基于无标度网络的关联信用风险传染延迟效应

Contagion delayed effects of associated credit risk based on scale-free network

关联信用风险是现代信用风险管理领域的热点和难点问题.基于复杂网络的平均场理论和传染病模型,研究了在资产关联情景下关联信用主体之间信用风险的传染延迟效应.通过建立基于无标度网络的关联信用风险传染D-SIS模型,分析网络中关联信用主体之间关联信用风险传染的均衡状态.研究表明:关联信用主体之间的资产关联有助于风险分担,从而延缓关联信用风险的爆发;关联信用风险的传染具有延迟效应,且延迟时间越长,关联信用风险的传染强度越强.

The associated credit risk is a hotspot and a difficult problem in modem credit risk management field. Based on the average field theory of complex network and infectious diseases model, the contagion delayed effects of associated credit risk between associated subjects in the case of the associated assets are studied. Through the establishment of a D-SIS model, i.e., a scale-free network based associated credit risk contagion model, the equilibrium state of the associated credit risk contagion between the associated credit subjects in this network is analyzed. Researches show that the assets correlation between associated credit subjects contributes to risk sharing, thus delaying the outbreak of the relative credit risk. The contagion of correlation credit risk has the delayed effect, and the longer the delayed time, the stronger the contagion intensity of the associated credit risk.