摘要
本文从信用风险持有者的心理和行为角度对信用风险传染过程进行了分析,通过引入信用风险传染的主体行为因素,建立了信用风险传染的网络模型。借助严格随机占优理论,分别探讨了社会网络中个体之间的关联关系、个体的风险态度、个体的风险抵御能力、金融市场监管者的监控强度和个体的网络结构特征对信用风险传染的影响机制,通过仿真实验进一步验证理论推到的正确性,并直观地刻画了信用风险传染的内部性和外部性对信用风险传染行为及其演化的影响。
The process of credit risk contagion based on the perspective of psychology and behavior of credit risk holders is analyzed firstly. A network model of credit risk contagion is given in which effect of agent behaviors of credit risk holders and financial market regulator and network structure are considered. By in- troducing the stochastic dominance theory, respectively driving mechanisms of credit risk contagion are discussed based on the relationships between of individuals, individual risk attitude, the individual ability to resist risk, the monitoring strength of financial market and social network structure, then the derived and proofed some propositions are verified by computer simulation.
出处
《中国管理科学》
CSSCI
北大核心
2014年第11期1-10,共10页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71173098
11271109
71371051)
国家社科基金重大项目(12&ZD204)
中国博士后科学基金面上资助项目(2014M561626)
江苏高校哲学社会科学研究资金资助项目(2014SJB081)
关键词
复杂网络
信用风险传染
心理与行为
随机占优
网络结构
complex network
credit risk contagion
psychology and behavior
stochastic dominance
net-work structure
