摘要
商业银行集团客户内部复杂的股权关系、投融资关系、债权债务关系等,造成各成员客户授信风险具有较强的关联性和传导性。本文利用级联失效模型建立集团客户网络,对各成员风险负载能力、成员之间风险传递与分配方式、集团整体抗风险能力进行量化,通过集团客户网络级联失效仿真结果的分析,对集团成员内部的风险传导及整体抗风险能力给出客户的量化与评价,以期为商业银行度量和量化集团客户成员之间的风险传导及风险负担能力、了解整个集团的抗风险能力提供参考。
Complex relations within group enterprises＇ members, including equity relations, investment/financing rela- tions, creditor＇s rights and debt, and so on, cause strong affinity and conductivity of credit risk within group enterprises＇ members of commercial bank. The paper establishes the group customer network with cascading failure model to quantify the risk load capacity of the members, the risk transfer and distribution mode of members, the group＇s overall ability to resist risks, and through the analysis of group customer network cascading failure simulation results, the risk transfer and the overall anti risk ability of the group members are evaluated, to provide reference for commercial banks to measure and quantify the risk transfer and group customers＇ risk burden ability, and understand the whole group＇s antirisk ability.
出处
《商业研究》
CSSCI
北大核心
2016年第12期96-101,共6页
Commercial Research
关键词
商业银行
集团客户
信用风险传导
仿真
commercial banks
group enterprises
credit risk conduction
simulation
