financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2016-20-3-54-61finance-410Research ArticleФИНАНСЫ, ДЕНЕЖНОЕ ОБРАЩЕНИЕ И КРЕДИТFINANCES, MONETARY ADDRESS AND CREDITИЗМЕРЕНИЕ ФИНАНСОВОГО ЗАРАЖЕНИЯ НА ПРИМЕРЕ МОДЕЛИРОВАНИЯ РИСКА БАНКОВСКОГО ДЕФОЛТАTHE METHODOLOGY FOR MEASURING FINANCIAL CONTAGION: THE CASE STUDY OF BANK DEFAULT RISK SIMULATIONРассказовВ. Е.RasskazovV. E.rasskazov.vladislav@gmail.comБизнес-школа Ньюкасла при университете НортумбрияРоссияNewcastle Business School at Northumbria UniversityRussian Federation2016101020172035461Copyright © Рассказов В.Е., 20172017Рассказов В.Е.Rasskazov V.E.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/410

В статье рассматриваются методы измерения эффекта финансового заражения на примере моделирования риска банковского дефолта как события триггера. Системный риск и финансовое заражение, механизм реализации системного риска описаны с учетом таких особенностей эффекта финансового заражения, как существование накладывающихся каналов передачи риска, межбанковского и суверенно-банковского уровней, а также действия петель обратного влияния. Методология анализа эффекта финансового заражения, основанная на подходе анализа с учетом латентного фактора, разобрана на примере моделирования риска банковского дефолта. Предложены базовые подходы к измерению финансового заражения с временно́й и структурной перспективой анализа. Важный аспект эффекта финансового заражения - то, что оно происходит в динамике, из чего следуют более значимые последствия, чем могли бы изначально ожидаться. Слабая банковская система может негативно влиять на государство так, как субсидирование одного банка может повысить риск в остальной банковской системе, что снизит эффективность субсидирования выбранного банка и т.д. Такой продолжительный эффект порождает петлю обратного влияния эффекта финансового заражения. В заключительной части статьи приведены аналогии существования каналов финансового заражении в России.

The paper focuses on the methods used for measuring financial contagion through simulation of the bank default risk viewed as a trigger event. Systemic risk and financial contagion as well as the mechanism which enables system risk implementation are considered taking into account such aspects of financial contagion as the existence of overlapping channels of risk transfer, interbank and independent bank levels, and feedback loops impact. The methodology for analyzing financial contagion outcomes is based on the approach allowing for the latent factor. The author examines the methodology while applied for simulating bank default risk. Basic approaches to measure financial contagion in time and structural perspectives have been suggested. An important aspect of the financial effect of contagion is the fact that it occurs in the dynamics which implies a more significant impact than might initially be expected. A weak banking system may have a negative impact on the state as the subsidization of one bank may increase the risk to the whole banking system, which; in turn; will reduce the effectiveness of subsidies for chosen bank, etc. The lasting effect generates a reverse effect loop of financial contagion. The final part of the article shows the similar channels which eventually may provoke financial contagion in Russia.

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The authors declare that there are no conflicts of interest present.