Study On Associated Credit Risk Contagion Based On Information Dissemination, Individual Protection Awareness And Hidden Period

At present,the horizontal and vertical integration development of market economy has been enhanced.The credit relationships among credit entities,such as guarantee companies,insurance companies,enterprises and banks,has become more and more close and extensive,and the contact information have become more and more complex,thus forming the associated credit entities,hereinafter referred to as the associated entities.The network with the associated entity as the node and the associated relationship as the edge is called the associated entity network.In the associated entity network,if some associated entities default,resulting in other associated entities default or the probability of default increases or the credit rating decreases,this kind of credit risk is called the associated credit risk between associated entities.Under the conduction of the relationship,the associated credit risk accumulates continuously.Once the associated credit risk breaks out,it has a strong destructive power to the associated entity network and even the whole social economy.The reality of the US subprime crisis in 2007,the European debt crisis in 2009,the domestic debt crisis and the guarantee crisis in recent years all indicate that the contagion of the associated credit risk will lead to the financial crisis,which is an important risk source in the current economic and social development.Because many associated entities usually have complex relationship,the associated entity network of related subjects has the characteristics of complex network,so the contagion evolution of associated credit risk in the associated entity network has the characteristics of complex system.Information dissemination refers to the process of information transmission,exchange,sharing and communication between associated entities.The information dissemination in this dissertation includes two categories: one is the spread of risk information,the other is the spread of prevention information.Information dissemination will affect the behavior decision-making of the associated entit,and individual response is produced.The intensity of individual response is positive correlated to the number of neighbor nodes around which the same information is adopted and disseminated.Then individual protection awareness is formed from associated entity.However,due to the asymmetry of information dissemination,there is being hidden period for the associated credit risk contagion.The information dissemination of the associated credit risk in the associated entity network promotes the individual protection awareness of the associated entity.The strong or weak individual protection awareness is generally positive correlated to the loss suffered by the associated entity.It can be seen that the contagion of associated credit risk is not only related to information dissemination,but also related to individual protection awareness,and also related to the hidden period.Based on this,this dissertation studies the impact of individual protection awareness and hidden period on the contagion of associated credit risk from the perspective of information dissemination,using the theory of complex network and the knowledge of infectious dynamics.The main work of this dissertation is following:I,the basic dynamic model of the associated credit risk contagion in the associated entity network is constructed.Further,in the case of only risk information dissemination in the associated entity network,the risk information dissemination and its lag and individual protection awareness are embedded,and an improved model of the associated credit risk contagion is constructed,and then the influence mechanism of the associated credit risk contagion is revealed.Firstly,from the perspective of risk information dissemination,this dissertation discusses the impact mechanism of risk information dissemination on associated credit risk contagion,and carries out numerical simulation analysis.The research shows that individual response plays an intermediary role in the process of risk information's influence on the contagion of associated credit risk,and the contagion threshold of associated credit risk has nothing to do with the transmission efficiency of real and false risk information,but it has something to do with the structure of associated entity network and the removal rate of infected entities.When the contagion of associated credit risk tends to be stable,there is a significant relationship between the density(proportion)of infected entity and the transmission efficiency of the real and false risk information,and the sensitivity of the density of infected entity to real and false risk information is similar.Secondly,this dessertation discusses the influence of the lag of risk information dissemination on the contagion of associated credit risk.The research shows that the lag of risk information transmission will not affect the stability of the risk equilibrium point.Moreover,in the state of risk stability,the density of the susceptible entity with protection awareness,the density of the infected entity and the cumulative density of risk awareness in the associated entity network have nothing to do with the network structure,which are affected by the removal rate of the infected entity,the effective transmission rate of risk information and other parameters.Finally,from the perspective of individual protection awareness,this dissertation discusses the impact mechanism of individual protection awareness promoted by risk information on associated credit risk contagion,and conducts numerical simulation analysis in scale-free network.It is found that the number of infected entities,the intensity of individual response,and the proportion of susceptible entities with protection awareness are positive correlated with the contagion threshold of associated credit risk.It is also found that considering individual protection awareness,enhancing the intensity of susceptible entities' response and increasing the proportion of susceptible entities with protection awareness can effectively suppress the contagion speed and scale of associated credit risk,and postpone the peak of the associated credit risk.II,Under the situation that both risk information and prevention information are spread in the associated entity network,an improved dynamic model of associated credit risk contagion is constructed,and the influence of double information dissemination on associated credit risk contagion is discussed.It is found that the contagion threshold of associated credit risk is related to alertness degree,rescue degree and the number of neighbor nodes,and the individual protection awareness has an obvious inhibitory effect on the outbreak of associated credit risk.The research shows that the alertness and rescue degree are important factors affecting the density of the infected entities and the density of the immune entities,and the intensity of alertness and rescue degree will affect the contagion scale of associated credit risk.The comparative study shows that risk information has a greater impact on the contagion scale of associated credit risk,while prevention information only has a small impact on the contagion scale of associated credit risk in a specific effective infection rate range.III,According to whether the contagion of associated credit risk in hidden period is infectious,the improved dynamic models of associated credit risk contagion are constructed respectively,and then the influence mechanism of associated credit risk contagion is discussed.Firstly,considering that the contagion of associated credit risk in the hidden period is not infectious but only the infection period is infectious,this dissertation analyzes the stable state of the associated credit risk contagion in the associated entity network,and discusses the influence of influence factors of the associated credit risk contagion on the stable state in the BA scale-free associated entity network.Then,considering the double transmission route of the contagion of associated credit risk in both hidden period and infection period,this dessertation analyzes the stable state of the associated credit risk contagion in the associated entity network,and discusses the influence of influence factors of the associated credit risk contagion on the stable state in the general associated entity network.The research shows whether the contagion of associated credit risk in hidden period is infectious,the contagion threshold of associated credit risk is related to the network topology and the hidden period of the hidden entity.When the associated entity network is stable,the density of the infected entity changes in reverse with the hidden period of the hidden entity.When the contagion of associated credit risk in hidden period is not infectious,the contagion evolution process of associated credit risk is relatively simple.The contagion threshold of associated credit risk is only related to the infectivity and removal rate of the infected subject except for the network topology.When the associated entity network is stable,the density of the infected entity changes inversely with the removal rate and the mortality of the associated entity.When the contagion of associated credit risk in hidden period is infectious,the contagion evolution process of associated credit risk is more complex.The contagion threshold of associated credit risk is not only related to the network topology,but also changes in the same direction with one contagion rate in the hidden period and another contagion rate in the infection period.When the associated entity network is stable,the density of the hidden entity changes in the same direction with the hidden period and the infection rate,and changes in the opposite direction with the infection period.The density of the infected entity changes in the same direction with the infection period and infection rate.In other words,the contagion of associated credit risk is affected by the hidden period.Compared with the hidden period with no infectivity,the influence of the hidden period with infectivity on the contagion of associated credit risk is more complex.