| 零售信用组合的信用传染 |
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| 引用本文： | 龙泉,丁永生.零售信用组合的信用传染[J].管理科学,2011,24(2). |
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| 作者姓名： | 龙泉 丁永生 |
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| 作者单位： | 1. 复旦大学应用经济博士后流动站,上海,200433;上海电机学院商学院,上海,200245
2. 东华大学信息科学与技术学院,上海,201620 |
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| 摘 要： | 利用复杂网络和流行过程理论,分析基于简单规则结构的信用传染、对均场依赖的信用传染以及信用传染中核心信用粒子与传染动态的关系.在简单规则网络的结构中,信用组合发生信用传染存在临界特征,当信用粒子被传染的概率高于临界值时,整个信用组合将被传染,信用网络发生的传染效应还受网络中节点状态、整个信用网络的均场状态等因素的影响.对均场依赖的信用传染中,信用传染存在对初始被传染密度、传染系数以及信用粒子恢复系数的依赖,并且传染过程也表现出依赖参数的临界特征.在信用传染中起核心传染作用的信用粒子,在整个组合演化中决定着非核心信用粒子被传染的规模.研究还发现信用传染过程对整个组合信用传染的均场依赖和对组合局部被传染密度的非线性依赖.研究为信用传染的压力测试提供理论支持.
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| 关 键 词： | 信用传染 网络结构 均场依赖 传染阈 |
Credit Contagion of Retail Credit Portfolio |
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| Long Quan,Ding Yongsheng.Credit Contagion of Retail Credit Portfolio[J].Management Sciences in China,2011,24(2). |
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| Authors: | Long Quan Ding Yongsheng |
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| Institution: | Long Quan1,3,Ding Yongsheng21 Post-doctoral Mobile Station of Applied Economics of Fudan University,Shanghai 200433,China2 College of Information Sciences and Technology,Donghua University,Shanghai 201620,China3 Bussiness School of Shanghai Dianji University,Shanghai 200245,China |
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| Abstract: | With theories of complex network and epidemic process,several issues of contagion of retail credit portfolio were studied,including credit contagion in simple credit structure of regular lattice and credit contagion of mean-field dependent and that relation between core credit granular and dynamic of credit contagion.Critical feature of credit contagion was found in credit portfolio with simple regular lattice structure of credit network.When probability of credit granular being contaminated exceed threshol... |
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| Keywords: | credit contagion network structure mean-field dependent contagion threshold |
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