复杂担保网络的结构性质和风险分析
发布时间：2018-11-04 07:51
【摘要】：随着经济一体化的高速发展,担保作为一种很重要的筹集资金方式,在资金融通中被广泛使用,但是由于其复杂且不透明特性,已成为加剧信贷风险暴露的重要原因,引起社会各界普遍关注。由于传统分析方法对处理大规模担保网络问题的局限性,复杂网络等大数据技术则为担保圈风险分析提供了契机。本文利用某金融机构提供的担保数据,基于复杂网络理论分析担保网络的拓扑结构,重点识别担保圈的社团结构,以及揭示担保风险的传播机制,为有针对性的进行风险防范,降低风险管理成本提供帮助。具体的研究内容可以归纳为以下几方面:(1)提出一种快速的社团挖掘算法Fast-SCAN(FSCAN)。SCAN算法的时间复杂度是O(4|E|2/|V|),针对该算法在大规模网络社团划分中时间开销较高的问题,本文改进后的时间复杂度是O(2|E|2/|V|-2K|E|/|V|),能够高效发现大规模网络中的社区结构、集群点以及噪音点。(2)本文引入并查集思想,提出基于路径压缩的谱系划分算法,可以发现担保网络中连通的担保圈。结合图论和复杂网络理论对其结构进行分析,同时使用FSCAN算法识别核心担保圈的社团结构。(3)针对待查信用主体在担保网络中隐藏的间接担保关系,提出一种模拟邻接表的数据结构,同时融合图论的遍历思想,提出待查信用主体K代关联关系的路径发现算法,发现待查信用主体之间隐藏的间接担保关系,以防范担保圈风险的爆发。(4)通过对担保圈的风险传播特性进行分析,改进灾害蔓延动力学模型,提出更适用的风险传播模型。仿真传播源对风险传播的影响,对待查信用主体进行信用评级,并仿真关键企业在核心担保群中风险传播的路径。最后,提出相应监管策略,为防范因担保圈引发的金融危机提供理论参考。
[Abstract]:With the rapid development of economic integration, guarantee, as a very important way to raise funds, is widely used in financing, but because of its complex and opaque characteristics, it has become an important reason for increasing exposure to credit risk. Cause the general concern of all walks of life of the society. Because of the limitation of traditional analysis method to deal with the problem of large-scale guarantee network, big data technology such as complex network provides an opportunity for risk analysis of guarantee circle. Based on the theory of complex network, this paper analyzes the topological structure of the guarantee network by using the guarantee data provided by a financial institution, focuses on identifying the community structure of the guarantee circle, and reveals the spreading mechanism of the guarantee risk in order to guard against the risk. Help reduce risk management costs. The specific research contents can be summarized as follows: (1) the time complexity of a fast community mining algorithm Fast-SCAN (FSCAN). SCAN is O (4E _ 2 / V). In order to solve the problem of high time cost in mass network community partitioning, the time complexity of the improved algorithm is O (2E 2 / C-V 2K E / V), which can efficiently discover the community structure in large scale network. Cluster points and noise points. (2) in this paper, we introduce and search the idea of set, and propose a pedigree partition algorithm based on path compression, which can find the connected guarantee circle in the guaranteed network. Combined with graph theory and complex network theory, this paper analyzes its structure, and uses FSCAN algorithm to identify the community structure of the core guarantee circle. (3) aiming at the indirect guarantee relationship hidden by the credit subject in the guarantee network, In this paper, we propose a data structure that simulates the adjacency table, and combine the traversal idea of graph theory, and propose a path discovery algorithm for K-generation association relation of the credit subject to be checked, and find the hidden indirect guarantee relationship between the credit subject under check. (4) by analyzing the risk propagation characteristics of the guarantee circle, the dynamic model of disaster spread is improved, and a more suitable risk propagation model is put forward. This paper simulates the influence of the source of communication on the risk propagation, evaluates the credit rating of the credit subject, and simulates the path of risk transmission in the core guarantee group of key enterprises. Finally, the corresponding regulatory strategies are put forward to provide a theoretical reference for preventing the financial crisis caused by the guarantee circle.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：O157.5
[Abstract]:With the rapid development of economic integration, guarantee, as a very important way to raise funds, is widely used in financing, but because of its complex and opaque characteristics, it has become an important reason for increasing exposure to credit risk. Cause the general concern of all walks of life of the society. Because of the limitation of traditional analysis method to deal with the problem of large-scale guarantee network, big data technology such as complex network provides an opportunity for risk analysis of guarantee circle. Based on the theory of complex network, this paper analyzes the topological structure of the guarantee network by using the guarantee data provided by a financial institution, focuses on identifying the community structure of the guarantee circle, and reveals the spreading mechanism of the guarantee risk in order to guard against the risk. Help reduce risk management costs. The specific research contents can be summarized as follows: (1) the time complexity of a fast community mining algorithm Fast-SCAN (FSCAN). SCAN is O (4E _ 2 / V). In order to solve the problem of high time cost in mass network community partitioning, the time complexity of the improved algorithm is O (2E 2 / C-V 2K E / V), which can efficiently discover the community structure in large scale network. Cluster points and noise points. (2) in this paper, we introduce and search the idea of set, and propose a pedigree partition algorithm based on path compression, which can find the connected guarantee circle in the guaranteed network. Combined with graph theory and complex network theory, this paper analyzes its structure, and uses FSCAN algorithm to identify the community structure of the core guarantee circle. (3) aiming at the indirect guarantee relationship hidden by the credit subject in the guarantee network, In this paper, we propose a data structure that simulates the adjacency table, and combine the traversal idea of graph theory, and propose a path discovery algorithm for K-generation association relation of the credit subject to be checked, and find the hidden indirect guarantee relationship between the credit subject under check. (4) by analyzing the risk propagation characteristics of the guarantee circle, the dynamic model of disaster spread is improved, and a more suitable risk propagation model is put forward. This paper simulates the influence of the source of communication on the risk propagation, evaluates the credit rating of the credit subject, and simulates the path of risk transmission in the core guarantee group of key enterprises. Finally, the corresponding regulatory strategies are put forward to provide a theoretical reference for preventing the financial crisis caused by the guarantee circle.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：O157.5
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