零售信用组合的信用传染  

Credit Contagion of Retail Credit Portfolio

作　　者：龙泉[1,2] 丁永生[3] 

机构地区：[1]复旦大学应用经济博士后流动站,上海200433 [2]上海电机学院商学院,上海200245 [3]东华大学信息科学与技术学院,上海201620

出　　处：《管理科学》2011年第2期94-102,共9页Journal of Management Science

基　　金：国家自然科学基金(70701009)~~

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。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 port-folio with simple regular lattice structure of credit network. When probability of credit granular being contaminated exceed thresh-old, whole credit portfolio is to be infected. Contagion effects of credit network is also affected by node status of the network, mean field of credit network and other factors. In mean-field dependent process of credit contagion, credit contagion is dependent on initial density of credit portfolio being infected, infection coefficient and recovery coefficient. The process of contagion is also shown for critical features of parameters. The size of credit granulae being infected is determined by credit granulae, which plays core role in credit contagion. The result of simulation shows that there is strong nonlinear dependence of the transmission proba-bility on the local density of contagion and the mean-field being contagion in retail credit portfolio. This study provides theoretical basis for stress-testing of credit contagion.

关 键 词：信用传染 网络结构 均场依赖 传染阈 

分 类 号：F830.5[经济管理—金融学]