考虑免疫性的关联信用风险的传染机理研究

Research on the Associated Credit risk within the immunization

现实企业之间广泛的关联关系导致了复杂的关联信用风险传染。本文改进了传染病模型以用于刻画企业之间关联信用风险的传染机制;并进一步,在部分企业可能形成"免疫"能力的背景下,探讨了关联信用风险传染的稳定状态;最后,在关联企业形成无标度网络环境下,分析了关联信用风险特点对该状态的影响。结果表明:关联信用风险传染阈值和稳定状态感染企业的密度,均与网络初始状态的免疫性企业的比例、企业免疫性的丧失率及救助时间有关。

In reality, relationshipsamong enterprises lead to a complex credit risk contagion. This paper improves the infectious disease model to depict the transmission mechanism of credit risk of enterprise correlation. Furthermore, with some enterprises forming the ＂ immune＂ ability, the stable state of the associated credit risk contagion is discussed. Finally, in the formation of scale network environment, the influence of different related credit risk characteristics on the state is analyzed. The results show that the associated credit risk contagion threshold and steady state infected with the density of the enterprise are related to the proportion of enterprises with immunity in the initial state, the probability of enterprise loss of immunity and rescue time.