基于熵空间交互理论的CRT网络信用风险传染模型

Spatial Interaction Theory-based Credit Risk Contagion Model for the CRT Network

信用风险转移(Credit Risk Transfer,CRT)网络中信用风险传染已逐渐成为学术界和政策制定者关注的热点。本文基于熵空间交互理论,将CRT网络中银行和投资者之间空间距离与非线性耦合、银行的信用风险转移能力与投资者的风险偏好相结合,建立了CRT网络信用风险传染的熵空间模型。通过数值模拟和对参数的敏感性分析发现,模型可以很好地反映银行和投资者之间的空间距离与非线性耦合、银行的信用风险转移能力、信用风险在投资者节点上的集中程度、投资者的风险偏好和风险承受能力对CRT网络信用风险传染效应的影响机制。研究同时发现:CRT网络信用风险传染具有"本地效应"和"关联抑制效应"。

Based on the entropy spatial interaction theory,an entropy spatial model of credit risk contagion that combines with the spatial distance and nonlinear coupling between the banks and the investors,the transfer ability of credit risk of the banks,and the appetite for risk of investors is build.By means of numerical simulation and the sensitivity analysis,it is found that the model can well describe the effect of the spatial distance and nonlinear coupling between the banks and the investors,the transfer ability of credit risk of the banks,the concentration of credit risk of investor,the appetite for risk of investors,and the risk capacity on credit risk contagion in the CRT network.In addition,it is also indicated that credit risk contagion of the CRT network has'home market effects'and'correlation inhibition effects'.