零售信用组合的信用传染

发布时间：2018-02-13 05:18

本文关键词： 信用传染网络结构均场依赖传染阈　出处：《管理科学》2011年02期 　论文类型：期刊论文

【摘要】：利用复杂网络和流行过程理论,分析基于简单规则结构的信用传染、对均场依赖的信用传染以及信用传染中核心信用粒子与传染动态的关系。在简单规则网络的结构中,信用组合发生信用传染存在临界特征,当信用粒子被传染的概率高于临界值时,整个信用组合将被传染,信用网络发生的传染效应还受网络中节点状态、整个信用网络的均场状态等因素的影响。对均场依赖的信用传染中,信用传染存在对初始被传染密度、传染系数以及信用粒子恢复系数的依赖,并且传染过程也表现出依赖参数的临界特征。在信用传染中起核心传染作用的信用粒子,在整个组合演化中决定着非核心信用粒子被传染的规模。研究还发现信用传染过程对整个组合信用传染的均场依赖和对组合局部被传染密度的非线性依赖。研究为信用传染的压力测试提供理论支持。
[Abstract]:Using the theory of complex network and popular process, this paper analyzes the credit contagion based on simple rule structure, the credit contagion dependent on average field and the relationship between core credit particle and infectious dynamics in credit contagion. In the structure of simple rule network, When the probability of credit particle infection is higher than the critical value, the whole credit combination will be infected, and the contagion effect of credit network will also be affected by the node state in the network. In the credit contagion with average field dependence, the credit contagion depends on the initial infectious density, the contagion coefficient and the credit particle recovery coefficient. And the contagion process also shows parameter-dependent criticality. Credit particles, which play a central role in credit contagion, It is also found that the average field dependence of the credit contagion process on the whole portfolio credit contagion and the nonlinear dependence on the local infectious density of the portfolio are determined by the whole portfolio evolution. To provide theoretical support for credit contagion stress testing.
【作者单位】：复旦大学应用经济博士后流动站;上海电机学院商学院;东华大学信息科学与技术学院;
【基金】：国家自然科学基金(70701009)~~
【分类号】：F830.5

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