CN111611542A - Method and device for measuring systematic risk of financial system - Google Patents

Method and device for measuring systematic risk of financial system Download PDF

Info

Publication number
CN111611542A
CN111611542A CN202010354376.8A CN202010354376A CN111611542A CN 111611542 A CN111611542 A CN 111611542A CN 202010354376 A CN202010354376 A CN 202010354376A CN 111611542 A CN111611542 A CN 111611542A
Authority
CN
China
Prior art keywords
asset
financial
value
assets
bilateral
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Pending
Application number
CN202010354376.8A
Other languages
Chinese (zh)
Inventor
黄雅静
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Beijing Forestry University
Original Assignee
Beijing Forestry University
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Beijing Forestry University filed Critical Beijing Forestry University
Priority to CN202010354376.8A priority Critical patent/CN111611542A/en
Publication of CN111611542A publication Critical patent/CN111611542A/en
Pending legal-status Critical Current

Links

Images

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06F—ELECTRIC DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/10—Complex mathematical operations
    • G06F17/18—Complex mathematical operations for evaluating statistical data, e.g. average values, frequency distributions, probability functions, regression analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/063—Operations research, analysis or management
    • G06Q10/0635—Risk analysis of enterprise or organisation activities
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/03—Credit; Loans; Processing thereof
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Landscapes

  • Engineering & Computer Science (AREA)
  • Business, Economics & Management (AREA)
  • Physics & Mathematics (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Human Resources & Organizations (AREA)
  • Economics (AREA)
  • Strategic Management (AREA)
  • Development Economics (AREA)
  • Finance (AREA)
  • Accounting & Taxation (AREA)
  • Marketing (AREA)
  • General Business, Economics & Management (AREA)
  • Operations Research (AREA)
  • Data Mining & Analysis (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Mathematical Optimization (AREA)
  • Computational Mathematics (AREA)
  • Mathematical Physics (AREA)
  • Pure & Applied Mathematics (AREA)
  • Technology Law (AREA)
  • Game Theory and Decision Science (AREA)
  • Mathematical Analysis (AREA)
  • Bioinformatics & Cheminformatics (AREA)
  • Educational Administration (AREA)
  • Evolutionary Biology (AREA)
  • Bioinformatics & Computational Biology (AREA)
  • Life Sciences & Earth Sciences (AREA)
  • Probability & Statistics with Applications (AREA)
  • Tourism & Hospitality (AREA)
  • Algebra (AREA)
  • Quality & Reliability (AREA)
  • Databases & Information Systems (AREA)
  • Software Systems (AREA)
  • General Engineering & Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

The invention provides a method and a device for measuring systematic risks of a financial system, a computer readable storage medium and computing equipment, which can effectively and accurately measure the systematic risks of the financial system. The method for measuring the systematic risk of the financial system comprises the following steps: establishing a bilateral financial network based on portfolio data for a plurality of financial institutions describing relationships between the financial institutions and a plurality of assets of different types held by the financial institutions; after the bilateral financial network is formed, a plurality of random external impacts can be set on mechanism nodes and asset type nodes in the network, after the external impacts are implemented, assets are used as intermediate media to transmit risks among financial mechanisms, the total number of the mechanism in the bilateral financial network and the total loss value of the assets of various asset types are calculated through multiple iterations, and then the overall systemic risk of the network is measured.

Description

Method and device for measuring systematic risk of financial system
Technical Field
The invention relates to the technical field of computers, in particular to a method and a device for measuring systematic risks of a financial system, a computer-readable storage medium and computing equipment.
Background
At present, most of systematic risk prediction methods for a large-scale financial system are based on loan-loan relations among institutions, modeling is carried out by a complex network theory, and characteristic quantity statistics and analysis are carried out on the modeling, so that systematic risks of the financial system are evaluated. In a modern financial system, financial institutions are used as nodes, and trade relations such as credit borrowing and asset liability among the financial institutions are used as connecting edges, so that a complex financial network is formed. The formation of a financial network on the one hand distributes the risks of the individual financial institutions and also increases the overall systematic risks by creating a passage for the risk to be transmitted between the financial institutions. The crisis of falling shut occurs in one financial institution, and the danger is possible to form a threat to the robust operation of the whole financial system. At present, various problems of the economic and financial system warn people to accurately predict systematic risks and prepare for preventing financial crisis in time.
However, the network formed by the loan relationship between financial institutions may not be an important driving factor for crisis spread, and it is proved by theory and experiments in the related art that unless the network effect of the loan between institutions is amplified by a mechanism other than simple overflow effect, the expected loss caused by the network effect of the loan between institutions may be very small, and thus the overall systematic risk of the financial system cannot be accurately measured. For example, in financial crisis of 2008, bankruptcy of ramman brother brings a significant impact on the whole financial industry. However, none of the assisted financial institutions, such as the american international group, the douglas-bang group, the wajo wiegand sub-bank, the washington reciprocal bank, the american securities, etc., is impaired by the exposure to the raman or other companies, and it can be seen that the loan-and-debit relationship between financial institutions may not accurately measure the overall systemic risk of the financial system. Therefore, how to measure the systematic risk of the financial system effectively and accurately becomes a technical problem to be solved urgently.
Disclosure of Invention
In view of the above problems, the present invention has been made to provide a method and apparatus for measuring a systematic risk of a financial institution, a computer-readable storage medium, and a computing device, which overcome or at least partially solve the above problems, and can effectively and accurately measure the systematic risk of the financial institution.
According to an aspect of an embodiment of the present invention, there is provided a method for measuring a systematic risk of a financial institution, including:
a data acquisition step of acquiring asset combination data of a plurality of financial institutions including one or more asset types, and then continuing to execute the network construction step;
a network construction step, wherein a bilateral financial network comprising a plurality of mechanism nodes and a plurality of asset type nodes is established according to the asset combination data, directed edges of the mechanism nodes in the bilateral financial network pointing to the asset type nodes indicate that financial mechanisms corresponding to the mechanism nodes invest assets corresponding to the asset type nodes, so that assets corresponding to the asset type nodes are held, the weight of the directed edges is the number of the held assets, an original investment matrix of the financial mechanisms is generated according to the asset combination data, the number of rows and the number of columns of the original investment matrix are respectively the number of the financial mechanisms and the number of asset types, the elements of the original investment matrix are original values of the financial mechanisms corresponding to the row of the element to the assets corresponding to the column of the element, and m external impacts are set on the asset type nodes in the bilateral financial network, initializing the value of i of the ith external impact to be 0, wherein the value of i is 0, which means that no external impact is implemented, and then continuing to execute the external impact implementation step;
an external impact implementation step, namely calculating the value of i +1, assigning the value of i +1 to i, implementing the ith external impact on asset type nodes in the bilateral financial network, generating the fluctuation price of assets of various asset types, further calculating the current value of the assets of various asset types held by each financial institution in the multiple financial institutions according to the fluctuation price of the assets of various asset types, the weight of a directed edge in the bilateral financial network and the original value of the assets of various asset types held by each financial institution in the original investment matrix, and then judging whether i is less than or equal to m, if so, continuing to execute the reclosing mechanism judgment step, and if not, continuing to execute the systematic risk measurement step;
a reverse closing mechanism judgment step, set DtStarting from the t-th step of 0, the set of the reverse closing mechanism is based onEach of the plurality of financial institutions holds the original value and the current value of the assets of each asset type, determines whether the plurality of financial institutions is closed upside down to obtain a determination result, and judges D according to the determination result0Whether it is an empty set, if D0If the current is empty, returning to execute the external impact implementation step, and if the current is empty, returning to execute the external impact implementation step0If not, continuing to execute the risk infection step;
a risk infection step, namely, the assets held by the closing mechanism in the t step are cleared, the asset value after clearing is calculated according to the clearing proportion of each asset of the closing mechanism in the t step, the asset value of the rest of the non-closing mechanisms except the closing mechanism in the plurality of financial mechanisms is recalculated according to the asset value after clearing, then the value of t +1 is calculated, and whether a new mechanism is closed in the rest of the non-closing mechanisms is judged according to the asset value of the recalculated rest of the non-closing mechanisms, if D is the value of t +1, the new mechanism is closedt+1＝DtDetermining the risk infection is over, and then returning to execute the external impact implementation step, if so
Figure BDA0002472968530000031
Determining that the risk infection is not ended, assigning a value of t +1 to t, and then performing the risk infection step again;
a systematic risk measurement step, for each external impact of the m external impacts, of the set D obtained in the risk infection steptDetermining the total number of the closing mechanisms in the bilateral financial network, calculating the total loss value of the assets of all asset types in the bilateral financial network according to the total original value of the assets of all asset types in the bilateral financial network and the residual total asset value of the assets of all asset types in the bilateral financial network obtained in the risk infection step, and measuring the systematic risk of a financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of all asset types when each external impact of m external impacts occurs.
Optionally, the determining whether each of the plurality of financial institutions has an institution reversal according to the original value and the current value of the asset of each asset class held by each of the plurality of financial institutions comprises:
calculating a ratio of a current value to an original value of a total asset held by each of the plurality of financial institutions according to the original value and the current value of the asset of each asset type held by each of the plurality of financial institutions;
for each financial institution, judging whether the ratio of the current value to the original value of the total assets held by the financial institution is lower than a threshold value tau (Q), if so, determining that the financial institution is a closing mechanism, and if not, determining that the financial institution is not the closing mechanism, wherein tau (Q) is calculated by the following formula:
τ(Q)＝1/(1+h(Q))
wherein,
Figure BDA0002472968530000041
q is the original value of the total assets held by the financial institution, and log (Q) is a base 10 logarithm.
Optionally, the compensating the assets held by the closing mechanism at the t-th step, and calculating the asset value after compensation according to the compensation proportion of each asset of the closing mechanism at the t-th step includes:
the assets held by the closing mechanism in the t step are paid out, and the asset value P of the j type assets of the closing mechanism in the t step isjAdjusted to Pjf(stj) As the asset value after liquidation, f(s) is calculated by the following formulatj)：
Figure BDA0002472968530000042
Wherein s istjThe amount of the jth asset paid out at step t is a proportion of the total amount of the jth asset in the bilateral financial network.
Optionally, the measuring the systematic risk of the financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type at each external impact of the m external impacts includes:
calculating the probability of the global reclosing condition of the bilateral financial network based on the total number of the reclosing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type under each external impact of m external impacts;
and measuring the systematic risk of the financial system by utilizing the calculated probability of the global closure of the bilateral financial network.
Optionally, calculating a probability of occurrence of a global reclosing condition in the bilateral financial network based on the total number of the reclosing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type at each external impact of m external impacts, where the calculating includes:
according to the total number of the reclosure mechanisms in the bilateral financial network under each external impact of m external impacts, calculating the probability R1 of the global reclosure condition of the bilateral financial network, wherein the calculation formula of R1 is as follows:
Figure BDA0002472968530000051
wherein f iskRepresenting the proportion of the total number of the closing mechanisms in the bilateral financial network to the total number of the financial mechanisms under the k-th external impact, β is a preset threshold and belongs to a value between an interval 0 and an interval 1, and theta (x) is a step function when x is a step function>Value 0 is 1, when x<The value of 0 is 0; and
according to the total loss value of the assets of all asset types in the bilateral financial network under each external impact of m external impacts, the probability R2 of the global reclosing condition of the bilateral financial network is calculated, and the calculation formula of R2 is as follows:
Figure BDA0002472968530000052
wherein v isk1-v representing the ratio of the total remaining asset value to the total original value of assets of each asset class in the bilateral financial network at kth external impactkAnd gamma is a preset threshold value and belongs to a value between the interval 0 and the interval 1, wherein gamma is a preset threshold value.
Optionally, the performing an i-th external impact on the asset class node in the bilateral financial network to generate a fluctuating price of an asset of each asset class includes:
determining a random distribution function for implementing the ith external impact on asset type nodes in the bilateral financial network according to the asset types in the bilateral financial network and the prices of the assets of the asset types;
and generating the fluctuating prices of the assets of all the asset types by using the determined random distribution function.
Optionally, m is calculated by the following formula:
m＝104ln(M)
wherein M is a total asset class in the bilateral financial network.
According to another aspect of the embodiments of the present invention, there is provided a device for measuring a systematic risk of a financial institution, including:
a data acquisition unit for acquiring portfolio data of a plurality of financial institutions including one or more asset types, and then continuing to execute the network construction unit;
a network construction unit, configured to establish a bilateral financial network including a plurality of institution nodes and a plurality of asset class nodes according to the asset combination data, where a directed edge pointing to an asset class node by an institution node in the bilateral financial network indicates that a financial institution corresponding to the institution node invests in assets corresponding to the asset class node, so as to hold assets corresponding to the asset class node, and the weight of the directed edge is the number of the held assets, and generate an original investment matrix of the plurality of financial institutions according to the asset combination data, where the number of rows and columns of the original investment matrix are the number of the financial institutions and the number of asset classes, respectively, an element of the original investment matrix is an original value that a financial institution corresponding to the row of the element holds assets corresponding to the column of the element, and m external impacts are set on the asset class node in the bilateral financial network, initializing the value of i of the ith external impact to be 0, wherein the value of i is 0, which means that no external impact is implemented, and then continuing to execute the external impact implementation unit;
an external impact implementation unit, configured to calculate a value of i +1, assign the value of i +1 to i, implement an ith external impact on asset type nodes in the bilateral financial network, generate a fluctuating price of assets of each asset type, further calculate a current value of the assets of each asset type held by each financial institution in the multiple financial institutions according to the fluctuating price of the assets of each asset type, the weight of a directed edge in the bilateral financial network, and the original value of the assets of each asset type held by each financial institution in the original investment matrix, and then determine whether i is less than or equal to m, if yes, continue to execute the reclosing mechanism determination unit, and if no, continue to execute the systematic risk measurement unit;
a reverse closing mechanism judgment unit for setting a set DtStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to close according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions to obtain a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If it is empty, returning to execute external impact execution unit, if D0If not, continuing to execute the risk infection unit;
a risk infection unit for compensating the assets held by the closing mechanism in the t step, calculating the asset value after compensation according to the compensation proportion of each asset of the closing mechanism in the t step, recalculating the asset value of the remaining non-closing mechanisms except the closing mechanism in the plurality of financial mechanisms according to the asset value after compensation, then calculating the value of t +1, further judging whether a new mechanism is closed in the remaining non-closing mechanisms according to the asset value of the recalculated remaining non-closing mechanism, and if D is equal to D, judging whether a new mechanism is closed in the remaining non-closing mechanismst+1＝DtThen determining the risk of infectionEnding, and returning to execute the external impact implementation unit if
Figure BDA0002472968530000071
Determining that the risk infection is not ended, assigning a value of t +1 to t, and then executing the risk infection unit again;
a systematic risk measurement unit for each of the m external impacts, based on the set D obtained in the risk infection unittDetermining the total number of the closing mechanisms in the bilateral financial network, calculating the total loss value of the assets of all asset types in the bilateral financial network according to the total original value of the assets of all asset types in the bilateral financial network and the residual total asset value of the assets of all asset types in the bilateral financial network obtained by a risk infection unit, and measuring the systematic risk of a financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of all asset types when each external impact of m external impacts occurs.
According to a further aspect of embodiments of the present invention, there is provided a computer-readable storage medium having stored therein a computer program arranged to, when executed, perform a method of measuring a systematic risk of a financial institution as defined in any of the above.
According to a further aspect of embodiments of the present invention, there is provided a computing device comprising a memory having stored therein a computer program and a processor arranged to run the computer program to perform the method of measuring a systematic risk of a financial institution as set forth in any of the above.
By the technical scheme, the method for measuring the systematic risk of the financial system provided by the embodiment of the invention establishes a bilateral financial network based on the asset combination data of a plurality of financial institutions, and describes the relationship between the financial institutions and a large number of assets of different types held by the financial institutions; the nodes in the bilateral financial network can be divided into two types, one type is an organization node, the other type is an asset type node, if one financial organization invests in a certain type of assets, the financial organization and the assets of the type can be connected to form a directed edge in the network, and the weight of the directed edge is the number of the assets held; after the bilateral financial network is formed, random m kinds of external impacts can be set on mechanism nodes and asset type nodes in the network, after the external impacts are implemented, resources are used as an intermediate medium to transmit risks among financial mechanisms, the total number of the mechanism in the bilateral financial network and the total loss value of assets of various asset types are calculated through t steps of iteration, and then the overall systemic risk of the network is measured; it can be seen that the embodiment of the invention reflects the impact and influence on a plurality of financial institutions or the whole financial system through the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type, thereby effectively and accurately measuring the systematic risk of the financial system.
The foregoing description is only an overview of the technical solutions of the present invention, and the embodiments of the present invention are described below in order to make the technical means of the present invention more clearly understood and to make the above and other objects, features, and advantages of the present invention more clearly understandable.
The above and other objects, advantages and features of the present invention will become more apparent to those skilled in the art from the following detailed description of specific embodiments thereof, taken in conjunction with the accompanying drawings.
Drawings
Various other advantages and benefits will become apparent to those of ordinary skill in the art upon reading the following detailed description of the preferred embodiments. The drawings are only for purposes of illustrating the preferred embodiments and are not to be construed as limiting the invention. Also, like reference numerals are used to refer to like parts throughout the drawings. In the drawings:
FIG. 1 illustrates a flow diagram of a method for measuring systemic risk of a financial institution in accordance with an embodiment of the present invention;
FIG. 2 illustrates a schematic diagram of a bilateral financial network in accordance with an embodiment of the present invention;
FIG. 3 illustrates a flow diagram of a method for measuring systemic risk of a financial institution in accordance with another embodiment of the present invention;
FIG. 4 illustrates a block diagram of a device for measuring systematic risk of a financial institution in accordance with an embodiment of the present invention; and
FIG. 5 shows a block diagram of a computing device, according to an embodiment of the invention.
Detailed Description
Exemplary embodiments of the present disclosure will be described in more detail below with reference to the accompanying drawings. While exemplary embodiments of the present disclosure are shown in the drawings, it should be understood that the present disclosure may be embodied in various forms and should not be limited to the embodiments set forth herein. Rather, these embodiments are provided so that this disclosure will be thorough and complete, and will fully convey the scope of the disclosure to those skilled in the art.
In order to solve the technical problem, embodiments of the present invention provide a method and an apparatus for measuring a systematic risk of a financial system, a computer-readable storage medium, and a computing device. FIG. 1 shows a flow diagram of a method for measuring systemic risk of a financial institution in accordance with an embodiment of the invention. As shown in fig. 1, the method may include a data acquisition step S101, a network construction step S102, an external impact implementation step S103, a closing mechanism determination step S104, a risk infection step S105, and a systematic risk measurement step S106, specifically:
a data acquisition step S101 of acquiring asset combination data of a plurality of financial institutions including one or more asset types, and then continuing to execute a network construction step S102;
a network construction step S102, establishing a bilateral financial network containing a plurality of organization nodes and a plurality of asset type nodes according to asset combination data, wherein the directed edges of the organization nodes in the bilateral financial network pointing to the asset type nodes indicate that financial institutions corresponding to the organization nodes invest assets corresponding to the asset type nodes, so as to hold the assets corresponding to the asset type nodes, the weight of the directed edges is the number of the held assets, and an original investment matrix of the plurality of financial institutions is generated according to the asset combination data, the row number and the column number of the original investment matrix are respectively the number of the financial institutions and the number of the asset types, the element of the original investment matrix is the original value of the financial institution corresponding to the row of the element on the assets corresponding to the column of the element, and m external impacts are set on the asset type nodes in the bilateral financial network, initializing the value of i of the ith external impact to be 0, wherein the value of i is 0, which means that no external impact is implemented, and then continuing to execute the external impact implementation step S103;
an external impact implementation step S103, calculating a value of i +1, assigning the value of i +1 to i, implementing the ith external impact on asset type nodes in the bilateral financial network, generating the fluctuation price of assets of various asset types, further calculating the current value of the assets of various asset types held by each financial institution in the multiple financial institutions according to the fluctuation price of the assets of various asset types, the weight of a directed edge in the bilateral financial network and the original value of the assets of various asset types held by each financial institution in the original investment matrix, and then judging whether i is less than or equal to m, if so, continuing to execute a closuring institution judgment step S104, and if not, continuing to execute a systematic risk measurement step S106;
the reverse closing mechanism judging step S104 sets a set DtStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to be closed or not according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions, obtaining a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If it is empty, the process returns to step S103, if D is0If not, continuing to execute the risk infection step S105;
a risk infection step S105 of compensating the assets held by the closing down mechanism in the t step, calculating the asset value after compensation according to the compensation proportion of each asset of the closing down mechanism in the t step, recalculating the asset value of the remaining non-closing down mechanisms except the closing down mechanism in the plurality of financial mechanisms according to the asset value after compensation, and then calculating the asset value of t +1And further judging whether a new mechanism is closed in the residual mechanism not closed again according to the recalculated asset value of the residual mechanism not closed again, and if the new mechanism is not closed again, judging that D ist+1＝DtThen, the end of risk infection is determined, and then the step S103 is executed to return to execute the external impact, if there is a new mechanism to close, i.e. the mechanism is closed
Figure BDA0002472968530000101
Determining that the risk infection is not ended, assigning a value of t +1 to t, and then performing the risk infection step S105 again;
a systematic risk measurement step S106 of, for each of the m external impacts, infecting the set D obtained in the step S105tDetermining the total number of the closing mechanisms in the bilateral financial network, calculating the total loss value of the assets of all asset types in the bilateral financial network according to the total original value of the assets of all asset types in the bilateral financial network and the residual total asset value of the assets of all asset types in the bilateral financial network obtained in the risk infection step S105, and measuring the systematic risk of the financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of all asset types when each external impact of m external impacts occurs.
The method for measuring the systematic risk of the financial system provided by the embodiment of the invention establishes a bilateral financial network based on the asset combination data of a plurality of financial institutions to describe the relationship between the financial institutions and a large number of assets of different types held by the financial institutions; the nodes in the bilateral financial network can be divided into two types, one type is an organization node, the other type is an asset type node, if one financial organization invests in a certain type of assets, the financial organization and the assets of the type can be connected to form a directed edge in the network, and the weight of the directed edge is the number of the assets held; after the bilateral financial network is formed, random m kinds of external impacts can be set on mechanism nodes and asset type nodes in the network, after the external impacts are implemented, resources are used as an intermediate medium to transmit risks among financial mechanisms, the total number of the mechanism in the bilateral financial network and the total loss value of assets of various asset types are calculated through t steps of iteration, and then the overall systemic risk of the network is measured; it can be seen that the embodiment of the invention reflects the impact and influence on a plurality of financial institutions or the whole financial system through the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type, thereby effectively and accurately measuring the systematic risk of the financial system.
The asset types mentioned in the data obtaining step S101 may be fixed assets, intangible assets and reputation, receivable bills, receivable accounts, prepaid money, long-term equity investment, loan issuance, etc., and the embodiment of the present invention is not limited thereto. The portfolio data of each financial institution may include data such as the number, price, and raw value of assets of each asset type held by each financial institution.
In an alternative embodiment of the present invention, m set in the above network constructing step S102 is a positive integer, which can be specifically calculated by the following formula:
m＝104ln(M)
where M is the total asset class in the bilateral financial network.
According to the formula, M is a function depending on the total asset type M in the bilateral financial network, generally M is not large, and the function can ensure that M is far larger than M, so that the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of various asset types are more accurate when each external impact of M external impacts is obtained through calculation, the measurement result of measuring the systematic risk of the financial system is more accurate, and preparation for preventing financial crisis can be made in time.
In the network building step S102, when the original investment matrices of the plurality of financial institutions are generated according to the portfolio data, units of the original value of the assets of each asset type of each financial institution in the portfolio data may be unified, for example, the units of the elements of the original investment matrices are unified, so that the subsequent calculation of data such as the original value of the total assets of each financial institution may be facilitated.
In the above external impact implementation step S103, the ith external impact is implemented on the asset type node in the bilateral financial network to generate the fluctuating price of the asset of each asset type, an embodiment of the present invention provides an optional scheme, which specifically may determine, according to the asset types and the prices of the assets of each asset type in the bilateral financial network, a random distribution function for implementing the ith external impact on the asset type node in the bilateral financial network; and generating the fluctuating prices of the assets of all the asset types by using the determined random distribution function.
For example, assuming that the preset price of the asset of each asset type is 1, then the fluctuation of the preset price follows a lognormal distribution function, the price of the asset of each asset type in the bilateral financial network is referred to as an actual price, and the fluctuation price of the asset of each asset type generated by using a random distribution function is referred to as an actual fluctuation price; then, a lognormal distribution function may be utilized to generate preset fluctuating prices for assets of various asset classes; then, the actual fluctuating price of the assets of each asset type in the bilateral financial network is calculated according to the preset price 1, the preset fluctuating price and the actual price of the assets of each asset type, namely the actual fluctuating price can be the preset fluctuating price multiplied by the actual price. Here, since the price fluctuation of the assets is different for different kinds of assets due to the difference in risk size, the mean and variance of the lognormal distribution function may be set according to the different kinds of assets, so that the fluctuation price of the assets corresponding to the kind of assets is generated using the corresponding lognormal distribution function. It should be noted that the examples are only illustrative and do not limit the embodiments of the present invention.
In an alternative embodiment of the present invention, the determining step S104 of the above closing mechanism for determining whether there is a mechanism closing in the plurality of financial mechanisms according to the original value and the current value of the asset of each asset type held by each of the plurality of financial mechanisms may specifically include the following steps a1 and a 2.
Step a1, calculating a ratio of the current value to the original value of the total assets held by each of the plurality of financial institutions based on the original value and the current value of the assets held by each of the plurality of financial institutions of the asset type.
In this step, the total assets held by each financial institution are the total sum of the assets of each asset type held by each financial institution, for example, the assets of each asset type held by each financial institution include asset 1, asset 2, asset 3, asset 4 and asset 5, and then the total assets held by each financial institution are the total sum of asset 1, asset 2, asset 3, asset 4 and asset 5.
Step a2, for each financial institution, determining whether a ratio of a current value to an original value of a total asset held by the financial institution is lower than a threshold τ (Q), if yes, determining that the financial institution is a closing mechanism, and if not, determining that the financial institution is not a closing mechanism, wherein τ (Q) may be calculated by the following formula:
τ(Q)＝1/(1+h(Q))
wherein,
Figure BDA0002472968530000121
q is the original value of the total assets held by the financial institution, and log (Q) is a base 10 logarithm.
It can be seen that τ (Q) is a monotonically decreasing function of Q and ranges in value between intervals 0 and 1. In the embodiment of the invention, tau (Q) is calculated by the formula, so that the situation that the mechanism with larger scale is difficult to close in practical application can be better reflected.
In the above risk infection step S105, the assets held by the closing mechanism in the t-th step are compensated, and the asset value after compensation is calculated according to the compensation proportion of each asset of the closing mechanism in the t-th stepjAdjusted to Pjf(stj) As the value of the assets after the settlement, among them, the value of the assets can be passed throughF(s) is calculated by the following formulatj)：
Figure BDA0002472968530000131
Wherein s istjThe amount of the j-th asset paid for at step t is a proportion of the total amount of the j-th asset in the bilateral financial network.
It can be seen that the higher the proportion of assets that are paid out, the greater the degree of depreciation, f(s)tj) It can be used to measure the price or value drop caused by an organization closing such that an asset is liquidated, which reflects the risk transmission capability of the network, e.g., when 10% of an asset is liquidated, the price or value will drop by 10%, i.e., f (0.1) ═ 0.9.
In the above systematic risk measurement step S106, the set D obtained in the risk infection step S105 is usedtDetermining the total number of mechanisms closed in the bilateral financial network due to set DtIs a collection of the mechanism of the reverse closure, and can thus be directly based on the collection DtThe total number of elements in the bilateral financial network. Further, according to the risk transmission step S105, the asset value of the reversed closing institution of the plurality of financial institutions and the asset value of the remaining non-reversed closing institution of the plurality of financial institutions other than the reversed closing institution may be obtained, and the obtained asset value of the reversed closing institution of the plurality of financial institutions and the asset value of the remaining non-reversed closing institution of the plurality of financial institutions other than the reversed closing institution may be used as the remaining total asset value of the assets of each asset type in the bilateral financial network.
In an alternative embodiment of the present invention, the above systematic risk measurement step S106 may measure the systematic risk of the financial institution based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type at each external impact of the m external impacts, and specifically may include the following steps B1 and B2.
And step B1, calculating the probability of the global reclosing condition of the bilateral financial network based on the total number of the reclosing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type under each external impact of the m external impacts.
And step B2, measuring the systematic risk of the financial system by using the calculated probability of the global reclosing condition of the bilateral financial network.
The method and the device for measuring the systematic risk of the financial system have the advantages that the probability of the global reclosing condition of the bilateral financial network is used for measuring the systematic risk of the financial system, the method and the device are more visual and high in accuracy, and the higher the probability of the global reclosing condition of the bilateral financial network is, the higher the systematic risk of the financial system is.
In an alternative embodiment of the present invention, the step B1, when calculating the probability of global reclosing of the bilateral financial network, may further include the following steps B11 and B12.
Step B11, calculating the probability R1 of global reclosing condition of the bilateral financial network according to the total number of the reclosing mechanisms in the bilateral financial network under each external impact of m external impacts, wherein the calculation formula of R1 is as follows:
Figure BDA0002472968530000141
wherein f iskRepresenting the proportion of the total number of the closing mechanisms in the bilateral financial network to the total number of the financial mechanisms under the k-th external impact, β is a preset threshold value and belongs to a value between an interval 0 and an interval 1, theta (x) is a step function, when x is a step function>Value 0 is 1, when x<The value of 0 is 0; and
step B12, according to the total loss value of the assets of each asset type in the bilateral financial network when each external impact of m external impacts occurs, calculating the probability R2 of the global reclosing condition of the bilateral financial network, wherein the calculation formula of R2 is as follows:
Figure BDA0002472968530000142
wherein v isk1-v representing the ratio of the total remaining asset value to the total original value of assets of each asset class in the bilateral financial network at the kth external impactkTo representThe total loss value of the assets of each asset type in the bilateral financial network at the kth external impact accounts for the proportion of the total original value, gamma is a preset threshold and belongs to a value between the intervals 0 and 1, and similarly, theta (x) is a step function, when x is a step function>Value 0 is 1, when x<The value 0 is 0.
The probability of global reclosing of the bilateral financial network can be rapidly and accurately calculated through the formula, and then the systematic risk of the financial system can be measured visually.
In the above, various implementation manners of each link in the embodiment shown in fig. 1 are introduced, and the method for measuring the systematic risk of the financial system provided by the embodiment of the present invention is further described by the specific embodiment.
The systematic risk of the financial system can be defined in two aspects of broad and narrow sense, and the narrow systematic risk emphasizes infectivity and refers to the influence of an individual institution on other institutions and systems; systemic risk in the broad sense refers to the impact and influence experienced by multiple financial institutions or the whole. In the prior art, a measurement method for systematic financial risk mainly analyzes the contribution of systematic important institutions to systematic risk, and is mainly used for measuring the overflow effect of bankruptcy of a certain institution to other institutions to obtain the contribution of the institution to the systematic risk. However, they do not measure generalized systemic risks, nor do they measure the spill effect of a portion of the institution in the face of a crisis on the entire system.
In particular embodiments, a bilateral financial network is established based on portfolio data for a plurality of financial institutions describing relationships between financial institutions and a plurality of heterogeneous assets they hold; the nodes in the bilateral financial network can be divided into two types, one type is an organization node, the other type is an asset type node, if one financial organization invests in a certain type of assets, the financial organization and the assets of the type can be connected to form a directed edge in the network, and the weight of the directed edge is the number of the assets held; after the bilateral financial network is formed, random m kinds of external impacts can be set on mechanism nodes and asset type nodes in the network, and the final number of the mechanism to be closed and the asset loss value in the network are calculated through an iterative algorithm according to a risk infection mechanism.
The mechanism of risk infection is: initially, assets corresponding to investable asset category nodes are depreciated by some external impact, so that the value of the organization holding the assets is also lost. If an organization or part of an organization is lodging due to loss of value, they will pay for the original assets they hold, resulting in the loss of value of those assets, while other organizations that also hold those assets will suffer loss of value, and may be at risk of lodging, resulting in further rebalancing and downstream effects for more organizations.
And designing a corresponding iterative algorithm according to the risk infection mechanism, and simulating the step of risk infection in the network. Initially, reasonable external impacts are designed according to risk types of different assets, and finally, systematic risks including generalized systematic risks and narrowly-defined systematic risks can be measured from the total number of closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type during each external impact.
The following will describe in detail the network construction, risk-based algorithm, systematic risk assessment, and iterative algorithm.
1) Network construction
A bilateral financial network comprising a plurality of institution nodes and a plurality of asset class nodes is established according to inputted asset combination data of a plurality of financial institutions, wherein the asset classes can comprise fixed assets, intangible assets and reputation, receivable bills, receivable accounts, prepayment, long-term equity investment, loan release and the like. Specifically, which kinds of assets are selected as nodes in the network need to be selected according to the input data condition. The number of total organization nodes in the bilateral financial network is recorded as N, and the number of total asset type nodes is recorded as M. The bilateral financial network established in a specific application is shown in fig. 2, 50 mechanism nodes are represented by hollow small circles, 10 types of assets are represented by solid black small circles, and directed edges of the mechanism nodes pointing to the asset type nodes represent that financial mechanisms corresponding to the mechanism nodes invest in assets corresponding to the asset type nodes, so that the assets corresponding to the asset type nodes are held, and the average degree of the number of the directed edges of the mechanism nodes is 3.
2) Algorithm for risk infection in network
It is assumed that the fluctuations in the prices of assets of each asset type in the bilateral financial network follow some random distribution and that the prices of different assets are assumed to be 1, and then the fluctuations in prices follow a lognormal distribution. At the initial moment, the prices of all the assets are randomly generated according to the distribution, then the value of each mechanism at the moment is calculated, and whether the mechanism is closed reversely or not is judged. If some institution closes, the closed institution can carry out distressed selling and liquidation on all the assets owned by the institution, so that the related asset values are devalued, and the asset value P of the j-th assetjWill become Pjf(stj)。f(stj) Is a function with a value less than 1, in which the variable stjThe amount of the j-th asset paid for at step t is a proportion of the total amount of the j-th asset in the bilateral financial network. Specifically, f(s) can be calculated by the following formulatj)：
Figure BDA0002472968530000171
It can be seen that the higher the proportion of assets that are paid out, the greater the degree of depreciation, f(s)tj) It can be used to measure the price or value drop caused by an organization closing such that an asset is liquidated, which reflects the risk transmission capability of the network, e.g., when 10% of an asset is liquidated, the value will drop by 10%, i.e., f (0.1) ═ 0.9.
3) Assessment of systemic risk
Type one systemic risk: measured in terms of the number of the mechanism of the back closure. Under the condition of certain external impact on a network, if the proportion of the number of mechanisms which are finally closed backwards after risk infection exceeds a threshold value beta, wherein the beta takes a value between 0 and 1, the network is considered to have a global closing situation. Therefore, given many kinds of external impacts on a network, the probability that the network will have a global reclosing condition is calculated, which is the systematic risk. Assuming that there are m kinds of external impact conditions in total, the calculation formula is as follows:
Figure BDA0002472968530000172
wherein f iskShowing the proportion of the total number of the closing mechanisms in the bilateral financial network to the total number of the plurality of financial mechanisms under the k-th external impact, wherein theta (x) is a step function, and when x is the step function>Value 0 is 1, when x<The value 0 is 0.
Type two systemic risk: measured from the total loss of value in the system. Under some external impact, if the proportion of final total value loss after risk infection exceeds a threshold value gamma, and the gamma takes a value between 0 and 1, the network is considered to have a global reclosing condition. Therefore, given many kinds of external impacts on a network, the probability that the network will have a global reclosing condition is calculated, which is the systematic risk. Assuming that there are m kinds of external impact conditions in total, the calculation formula is as follows:
Figure BDA0002472968530000173
wherein v isk1-v representing the ratio of the total remaining asset value to the total original value of assets of each asset class in the bilateral financial network at the kth external impactkRepresenting the proportion of the total loss value of the assets of each asset type in the bilateral financial network to the total original value under the k-th external impact, wherein theta (x) is a step function, and when x is the step function>Value 0 is 1, when x<The value 0 is 0.
Based on the above calculation formulas of the first type and the second type of systematic risks, a generalized systematic risk and a narrow systematic risk can be calculated. Here, the general systematic risk total sample is m, and the narrow systematic risk requires the removal of the sample without any mechanism closing, so the above formula is adjusted to:
Figure BDA0002472968530000181
Figure BDA0002472968530000182
wherein, the set I is a sample set with the mechanism closed reversely, and m' is the number of samples in the set I.
In a real financial system, if an institution refers to some government departments and the government departments do not have the situation of closing, the value damage of the institution can be considered to exceed the preset proportion of the original value, the held assets can be cleared, and the value damage of the related assets can be caused. The meaning of this preset ratio is similar to the threshold of the reclosure, for which case the systematic risk, i.e. the second type of systematic risk, can be measured in terms of total asset value loss.
4) Iterative algorithm
If the ratio of the asset value to the original value of a financial institution is below the threshold of lodging τ, the financial institution will lodge and will distrubate its assets, and the value of the involved assets will devalue, further resulting in the loss of the institution value of the relevant assets. For different mechanisms, τ is generally unequal, and larger mechanisms are less prone to cloaking. The function of τ can be set as follows:
τ(Q)＝1/(1+h(Q))
wherein,
Figure BDA0002472968530000183
q is the original value in ten thousand dollars of the total assets held by the financial institution, and log (Q) is a base 10 logarithm. τ (Q) is a monotonically decreasing function of Q and ranges in value between intervals 0 and 1.
FIG. 3 shows a flow diagram of a method for measuring systemic risk of a financial institution in accordance with another embodiment of the invention. As shown in fig. 3, the method may include the following steps S301 to S309.
In step S301, the inputted portfolio data of a plurality of financial institutions including one or more asset types is acquired, and step S302 is continuously performed.
Step S302, establishing a bilateral financial network comprising a plurality of institution nodes and a plurality of asset type nodes according to asset combination data, generating original investment matrixes of a plurality of financial institutions according to the asset combination data, setting m external impacts on the asset type nodes in the bilateral financial network, initializing the value i of the ith external impact to be 0, wherein the value i is 0 and indicates that no external impact is implemented, and continuing to execute step S303.
In this step, the construction of the bilateral financial network may refer to the above network construction part, which is not described herein again. The directed edges of the organization nodes in the bilateral financial network pointing to the asset type nodes indicate that financial organizations corresponding to the organization nodes invest in assets corresponding to the asset type nodes, so that the assets corresponding to the asset type nodes are held, and the weight of the directed edges is the number of the held assets. The number of rows and the number of columns of the original investment matrix are respectively the number of financial institutions and the number of asset types, and the element of the original investment matrix is the original value of the financial institution corresponding to the row of the element to the asset corresponding to the column of the element.
Step S303, calculating the value of i +1, assigning the value of i +1 to i, implementing the ith external impact on the asset type nodes in the bilateral financial network, and continuing to execute step S304.
In this step, the ith external impact is applied to the asset type nodes in the bilateral financial network, so that the fluctuating prices of assets of various asset types can be generated, and further, the current values of the assets of various asset types held by each financial institution in the financial institutions are calculated according to the fluctuating prices of the assets of various asset types, the weight of the directed edge in the bilateral financial network and the original values of the assets of various asset types held by each financial institution in the original investment matrix.
In step S304, it is determined whether i is less than or equal to m, if so, step S305 is continuously performed, and if not, step S309 is continuously performed.
In step S305, it is determined whether or not any of the plurality of financial institutions is closed, if so, step S306 is continuously performed, and if not, step S303 is returned to.
In this step, a set D may be specifically settStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to be closed or not according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions, obtaining a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If it is an empty set, it means that there is no mechanism to be turned over, the process returns to step S303, and if D is0If the current is not the empty set, it means that the mechanism is closed, the process continues to step S306.
Step S306, the assets held by the closing mechanism are cleared, the asset value after clearing is calculated according to the clearing proportion of each asset of the closing mechanism, and the step S307 is continuously executed.
In this step, the assets held by the closing mechanism in the t-th step can be cleared, and the asset value after clearing can be calculated according to the clearing proportion of each asset of the closing mechanism in the t-th step.
In step S307, the asset value of the remaining unclosed entities excluding the closed entities among the plurality of financial institutions is recalculated based on the cleared asset value, and the process continues to step S308.
In this step, the asset value of the remaining unclosed facilities of the plurality of financial facilities other than the closed-down facility is recalculated based on the cleared asset value, and then the value of t +1 is calculated.
Step S308 is to determine whether there is a new mechanism in the remaining mechanisms that are not closed, if yes, the process returns to step S306, and if not, the process returns to step S303.
In this step, if it is determined that a new mechanism is closed in the remaining mechanisms that are not closed, it is determined that the risk infection is not completed, a value of t +1 is assigned to t, and the step S306 is returned to; if it is determined that no new mechanism is closed in the remaining non-closed mechanisms, it is determined that the risk infection is over, and the process returns to step S303.
Step S309, based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type at each external impact of the m external impacts, measuring the systematic risk of the financial system.
In this step, for each of m kinds of external impacts, the set D obtained from the above steps S305 to S308tAnd determining the total number of the closing mechanisms in the bilateral financial network, and calculating the total loss value of the assets of each asset type in the bilateral financial network according to the total original value of the assets of each asset type in the bilateral financial network and the residual total asset value of the assets of each asset type in the bilateral financial network obtained in the steps S305 to S308.
In measuring the systematic risk of the financial system, formulas R1 'and R2' may be used to measure the systematic risk in a narrow sense, and formulas R1 and R2 may be used to measure the systematic risk in a broad sense. Further, as can be seen from the formula, the calculation of the systematic risk depends on the threshold β and the threshold γ, and therefore, when outputting the result, a table format can be output, for example, what each systematic risk is when β takes a value of 0.1, 0.2, or 0.3, and what each systematic risk is when γ takes a value of 0.1, 0.2, or 0.3. Several graphs can also be drawn to show various systematic risks as a function of β and γ. In addition, the corresponding systematic risk can be calculated by inputting a value of beta and gamma from the outside.
It can be seen that the embodiment of the invention constructs a bilateral financial network based on asset combination data of a large number of financial institutions, designs a corresponding iterative algorithm according to a risk infection mechanism, simulates the step of risk infection in the network, can quickly and accurately calculate the total number of the closing mechanisms in the bilateral financial network and the total loss value of assets of various asset types, and further reflects the impact and influence on a plurality of financial institutions or the whole financial system, thereby effectively and accurately measuring the systematic risk of the financial system from two aspects of broad sense and narrow sense.
It should be noted that, in practical applications, all the above optional embodiments may be combined in a combined manner at will to form an optional embodiment of the present invention, and details are not described here any more.
Based on the method for measuring the systematic risk of the financial system provided by the embodiments, the embodiment of the invention also provides a device for measuring the systematic risk of the financial system based on the same inventive concept.
Fig. 4 is a block diagram illustrating a measurement apparatus for systematic risk of a financial institution according to an embodiment of the present invention. As shown in fig. 4, the apparatus may include a data acquisition unit 410, a network construction unit 420, an external impact implementation unit 430, a closuring mechanism determination unit 440, a risk infection unit 450, and a systematic risk measurement unit 460.
A data acquisition unit 410 for acquiring portfolio data of a plurality of financial institutions including one or more asset classes, and then continuing to execute a network construction unit 420;
a network constructing unit 420, configured to establish a bilateral financial network including a plurality of institution nodes and a plurality of asset class nodes according to asset combination data, where a directed edge pointing to an asset class node by an institution node in the bilateral financial network indicates that a financial institution corresponding to the institution node invests in assets corresponding to the asset class node, so as to hold assets corresponding to the asset class node, and the weight of the directed edge is the number of the held assets, and generate an original investment matrix of the plurality of financial institutions according to the asset combination data, where the number of rows and the number of columns of the original investment matrix are the number of the financial institutions and the number of asset classes, respectively, an element of the original investment matrix is an original value that a financial institution corresponding to the row of the element holds the assets corresponding to the column of the element, and set m external impacts on the asset class node in the bilateral financial network, initializing the value of i of the ith external impact to be 0, where the value of i is 0, which means that no external impact is applied, and then continuing to execute the external impact applying unit 430;
an external impact implementation unit 430, configured to calculate a value of i +1, assign the value of i +1 to i, implement the ith external impact on the asset type node in the bilateral financial network, generate a fluctuating price of the asset of each asset type, further calculate a current value of the asset of each asset type held by each financial institution in the multiple financial institutions according to the fluctuating price of the asset of each asset type, the weight of the directed edge in the bilateral financial network, and the original value of the asset of each asset type held by each financial institution in the original investment matrix, and then determine whether i is less than or equal to m, if yes, continue to execute the closuring institution determination unit 440, and if no, continue to execute the systematic risk measurement unit 460;
a reverse closing mechanism judgment unit 440 for setting the set DtStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to be closed or not according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions, obtaining a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If it is empty, return to execute the external impact implementation unit 430, if D0If not, the risk infection unit 450 is continuously executed;
a risk infection unit 450 for compensating the assets held by the closing mechanism in the t-th step, calculating the asset value after compensation according to the compensation proportion of each asset of the closing mechanism in the t-th step, recalculating the asset value of the remaining non-closing mechanisms except the closing mechanism in the plurality of financial mechanisms according to the asset value after compensation, then calculating the value of t +1, further judging whether a new mechanism is closed in the remaining non-closing mechanisms according to the asset value of the recalculated remaining non-closing mechanism, and if D is the value of the new mechanism, determining whether the new mechanism is closed in the remaining non-closing mechanismst+1＝DtThen, it is determined that the risk infection is over, and then it returns to the execution of the external shock implementation unit 430, if so
Figure BDA0002472968530000221
Determining that the risk infection is not over, assigning t +1 to t, and then executing the risk infection unit 450 again;
a systematic risk measurement unit 460 for each of the m external impacts, based on the set D obtained in the risk infection unit 450tDetermining total number of closing mechanisms in bilateral financial networkAnd calculating the total loss value of the assets of each asset type in the bilateral financial network according to the total original value of the assets of each asset type in the bilateral financial network and the residual total asset value of the assets of each asset type in the bilateral financial network obtained by the risk infection unit 450, and further measuring the systematic risk of the financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type when each external impact of m external impacts occurs.
In an alternative embodiment of the present invention, the back-off mechanism determining unit 440 is further configured to:
calculating the ratio of the current value to the original value of the total assets held by each of the plurality of financial institutions according to the original value and the current value of the assets held by each of the plurality of financial institutions of each asset type;
for each financial institution, judging whether the ratio of the current value to the original value of the total assets held by the financial institution is lower than a threshold value tau (Q), if so, determining that the financial institution is a closing mechanism, and if not, determining that the financial institution is not the closing mechanism, wherein tau (Q) is calculated by the following formula:
τ(Q)＝1/(1+h(Q))
wherein,
Figure BDA0002472968530000231
q is the original value of the total assets held by the financial institution, and log (Q) is a base 10 logarithm.
In an alternative embodiment of the invention, the risk infection unit 450 is further adapted to:
the assets held by the closing mechanism in the t step are paid out, and the asset value P of the j type assets of the closing mechanism in the t step isjAdjusted to Pjf(stj) As the asset value after liquidation, f(s) is calculated by the following formulatj)：
Figure BDA0002472968530000232
Wherein，stjThe amount of the j-th asset paid for at step t is a proportion of the total amount of the j-th asset in the bilateral financial network.
In an alternative embodiment of the present invention, the systematic risk metric unit 460 is further configured to:
calculating the probability of the global reclosing condition of the bilateral financial network based on the total number of the reclosing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type under each external impact of m external impacts;
and measuring the systematic risk of the financial system by utilizing the calculated probability of the global closure of the bilateral financial network.
In an alternative embodiment of the present invention, the systematic risk metric unit 460 is further configured to:
according to the total number of the reclosure mechanisms in the bilateral financial network under each external impact of m external impacts, the probability R1 of the global reclosure condition of the bilateral financial network is calculated, and a calculation formula of R1 is as follows:
Figure BDA0002472968530000241
wherein f iskRepresenting the proportion of the total number of the closing mechanisms in the bilateral financial network to the total number of the financial mechanisms under the k-th external impact, β is a preset threshold value and belongs to a value between an interval 0 and an interval 1, theta (x) is a step function, when x is a step function>Value 0 is 1, when x<The value of 0 is 0; and
according to the total loss value of the assets of all asset types in the bilateral financial network under each external impact of m external impacts, the probability R2 of the global reclosing condition of the bilateral financial network is calculated, and the calculation formula of R2 is as follows:
Figure BDA0002472968530000242
wherein v isk1-v representing the ratio of the total remaining asset value to the total original value of assets of each asset class in the bilateral financial network at the kth external impactkDenotes the kth external forceThe total loss value of the assets of each asset type in the strike bilateral financial network accounts for the proportion of the total original value, gamma is a preset threshold value and belongs to a value between the interval 0 and 1.
In an alternative embodiment of the present invention, the external impact implementation unit 430 is further configured to:
determining a random distribution function for implementing the ith external impact on asset type nodes in the bilateral financial network according to the asset types in the bilateral financial network and the prices of the assets of the asset types;
and generating the fluctuating prices of the assets of all the asset types by using the determined random distribution function.
In an alternative embodiment of the present invention, the network construction unit 420 is further configured to calculate m by the following formula:
m＝104ln(M)
where M is the total asset class in the bilateral financial network.
Based on the same inventive concept, the embodiment of the present invention further provides a computer-readable storage medium, in which a computer program is stored, and the computer program is configured to execute the method for measuring the systematic risk of the financial system according to any one of the above embodiments when the computer program runs.
Based on the same inventive concept, the embodiment of the present invention further provides a computing device, which includes a memory and a processor, wherein the memory stores a computer program, and the processor is configured to execute the computer program to perform the method for measuring the systematic risk of the financial institution according to any one of the above embodiments.
In an exemplary embodiment, as shown in fig. 5, a computing device is provided, which may include a communication bus 510, a processor 520, a memory 530, and a communication interface 540, and may further include an input/output interface 550 and a display device 560, wherein the various functional units may communicate with each other via the bus 510. The memory 530 stores a computer program, and the processor 520 is configured to execute the computer program stored in the memory to perform the method for measuring the systematic risk of the financial institution according to any one of the embodiments.
It is clear to those skilled in the art that the specific working processes of the above-described systems, devices, modules and units may refer to the corresponding processes in the foregoing method embodiments, and for the sake of brevity, further description is omitted here.
In addition, the functional units in the embodiments of the present invention may be physically independent of each other, two or more functional units may be integrated together, or all the functional units may be integrated in one processing unit. The integrated functional units may be implemented in the form of hardware, or in the form of software or firmware.
Those of ordinary skill in the art will understand that: the integrated functional units, if implemented in software and sold or used as a stand-alone product, may be stored in a computer readable storage medium. Based on such understanding, the technical solution of the present invention may be embodied in the form of a software product, which is stored in a storage medium and includes instructions for causing a computing device (e.g., a personal computer, a server, or a network device) to execute all or part of the steps of the method according to the embodiments of the present invention when the instructions are executed. And the aforementioned storage medium includes: u disk, removable hard disk, Read Only Memory (ROM), Random Access Memory (RAM), magnetic or optical disk, and other various media capable of storing program code.
Alternatively, all or part of the steps of implementing the foregoing method embodiments may be implemented by hardware (such as a computing device, e.g., a personal computer, a server, or a network device) associated with program instructions, which may be stored in a computer-readable storage medium, and when the program instructions are executed by a processor of the computing device, the computing device executes all or part of the steps of the method according to the embodiments of the present invention.
Finally, it should be noted that: the above embodiments are only used to illustrate the technical solution of the present invention, and not to limit the same; while the invention has been described in detail and with reference to the foregoing embodiments, it will be understood by those skilled in the art that: the technical solutions described in the foregoing embodiments can be modified or some or all of the technical features can be equivalently replaced within the spirit and principle of the present invention; such modifications or substitutions do not depart from the scope of the present invention.

Claims (10)

1. A method for measuring a systematic risk of a financial institution, comprising:
a data acquisition step of acquiring asset combination data of a plurality of financial institutions including one or more asset types, and then continuing to execute the network construction step;
a network construction step, wherein a bilateral financial network comprising a plurality of mechanism nodes and a plurality of asset type nodes is established according to the asset combination data, directed edges of the mechanism nodes in the bilateral financial network pointing to the asset type nodes indicate that financial mechanisms corresponding to the mechanism nodes invest assets corresponding to the asset type nodes, so that assets corresponding to the asset type nodes are held, the weight of the directed edges is the number of the held assets, an original investment matrix of the financial mechanisms is generated according to the asset combination data, the number of rows and the number of columns of the original investment matrix are respectively the number of the financial mechanisms and the number of asset types, the elements of the original investment matrix are original values of the financial mechanisms corresponding to the row of the element to the assets corresponding to the column of the element, and m external impacts are set on the asset type nodes in the bilateral financial network, initializing the value of i of the ith external impact to be 0, wherein the value of i is 0, which means that no external impact is implemented, and then continuing to execute the external impact implementation step;
an external impact implementation step, namely calculating the value of i +1, assigning the value of i +1 to i, implementing the ith external impact on asset type nodes in the bilateral financial network, generating the fluctuation price of assets of various asset types, further calculating the current value of the assets of various asset types held by each financial institution in the multiple financial institutions according to the fluctuation price of the assets of various asset types, the weight of a directed edge in the bilateral financial network and the original value of the assets of various asset types held by each financial institution in the original investment matrix, and then judging whether i is less than or equal to m, if so, continuing to execute the reclosing mechanism judgment step, and if not, continuing to execute the systematic risk measurement step;
a reverse closing mechanism judgment step, set DtStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to close according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions to obtain a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If the current is empty, returning to execute the external impact implementation step, and if the current is empty, returning to execute the external impact implementation step0If not, continuing to execute the risk infection step;
a risk infection step, namely, the assets held by the closing mechanism in the t step are cleared, the asset value after clearing is calculated according to the clearing proportion of each asset of the closing mechanism in the t step, the asset value of the rest of the non-closing mechanisms except the closing mechanism in the plurality of financial mechanisms is recalculated according to the asset value after clearing, then the value of t +1 is calculated, and whether a new mechanism is closed in the rest of the non-closing mechanisms is judged according to the asset value of the recalculated rest of the non-closing mechanisms, if D is the value of t +1, the new mechanism is closedt+1＝DtDetermining the risk infection is over, and then returning to execute the external impact implementation step, if so
Figure FDA0002472968520000021
Determining that the risk infection is not ended, assigning a value of t +1 to t, and then performing the risk infection step again;
a systematic risk measurement step, for each external impact of the m external impacts, of the set D obtained in the risk infection steptDetermining the total number of said locking mechanisms in said bilateral financial network, and the total original value of said assets according to each asset class in said bilateral financial network and in said risk-infecting stepAnd calculating the total loss value of the assets of all asset types in the bilateral financial network based on the obtained residual total asset value of the assets of all asset types in the bilateral financial network, and further measuring the systematic risk of a financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of all asset types when each external impact of m external impacts occurs.
2. The method of claim 1, wherein determining whether each of the plurality of financial institutions has an institution back closure based on the original value and the current value of the asset in each asset class held by each of the plurality of financial institutions comprises:
calculating a ratio of a current value to an original value of a total asset held by each of the plurality of financial institutions according to the original value and the current value of the asset of each asset type held by each of the plurality of financial institutions;
for each financial institution, judging whether the ratio of the current value to the original value of the total assets held by the financial institution is lower than a threshold value tau (Q), if so, determining that the financial institution is a closing mechanism, and if not, determining that the financial institution is not the closing mechanism, wherein tau (Q) is calculated by the following formula:
τ(Q)＝1/(1+h(Q))
wherein,
Figure FDA0002472968520000022
q is the original value of the total assets held by the financial institution, and log (Q) is a base 10 logarithm.
3. The method of claim 1, wherein the compensating the assets held by the closing mechanism at the t-th step, and the calculating the value of the compensated assets according to the compensation ratio of each asset of the closing mechanism at the t-th step comprises:
the assets held by the closing mechanism in the t step are paid out, and the asset value P of the j type assets of the closing mechanism in the t step isjAdjusted to Pjf(stj) As the asset value after liquidation, f(s) is calculated by the following formulatj)：
Figure FDA0002472968520000031
Wherein s istjThe amount of the jth asset paid out at step t is a proportion of the total amount of the jth asset in the bilateral financial network.
4. The method of claim 1, wherein measuring the systematic risk of a financial institution based on the total number of clown institutions in the bilateral financial network and the total loss value of assets of each asset class at each of the m external impacts comprises:
calculating the probability of the global reclosing condition of the bilateral financial network based on the total number of the reclosing mechanisms in the bilateral financial network and the total loss value of the assets of each asset type under each external impact of m external impacts;
and measuring the systematic risk of the financial system by utilizing the calculated probability of the global closure of the bilateral financial network.
5. The method of claim 4, wherein calculating the probability of the bilateral financial network having a global reclosing event based on the total number of reclosing mechanisms in the bilateral financial network and the total loss value of the asset for each asset class for each of the m external impacts comprises:
according to the total number of the reclosure mechanisms in the bilateral financial network under each external impact of m external impacts, calculating the probability R1 of the global reclosure condition of the bilateral financial network, wherein the calculation formula of R1 is as follows:
Figure FDA0002472968520000032
wherein f iskRepresenting the proportion of the total number of the closing mechanisms in the bilateral financial network to the total number of the financial mechanisms under the k-th external impact, β is a preset threshold and belongs to a value between an interval 0 and an interval 1, and theta (x) is a step function when x is a step function>Value 0 is 1, when x<The value of 0 is 0; and
according to the total loss value of the assets of all asset types in the bilateral financial network under each external impact of m external impacts, the probability R2 of the global reclosing condition of the bilateral financial network is calculated, and the calculation formula of R2 is as follows:
Figure FDA0002472968520000041
wherein v isj1-v representing the ratio of the total remaining asset value to the total original value of assets of each asset class in the bilateral financial network at kth external impactjAnd gamma is a preset threshold value and belongs to a value between the interval 0 and the interval 1, wherein gamma is a preset threshold value.
6. The method of claim 1, wherein applying an ith external impact to asset class nodes in the bilateral financial network to generate fluctuating prices of assets of each asset class comprises:
determining a random distribution function for implementing the ith external impact on asset type nodes in the bilateral financial network according to the asset types in the bilateral financial network and the prices of the assets of the asset types;
and generating the fluctuating prices of the assets of all the asset types by using the determined random distribution function.
7. The method of claim 1, wherein m is calculated by the following formula:
m＝104ln(M)
wherein M is a total asset class in the bilateral financial network.
8. An apparatus for measuring a systematic risk of a financial institution, comprising:
a data acquisition unit for acquiring portfolio data of a plurality of financial institutions including one or more asset types, and then continuing to execute the network construction unit;
a network construction unit, configured to establish a bilateral financial network including a plurality of institution nodes and a plurality of asset class nodes according to the asset combination data, where a directed edge pointing to an asset class node by an institution node in the bilateral financial network indicates that a financial institution corresponding to the institution node invests in assets corresponding to the asset class node, so as to hold assets corresponding to the asset class node, and the weight of the directed edge is the number of the held assets, and generate an original investment matrix of the plurality of financial institutions according to the asset combination data, where the number of rows and columns of the original investment matrix are the number of the financial institutions and the number of asset classes, respectively, an element of the original investment matrix is an original value that a financial institution corresponding to the row of the element holds assets corresponding to the column of the element, and m external impacts are set on the asset class node in the bilateral financial network, initializing the value of i of the ith external impact to be 0, wherein the value of i is 0, which means that no external impact is implemented, and then continuing to execute the external impact implementation unit;
an external impact implementation unit, configured to calculate a value of i +1, assign the value of i +1 to i, implement an ith external impact on asset type nodes in the bilateral financial network, generate a fluctuating price of assets of each asset type, further calculate a current value of the assets of each asset type held by each financial institution in the multiple financial institutions according to the fluctuating price of the assets of each asset type, the weight of a directed edge in the bilateral financial network, and the original value of the assets of each asset type held by each financial institution in the original investment matrix, and then determine whether i is less than or equal to m, if yes, continue to execute the reclosing mechanism determination unit, and if no, continue to execute the systematic risk measurement unit;
a reverse closing mechanism judgment unit for setting a set DtStarting from the step t being 0, determining whether each financial institution of the plurality of financial institutions has the mechanism to close according to the original value and the current value of the assets of each asset type held by each financial institution of the plurality of financial institutions to obtain a determination result, and further judging D according to the determination result0Whether it is an empty set, if D0If it is empty, returning to execute external impact execution unit, if D0If not, continuing to execute the risk infection unit;
a risk infection unit for compensating the assets held by the closing mechanism in the t step, calculating the asset value after compensation according to the compensation proportion of each asset of the closing mechanism in the t step, recalculating the asset value of the remaining non-closing mechanisms except the closing mechanism in the plurality of financial mechanisms according to the asset value after compensation, then calculating the value of t +1, further judging whether a new mechanism is closed in the remaining non-closing mechanisms according to the asset value of the recalculated remaining non-closing mechanism, and if D is equal to D, judging whether a new mechanism is closed in the remaining non-closing mechanismst+1＝DtDetermining the risk infection is over, and then returning to execute the external impact implementation unit, if so
Figure FDA0002472968520000051
Determining that the risk infection is not ended, assigning a value of t +1 to t, and then executing the risk infection unit again;
a systematic risk measurement unit for each of the m external impacts, based on the set D obtained in the risk infection unittDetermining the total number of the closing mechanisms in the bilateral financial network, calculating the total loss value of the assets of all the asset types in the bilateral financial network according to the total original value of the assets of all the asset types in the bilateral financial network and the residual total asset value of the assets of all the asset types in the bilateral financial network obtained by a risk infection unit, and then performing system optimization on a financial system based on the total number of the closing mechanisms in the bilateral financial network and the total loss value of the assets of all the asset types when each external impact of m external impacts occursSexual risk is measured.
9. A computer-readable storage medium, in which a computer program is stored which is arranged so as when executed to perform the method of measuring a systematic risk of a financial institution of any of claims 1 to 7.
10. A computing device comprising a memory having stored therein a computer program and a processor arranged to run the computer program to perform the method of measuring systemic risk of a financial institution of any of claims 1 to 7.
CN202010354376.8A 2020-04-29 2020-04-29 Method and device for measuring systematic risk of financial system Pending CN111611542A (en)

Priority Applications (1)

Application Number Priority Date Filing Date Title
CN202010354376.8A CN111611542A (en) 2020-04-29 2020-04-29 Method and device for measuring systematic risk of financial system

Applications Claiming Priority (1)

Application Number Priority Date Filing Date Title
CN202010354376.8A CN111611542A (en) 2020-04-29 2020-04-29 Method and device for measuring systematic risk of financial system

Publications (1)

Publication Number Publication Date
CN111611542A true CN111611542A (en) 2020-09-01

Family

ID=72203193

Family Applications (1)

Application Number Title Priority Date Filing Date
CN202010354376.8A Pending CN111611542A (en) 2020-04-29 2020-04-29 Method and device for measuring systematic risk of financial system

Country Status (1)

Country Link
CN (1) CN111611542A (en)

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN112419029A (en) * 2020-11-27 2021-02-26 诺丁汉(宁波保税区)区块链有限公司 Similar financial institution risk monitoring method, risk simulation system and storage medium

Cited By (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN112419029A (en) * 2020-11-27 2021-02-26 诺丁汉(宁波保税区)区块链有限公司 Similar financial institution risk monitoring method, risk simulation system and storage medium
CN112419029B (en) * 2020-11-27 2021-11-12 诺丁汉(宁波保税区)区块链有限公司 Similar financial institution risk monitoring method, risk simulation system and storage medium

Similar Documents

Publication Publication Date Title
KR100766149B1 (en) Methods and systems for efficiently sampling portfolios for optimal underwriting
KR100771718B1 (en) Methods and systems for automated inferred valuation of credit scoring
US8560437B2 (en) Information processing apparatus, information processing method, and program product
KR100766148B1 (en) Methods and systems for quantifying cash flow recovery and risk
KR100746107B1 (en) Cross correlation tool for automated portfolio descriptive statistics
US20020103738A1 (en) Method and device for evaluation of financial derivatives using sparse grids
CZ20013132A3 (en) Valuation prediction models in situations with missing inputs
Carmichael Modeling default for peer-to-peer loans
US7698196B1 (en) Method and system for modeling and benchmarking private equity and applications of same
Pu et al. Breakeven determination of loan limits for reverse mortgages under information asymmetry
Ganegoda et al. A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS)
US8326746B1 (en) System and method for evaluating idiosyncratic risk for cash flow variability
JP2018514889A (en) Method and system for calculating and providing an initial margin based on an initial margin standard model
Phuong et al. Effect of debt structure on earnings quality of energy businesses in vietnam
CN111611542A (en) Method and device for measuring systematic risk of financial system
Cohen et al. Estimating risks of European option books using neural stochastic differential equation market models
Cohen et al. Estimating risks of option books using neural-SDE market models
Funahashi An Approximate Swaption Formula in Heath–Jarrow–Morton Models
Kolm et al. Do you really know your P&L? The importance of impact-adjusting the P&L
Giwa Effect of cost of capital on financial performance of listed construction companies in Nigeria
He et al. Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
Safitri et al. Determinants of Dividend Policy on Development Board Index: Manufacturing Sector in Indonesia Stock Exchange (IDX)
JP2002197268A (en) Loan managing system, its method, and computer software program product which makes computer system manage loan
Francois et al. Venturing into uncharted territory: An extensible parametric implied volatility surface model
Kauhanen Value-at-Risk: market risk estimation in stressed market conditions

Legal Events

Date Code Title Description
PB01 Publication
PB01 Publication
SE01 Entry into force of request for substantive examination
SE01 Entry into force of request for substantive examination
RJ01 Rejection of invention patent application after publication

Application publication date: 20200901

RJ01 Rejection of invention patent application after publication