the same asset and further concentrating risk. In the credit guarantee relationships among enterprises, companies support each other in the financing process through mutual guarantees, but this can also lead to chain transmission of risks, further amplifying financial risk. Therefore, studying the contagion mechanism of multi-agent, multi-linked risks is crucial for preventing systemic financial risk. This paper constructs a multi-layer network system model with four types of network connections—namely, the enterprise-bank credit network, the bank-asset investment network, the interbank lending network, and the inter-enterprise credit guarantee network. The model simulates the contagion and evolution of systemic risks under four types of shocks: corporate credit default, asset devaluation, bank bankruptcy, and corporate bankruptcy. It holds significant meaning for preventing systemic risks in China’s financial network system.