考虑潜伏期的关联信用风险传染机理研究  

Study on the Contagion Mechanism of Associated Credit Risk with Hidden Period

作　　者：徐凯 周宗放[1] 钱茜 XU Kai;ZHOU Zong-fang;QIAN Qian(School of Economics and Management,University of Electronic Science and Technology of China,Chengdu 611731,China;School of Business,Chengdu University,Chengdu 610106,China;School of Business,Sichuan Normal University,Chengdu 610101,China)

机构地区：[1]电子科技大学经济与管理学院,四川成都611731 [2]成都大学商学院,四川成都610106 [3]四川师范大学商学院,四川成都610101

出　　处：《运筹与管理》2020年第3期190-197,208,共9页Operations Research and Management Science

基　　金：国家自然科学基金项目(71271043,71701166,71871147);四川省社科规划项目(SC19B004);成都市科技局软科学项目(2016-RK00-00010-ZF);四川省教育厅人文社会科学重点研究基地四川景观与游憩研究中心科研项目(JGYQ2018004);四川省社会科学重点研究基地四川县域经济发展研究中心项目(xy2018016)。

摘　　要：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,来刻画关联主体网络中关联信用风险的传染机理;并引入潜伏主体及其潜伏期,分析了网络中关联信用风险的传染过程;进一步,在关联主体BA无标度网络中,探讨了关联信用风险特征对传染过程中稳定状态的影响。研究结果表明:潜伏主体的平均潜伏期、感染主体的传染率和恢复率及传染力、信用主体的新生率和死亡率,均会影响关联信用风险传染阈值和稳定状态时感染主体密度。The associated credit risk and relevant contagion is a hotspot and difficult point in present credit risk management field.Based on the average field theory of complex network,this paper applies the epidemic model to describe the infection mechanism of associated credit risk in associated entity network.The stable state of associated credit risk contagion in this network is analyzed with hidden entities and hidden period.Furthermore,within the BA scale free network environment of associated entities,the influence of associated credit risk characteristics on the stable state is discussed.The results show that the average hidden period of hidden entities,infectious rates,recovery rate and infectivity of infected entities,neonatal rate and mortality rate of credit entities can influence the associated credit risk contagion threshold and infected entities5 density of stable state.

关 键 词：潜伏期 关联信用风险 传染病模型 关联主体网络 无标度网络 

分 类 号：F830[经济管理—金融学]