双层耦合网络下CRT市场交易对手信用风险传染演化模型研究  

Bilayer-Coupled Network Evolution Model of Counterparty Credit Risk Contagion in the CRT Market

作　　者：陈庭强[1,2] 王杰朋 杨晓光 CHEN Ting-qiang;WANG Jie-peng;YANG Xiao-guang(School of Economic and Management,Nanjing Tech University,Nanjing 211816,China;Chinese Academy of Sciences,Academy of Mathematics and Systems Science,Beijing 100190,China)

机构地区：[1]南京工业大学经济与管理学院,江苏南京211816 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《中国管理科学》2023年第4期260-274,共15页Chinese Journal of Management Science

基　　金：国家社会科学基金重大资助项目(22&ZD122);国家自然科学基金资助项目(71871115);江苏省社会科学基金一般资助项目(22GLB032);江苏高校“青蓝工程”中青年资助项目。

摘　　要：信用衍生品具有投资交易和风险管理双重功能,其投资交易行为势必会带来信用风险转移(CRT)市场信用风险的传染。考虑到CRT市场交易对手的潜伏违约状态与交易对手异质性,构造了单层网络下交易对手信用风险传染模型和双层耦合网络下交易对手信用风险传染模型。运用计算实验及仿真模拟计算分析双层耦合网络下CRT市场交易对手信用风险传染行为特征及演化规律,得到了如下主要结论:(1)在单层网络模型中,机制概率具有“全局效应”。(2)CRT市场交易对手异质性对交易对手信用风险传染具有“全局强化”作用,即随着交易对手信用风险偏好程度增大,交易对手信用风险认知水平降低,信息披露系数减小,交易对手杠杆水平升高,交易对手风险平溢能力降低以及交易对手影响力增大,交易对手信用风险传染加剧。(3)双层耦合网络的违约交易对手规模在网络稳态时明显大于单层网络。而且,在传染过程中,单层网络的CRT市场交易对手信用风险传染更快到达网络稳态。(4)在双层耦合网络中,交易对手信用风险传染的三种层间连接模式中,同配连接具有“全局强化”效应,而易配连接具有“全局抑制”效应。(5)在双层耦合网络模型中,层内感染概率和层间感染概率促使潜伏违约状态交易对手朝着违约状态交易对手转化,具有全局强化信用风险传染的作用;层内免疫概率和层间免疫概率促使违约状态交易对手朝着其他状态交易对手转化,具有全局抑制信用风险传染的作用。Credit derivatives play dual functions of investment trading and risk management.Their investment trading behavior is bound to bring credit risk contagion in the credit risk transfer(CRT) market.Existing studies are mostly limited to single-layer financial networks,and most of them ignore the heterogeneity of economic actors.In view of this,the latent default status of counterparties in the CRT market and counterparty heterogeneity are considered,a SCIRS model of counterparty credit risk contagion in the single-layer network is constructed,and the effect and influence mechanism of different mechanism probabilities and counterparty heterogeneity on the contagion effect of counterparty credit risk in CRT market are explored.Secondly,based on the SCIRS model of single-layer network counterparty credit risk contagion,further considering the heterogeneity of inter-layer and intra-layer contagion,the SCI1I2RS model of double-layer coupled network counterparty credit risk contagion is constructed.The influence mechanism of different network structures(single-layer network and two-layer coupled network) on counterparty credit risk contagion in the CRT market is compared and analyzed.On this basis,the evolution characteristics of counterparty credit risk contagion in the CRT market under different connection modes and different mechanism probabilities are compared and analyzed.The following main conclusions are obtained using computational experiments and simulation to analyze the evolution characteristics of counterparty credit risk contagion in the CRT market.First,in the single-layer network model,the mechanism probability exhibits a “global effect.” Second,the counterparty heterogeneities of counterparty credit risk contagion have a “global enhancement” effect in the CRT market.That is,the counterparty credit risk preference increases,the counterparty credit risk cognitive level reduces,the information disclosure coefficient decreases,the counterparty leverage increases,the counterparty risk overflow capacity

关 键 词：双层耦合网络 交易对手信用风险 违约传染 异质性 传染模型 

分 类 号：F224[经济管理—国民经济] F830.2