考虑双重传播路径的关联信用风险传染机理研究

关联信用风险及其传染是现代信用风险管理的热点和难点问题。本文基于复杂网络的平均场理论，运用传染病模型刻画关联信用个体之间关联信用风险的传染机制；并考虑潜伏期和感染期均具传染性的双重传播路径，分析了网络中关联信用风险传染的稳定状态；进一步，在一般关联信用个体网络环境中，探讨了关联信用风险传染的影响因素对稳定状态的影响。研究表明：关联信用风险传染的临界值和网络结构有关，与潜伏期和感染期呈反向变化，与潜伏个体和感染个体的相互转化率呈同向变化，与潜伏期传染率和感染期传染率呈同向变化；稳定状态时潜伏个体密度与潜伏期和传染率呈同向变化，与感染期呈反向变化；稳定状态时感染个体密度与感染期和传染率呈同向变化，与潜伏期呈反向变化。本文的研究丰富了信用风险的研究范畴，为企业和银行等信用个体管控信用风险提供了新的视角。

Study on the Contagion Mechanism of Associated Credit Risk with Double Propagation Path

The associated credit risk and relevant contagion is a hot and difficult problem in modern credit risk management field. Based on the average field theory of complex network, the epidemic model is applied to describe the contagion mechanism of associated credit risk on associated credit individuals in this paper. The stable state of associated credit risk contagion in the associated individual network has been analyzed with infectivity in hidden period and infective period of double propagation path. Furthermore, the influence of associated credit risk contagion factors on the stability in the general associated individual network environment has been discussed. The results show that the associated credit risk contagion threshold is related with network structure, and this threshold is contrary to hidden period and infective period, and keeps same change in the mutual conversion rate between hidden individuals and infected individuals, also keeps same change with the respective infection rates of hidden period and infective period. The density of hidden individuals keeps same change with the hidden period and the infection rate, which is contrary to the infective period. The density of infected individuals keeps same change with the infective period and the infection rate, which is contrary to the hidden period.This study enriches the research scope of credit risk and provides a new perspective for enterprises, banks and other credit individuals to control credit risk.