基于多层网络智能体分析的银行业系统风险研究：形成、传染与救助策略

项目名称： 基于多层网络智能体分析的银行业系统风险研究：形成、传染与救助策略

项目编号： No.71503025

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 管理科学

项目作者： 苏明政

作者单位： 渤海大学

项目金额： 16万元

中文摘要： 现阶段，中国经济步入“三期叠加”的新常态，经济下行压力增大，金融深化加速推进，防范与化解系统性风险成为当前金融监管的首要目标。现代金融理论认为，金融市场是一个复杂适应系统，系统中主体的有限理性行为是系统风险产生的根源。本项目基于复杂适应系统思想，将商业银行作为有限理性、学习能力、归纳能力和自适应能力的微观智能体，从银行行为角度分析我国银行业系统风险问题，为系统风险分析提供一个新思路。具体而言，本项目构建多层复杂网络并整合嵌入到商业银行多智能体建模仿真与演化博弈分析中去，利用多层网络演化博弈仿真，考察信息不对称与选择偏好条件下商业银行策略行为对系统风险形成的影响；利用多层网络多智能体建模与仿真，测度外部冲击条件下商业银行交易行为对系统风险传染性的影响；在把握我国商业银行间的系统风险特征基础上，模拟分析流动性注入行为对降低系统风险的影响，为宏观经济政策的制定以及监管部门的风险处置提供参考.

中文关键词： 系统风险；多层网络；多智能体；银行体系；救助策略

英文摘要： With China’s economy stepping into three major trends, the economy has slowed down and financial deepening has been accelerating. How to prevent and resolve systematic risk has become the priority for financial supervisions. Modern financial theories believe that financial system is a complex adaptive system. The limited rationality of entity in the system is the reciprocal causation of systemic risk. This project analyzes systematic risk in Chinese banks from their behaviors on view of complex adaptive system and provides new insights. Thinking the commercial bank as microscopic agents which have bounded rationality, learning ability, inductive learning ability and adaptive ability. Specifically, this project conducts multi-layered networks，which is integrated by technological means to inbuilt the multi-agent modeling, simulation and evolutionary game of commercial banks. By evolutionary game Simulation，the project inspects the influence of strategy of commercial banks on systematic risk formation under information asymmetry and choice preference, by multi-agent modeling and simulation, it measures the influence of transaction exposure on systematic risk contagion by the exogenous shocks, it models the influence of liquidity injection behavior on reducing systemic risk based on the understanding of risk characteristics of commercial banks in China which provides the reference for the macroeconomic policy and regulatory risk management

英文关键词： Systemic Risk;Multi-layered Networks;Multi-agent ;Banking System;Bailout Strategy