基于无标度网络的信用违约风险传染效应研究

发布时间：2018-06-25 16:40

本文选题：信用违约风险传染 + 无标度网络　；参考：《统计与决策》2010年02期

【摘要】：文章在BA无标度网络和JY信用违约风险传染模型的基础上,使用信用违约风险传染规模和传染速度来度量信用违约风险的传染效应,对不同网络规模、平均连接概率和免疫策略下的传染效应进行了模拟分析。结果表明:网络规模对信用违约风险传染相对速度的影响显著为正,但对传染的相对规模影响不显著;平均连接概率的增加对传染效应的影响显著为正;相较于随机免疫策略,对少部分网络中关键节点的目标免疫能够很好地减小信用违约风险传染效应,增强整个经济网络的稳健型。
[Abstract]:On the basis of BA scale-free network and JY credit default risk contagion model, this paper uses the scale and speed of credit default risk contagion to measure the contagion effect of credit default risk. The average connection probability and the infection effect under the immune strategy were simulated and analyzed. The results show that the impact of network size on the relative speed of credit default risk infection is significantly positive, but the impact on the relative scale of contagion is not significant; the increase of average connection probability has a significant positive impact on the infection effect; compared with the random immunization strategy, The target immunity to the key nodes in a few networks can reduce the contagion effect of credit default risk and enhance the robustness of the whole economic network.
【作者单位】：西南财经大学金融学院;
【分类号】：F224;F830

【参考文献】