| In 2007,the collapse of Lehman triggered a financial systemic risk.and the final crisis continued to expand to a global crisis. It proves that the collapse of an organization can also produce a huge systemic risk through the way of transmission. The failures of banks with high incidence of bank resulted in a world wide financial turmoil, which had a serious impact on the global financial system and the operation of the global economy. China’s banking industry can learn from the past experience. With the development of China’s banking system, financial innovation and financial globalization, China’s banking system will face more complicated internal and external environmental factors. Interbank lending market can provide a convenient effect, but also can become a channel for the spread of risk. When some bank defaults, the bank may lead to other banks default through the lending relationship, and thus trigger systemic risk.In this paper, we focus on the systematic risk of the banks, and study the evolution of the banking system risk under the impact of the external shocks. In this paper, we study the evolution characteristics of the banking system risk, the role of the interbank market in the development of risk, and the stability of the system under different capital ratios and reserve ratios. These three aspects are studied. In this paper, the main risk indicator of the system is the number of bank failures.In the second chapter, the paper introduces the structure of the banking system. Based on the balance sheets we established the bank internal parameter model. In this paper, we use scale-free network based on the network characteristics, and use debt matrix to represent the bank debt relationship.In this paper, the process of system model is simulated, and the simulation is carried out in accordance with the following steps:initial data update, interbank lending, liquidity supplement, residual liquidity management, cleanup and statistics. In the simulation, the change process of each index parameter is recorded.In the banking system, this paper set up 150 banks, and the inter relationship among the industry has the characteristics of scale free network, the simulation period is 150. We use of the number of indicators, such as the number of failures, the loss of contract, the amount of interbank lending, etc.. After simulation analysis, the following conclusions are obtained:Firstly, this paper studies the evolution of banking system risk under the impact of external shocks, and the bank has the following characteristics:the number of banks and the loss of assets increases with the increase of impact strength;there is a critical value, where there are different growing characteristics above and below the critical. The fluctuation of deposit has the function of eliminating the bad bank, making the bank a high asset ratio and good operating condition.Then, based on the above risk characteristics, this paper studies the role of the interbank market in the banking system risk evolution. It can be found that:with the increase of impact strength, the total amount of interbank lending in the interbank market can be reduced, and there is less number of the banking system in the same industry;There is risk contagion in the interbank market, and some banks have been lost due to the loan default. As to the network node degree, there is a critical value. Under the value, the risk of the system is increased with the increase in the degree of infection.And when above the default,the situation is different.Finally, his paper chooses capital ratio, deposit reserve ratio of two variables for simulation to study the protection effect of the system. The results show that: the results show that the appropriate capital ratio of banks in face of external shocks has a very good protection, and when the capital ratio is too low, the system is more risk. As to the deposit reserve ratio, the results show that the deposit reserve has a certain protective effect on the banks. |
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