关键词: 借贷关联网络, 最大熵法, 最小密度法, 风险传染

Abstract: The interbank lending network is an important contagion channel of bank failures. This paper indirectly inferred the interbank lending networks by applying the bank balance sheet data using both maximum entropy and minimum density methods. Besides, it analyzed the topological structure differences between the two kinds of interbank lending networks. Moreover, it demonstrated the contagion path and severity of bank stochastic failures in different networks. Furthermore, it analyzed the systemic importance and risk resistance ability of banks and their influencing factors by synthesizing the contagion results in different interbank lending networks. The empirical results show that the interbank lending network under the minimum density methods has the characteristics of lower density, disassortative connections and scale-free degree distribution, which are similar to those of real networks. Compared with the network under the maximum entropy methods, the conation scope is wider and contagion effects are more severe under the minimum density networks. On the one hand, the larger the size of the bank is, the higher the bad debit reserve ratio is, and the higher the interbank lending ratio is, the more severe the failure contagion effects will be. On the other hand, the larger the size of the bank is and the higher the bad debit reserve ratio is, the weaker risk resistance ability of the bank will be. The results of the study are conducive to the macro-prudential supervision of banks and the prevention or suppression of systemic risks.

Key words: interband lending network, maximum entropy method, minimum density method, risk contagion