DebtRank Analysis of the Japanese Credit Network
DebtRank Analysis of the Japanese Credit Network
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发表时间：
2013-10
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通讯作者：
H. Aoyama;S. Battiston;Y. Fujiwara
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作者：
H. Aoyama;S. Battiston;Y. Fujiwara
本文分析了日本银行和企业之间的借贷关系，它们形成了一个双边信贷网络。我们引入了一些初始节点（银行或公司）的困扰，并允许它传播和污染的相对暴露在这个网络中的其他节点。首先，通过选择初始节点是一家银行，并采取加权平均的结果遇险分布，与权重成比例的大小（总资产）的每个节点，我们确定了银行的重要性，整个网络在危机时刻。这导致了银行重要性与银行规模之间的非线性关系，这意味着与相同规模的合作伙伴合并将导致重要性的增加。第二，通过将初始困境引入某些行业的企业，我们评估了银行和其他行业的企业由于初始行业的困境而产生的脆弱性。
We present an analysis of the lending/borrowing relationship between Japanese banks and Japanese firms, which form a bipartite credit network. We introduce distress to some initial node(s) (banks or firms) and allow it to propagate and contaminate other nodes in this network according to the relative exposure. First, by choosing the initial node to be a bank and taking the weighted average of the resulting distress distribution, with the weight proportional to the size (total assets) of each node, we identify the bank's importance to the whole network at the time of crisis. This leads to a nonlinear relationship between the importance and the size of the bank, which implies that mergers with the same-sized partner would result the most in the increase in importance. Second, by introducing the initial distress to firms in certain industrial sector(s), we evaluate the vulnerability of banks and firms in other sectors due to the distress in the initial sectors.