Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
复制标题
融合溢出效应和行为干预的不断发展的网络模型中的信用风险传染
作者：
陈庭强;肖斌卿;刘海飞
我们引入了信用风险转移CRT市场中信用风险传染的演化网络模型。该模型考虑了受感染投资者、投资者和监管者的行为、投资者的情绪扰动、市场噪声和CRT网络结构对信用风险传染的溢出效应。本文采用理论分析和数值模拟相结合的方法，描述了相同溢出效应对CRT市场的影响及其作用机制。我们还评估了市场噪声、投资者的风险偏好和金融市场监管者的监管力度对信用风险传染的交互影响。该模型有助于明确考察市场行为因素与网络结构之间的关系。它还为在不断发展的网络环境下考虑信用风险传染提供了一个理论框架，这与信用风险管理具有很大的相关性。
We introduce an evolving network model of credit risk contagion in the credit risk transfer CRT market. The model considers the spillover effects of infected investors, behaviors of investors and regulators, emotional disturbance of investors, market noise, and CRT network structure on credit risk contagion. We use theoretical analysis and numerical simulation to describe the influence and active mechanism of the same spillover effects in the CRT market. We also assess the reciprocal effects of market noises, risk preference of investors, and supervisor strength of financial market regulators on credit risk contagion. This model contributes to the explicit investigation of the connection between the factors of market behavior and network structure. It also provides a theoretical framework for considering credit risk contagion in an evolving network context, which is greatly relevant for credit risk management.