多因素耦合下CRT市场信用风险传染的熵空间模型

Spatial interaction theory-based credit risk contagion model under multi-factor coupling for the CRT market

本文基于熵空间理论,考虑到信用风险转移(credit risk transfer,CRT)中银行和投资者间空间因素对CRT市场信用风险传染的影响,同时加入行业因素、区域金融发展因素以及CRT市场个体因素构建了CRT市场信用风险传染的熵空间模型.通过数值仿真模拟表明,该模型有效刻画了CRT市场上银行与投资者间空间距离和传输能力、银行资产质量与信用风险转移能力、投资者资产规模与风险偏好程度、投资者所处区域的金融发展水平以及银行和投资者所在区域之间金融发展的趋同性等对CRT市场信用风险传染效应的影响及其作用机制,揭示了CRT市场上空间因素与概率之间的显性联系,为空间背景下信用风险传染研究提供了新的思路和理论框架.

In this paper we establish an entropy spatial model of credit risk contagion in the credit risk transfer （CRT） market which considers the effects of spatial factors, industry-specific factors, regional financial factors and individual factors of the CRT market on credit risk contagion in the CRT market. We use numerical simulation to analyze and describe the influence and active mechanism of the spatial distance and transmission capacity between banks and investors in the CRT market, banks＇ asset quality and credit risk transfer ability, investors＇ asset scale and risk preference level, financial development level of investors in the region and the homoplasy between banks and investors in the region on credit risk contagion in the CRT market. This contribution explicitly formalizes the connection between probability and spatial factors, and provides a new idea and theoretical framework for the study of credit risk contagion in a spatial context.