Default propagation in customer-supplier networks: An agent-based model approach to the isolation of companies in default
Default propagation in customer-supplier networks: An agent-based model approach to the isolation of companies in default
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DOI：
10.1007/s12652-019-01370-7
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发表时间：
2019-07
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影响因子：
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通讯作者：
Jordi Nin;Elena Tomas
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文献类型：
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作者：
Jordi Nin;Elena Tomas
客户-供应商关系的分析是分析风险评估问题和运营供应链管理优化的关键。尽管底层网络属性对于分析缺省传播和缺省级联是必不可少的，但以前没有考虑到网络的经验变化或网络拓扑演变的现实模型。在实验证据的引导下，我们提出了一种改进的微观马尔科夫链方法(MMCA)模型来研究客户-供应商网络中的违约传播细节。我们修正了企业的违约行为，让它们按照几个更好地反映真实世界行为的启发式方法行事，就像在真实的客户-供应商网络上观察到的那样。所谓的对违约者的隔离是通过几个实验来模拟的，在这些实验中，当供应商不愿再拿他们的货物冒险时，违约公司被迫将他们的外流优势(付款)重新洗牌给其他公司。我们的结果表明，不同部门的违约风险敞口如何根据代理人采取的政策而变化。此外，我们还证明了个体代理人的决策与降低全球网络对违约的敏感度高度相关。
The analysis of customer-supplier relationships is crucial to analyze both risk assessment problems and operational supply-chain management optimization. Although the underlying network properties are essential to analyze default propagation and default cascades, empirical changes of the network or realistic models for network topology evolution have not been previously taken into account. Here, lead by experimental evidences, we propose a variation of the Microscopic Markov-Chain Approach (MMCA) model to study the details of default propagation in customer-supplier networks. We modify companies’ behaviour towards default to make them act according to several heuristics that better reflect real-world behaviour, as observed on a real customer-supplier network. The so-called isolation of the defaulted is simulated through several experiments where defaulted companies are obliged to reshuffle their outgoing edges (payments) towards other companies when their suppliers are not willing to risk their goods anymore. Our results show how exposure of different sectors to default changes according to the policies that the agents undertake. Besides, we show that individual agents decisions are highly relevant to decrease the global network sensitivity to default.