A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model | |
Mu, Pei2; Chen, Tingqiang2,3; Pan, Kun1; Liu, Meng2 | |
刊名 | JOURNAL OF MATHEMATICS |
2021-11-22 | |
卷号 | 2021页码:12 |
ISSN号 | 2314-4629 |
DOI | 10.1155/2021/6593218 |
英文摘要 | Credit risk contagion between banks and firms is one of the important triggers of financial crisis, and the credit linkage network is the way of systemic risk contagion triggered by external shocks. Considering the heterogeneity of behavioral rules, learning rules, and interaction rules, this paper constructs a bank-firm credit matching network model based on ABM (agent-based model) model and reinforcement learning algorithm to analyze the interaction behavior and credit risk network contagion mechanism. The results show that (1) macroeconomic cycles are the result of the interaction between banks and enterprises and the interaction of microentities under complex financial conditions; (2) enterprises are heterogeneous and the asset size follows a power-law distribution; (3) the greater the sensitivity of banks and enterprises to market performance, the lower the bank failure rate and enterprise default rate; and (4) shocks to the largest banks and enterprises in terms of assets and entry can all intensify the risk contagion between banks and enterprises. Therefore, the regulation of financial institutions that are "too big to fail" is not sufficient but should be a comprehensive regulation of the banking system. |
资助项目 | National Natural Science Foundation of China[71871115] ; Major Project of Philosophy and Social Science Research in Colleges and Universities in Jiangsu Province[2019SJZDA035] ; Young and Middle-Aged Academic Leaders of Qinglan Project in Jiangsu Province |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | HINDAWI LTD |
WOS记录号 | WOS:000747421300001 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59938] |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Chen, Tingqiang; Liu, Meng |
作者单位 | 1.Bank Nanjing, Transact Banking Dept, Nanjing 210008, Peoples R China 2.Nanjing Tech Univ, Sch Econ & Management, Nanjing 211816, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Mu, Pei,Chen, Tingqiang,Pan, Kun,et al. A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model[J]. JOURNAL OF MATHEMATICS,2021,2021:12. |
APA | Mu, Pei,Chen, Tingqiang,Pan, Kun,&Liu, Meng.(2021).A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model.JOURNAL OF MATHEMATICS,2021,12. |
MLA | Mu, Pei,et al."A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model".JOURNAL OF MATHEMATICS 2021(2021):12. |
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