风险信息传播对关联信用风险传染影响的研究

The Impact of Risk Information Dissemination on Associated Credit Risk Infection

随着经济的全球化和金融市场的快速发展,越来越多的企业、金融机构、政府等信用主体之间存在复杂的关联关系。关联信用风险在关联关系的传导作用下,不断地被复制与传染,危害到市场经济的健康发展乃至整个社会的稳定,关联信用风险已经成为信用风险管理领域内的热点问题。本文结合传染病模型和复杂网络理论,探讨了风险信息传播对关联信用风险传染的影响。研究表明:关联信用风险染强度的阈值与整体和局部风险信息的传播效率均无关,但与关联个体网络结构和感染个体的恢复率有关;当关联信用风险传染趋于稳定时,感染个体的密度与整体和局部风险信息的传播效率均存在显著关系,且相较于整体风险信息,感染个体的密度对局部风险信息更加敏感。

With the globalization of the economy and the rapid development of financial markets,more and more enterprises,financial institutions,governments and other credit entities have complex relationships.Under the transmission of the relationship,the associated credit risk is continuously copied and contagious,which jeopardizes the healthy development of the market economy and the stability of the whole society.Associated credit risk has become a hot issue in the field of credit risk management.Based on the epidemic model and complex network theory,this paper discusses the impact of risk information spreading on the associated credit risk contagion.The results show that:the threshold value of associated credit risk is not related to the spread rate of risk information,but is related with the recovery rate and individual network structure;when the credit risk contagion is stable,there is significant relationship between the density of the infected individuals and the infection intensity of the associated credit risk and the spread rate of the risk information,and the density of infected individuals is more sensitive to local risk information than overall risk information.