Reseach On Contagion Delayed Effects Of Associated Credit Risk Based On Complex Network

With the in-depth development of economic globalization and market economy, the economic entities such as enterprises, banks, trust companies, insurance companies and guarantee companies, are forming complex credit connection relation through equity, guarantees, mutual insurance, related party transactions, financial derivatives, supply chains, and the multiple identities of management. In this dissertation, we define the economic entities with credit connection relation as the related credit participants; and define the networks that formed by the the related credit participants as the related credit participants networks; and the credit risk derived from the credit connection relation is called related credit risk. From this perspective, we know that the credit connection relation is the derivative cause of related credit risk, and the related credit participants networks are the carriers of related credit risk. In the related credit participants networks, it will inevitabley harm the other related credit participants, resulting in a chain reaction and causing the credit risk if a certain or some credit participants generate the credit default. Therefore, in the related credit participants networks, the contagion of related credit risk demonstrates “Domino” effect. Due to the contagion of the related credit risk, there forms the related credit risk chain within the related credit participants, which causes great harm to the related credit participants networks and the financial system and even the whole society economy. From the “subprime crisis” in 2007, “the European debt crisis”, “serial loan” and “guarantee crisis” to enterprise group bankruptcy cases, it is not difficult to find that related credit risk is the initiator of evil and pushing hands of the economy crisis.Due to the complex relationship within the related credit participants in the related credit participants networks,the related credit risk contagion system is usually complex, and the contagion process has the delay and immune effect. On the one hand, the related credit participants become interests community because of ralted relationship and dependency, if a certain or some credit participants occur the credit default in the related credit participants networks, and other related credit participant may help to rescue the default credit participant in order to avoid unnecessary trouble. That rescue generally may delay the related credit risk’s contagion in the related credit participants networks. On the other hand, faced with sudden occurrence and uncertainty, it may delay and avoid the contagion of the related credit risk if related credit participants can predict and take actions to self-salvation. The two common types of treatment measures are called the immune management of the related credit participants. In the process of immunity, the result of immune management will not be ideal as expected if the instense of the related credit risk contagion is too strong or the immune management police makes mistakes and we call this situation as incomplete immunity. In fact, it is not easy to achieve the complete immunity situation for the related credit risk, so the incomplete immunity situation is very normal. Though the incomplete immunity management can’t avoid the contagion of the related credit risk, it can delay the contagion of the related credit risk. We find that the contagion and evolution of the related credit risk demonstrate the features of complex networks structure and system. Based on that point of view, we adopt the complex networks theory to discuss the related credit participants’ network structure and the contagion and delay effect of the related credit risk.In particular, the assets related is a most common correlated manner within the related credit participants. Therefore we simply disscuss the situation of assets related within the related credit participants. In the related credit participants networks, the assets related relationship make the related credit participants become interests community, in the meanwhile it is the contagion channel of the related credit risk as well. In other words, the assets related not only expends the survival and development space, but also buries a hidden trouble for management. With the gradual frequency of trading within diverse economic participants, the related credit risk is not only becoming the great challenge in the market economy development, but also the new and hot issue in the field of credit risk management.Based on the analysis of credit risk measurement model, and combing the literature of default correlation and contagion, we propose the concept of “the related credit risk”, and discuss the causes and impacts of the generation of the related credit risk from various aspects. Furthermore, we explore the main features for under the complex network of the related credit risk, contagion effect, delay effect and immunity of the related credit risk, and discuss the causes and effects comprehensively. In this dissertation, we will discuss and try to answer the questions as follows: What are the features of the the related credit with assets related? Can the assets related relationship within the related credit participants delay the contagion effect of the related credit risk? How will the incomplete immunity affect the conatgion process and delay the contagion effect of the related credit risk?The main contents and conclusions of this dissertation are as follows:Firstly, the related credit participants form different types of complex network structure via assets related. A number of empirical researches show that the network structure of the related credit participants owns the property of small-world network and scale-free network. For one thing, in the framework of small-world networks, we set the credit participants homogeneity in this dissertation. By combination of the mean field theory and epidemic models, we analyze the relationship between the density of “unhealthy” credit participants and the contagion delay time, and contagion probability of the related credit risk in order to reveal the delay effect of the related credit risk contagion. From the results in this dissertation, we find that the assets related relationship, the amount of related credit participants, and the probability of the related credit risk contagion, will affect the delay effect of the related credit risk contagion. For another, taking into account contagion delay and assets correlation ratio simultaneously, we find that it will significantly reduce the contagion probability of the related credit risk within the network.Secondly, under the framework of scale-free network, we study the delay effect of the related credit risk contagion within the related credit participants with the assets related in this dissertation. Through the establishment of the related credit risk contagion model based on scale-free network(D-SIS model), and combining the properties of BA scale-free networks, we explore the equilibrium of the related credit risk contagion. The results show that the assets correlation within the related credit participants can help to share the risk, thus delaying the outbreak of the related credit risk. The related credit risk contagion has delay effect, and the longer the delay time is, the greater the contagion intensity of the related credit risk will be.Finally, we build the related credit risk contagion under the situation of the related credit participants “incomplete immunity” through the “incomplete immunity” of the related credit participants with combining with the mean field theory. We analyze the relationship between the contagion probability, incomplete immunity and the assets related of the related credit risk in the network of the related credit participants, in order to reveal how the property of “incomplete immunity” affect the delay effect of the related credit risk contagion. The results in this dissertation show that immunity failure and immunity uselessness, which exist at the same time will affect the related credit risk contagion process; effective immunization will be able to delay the outbreak of the related credit risk, and ineffective immunity will reduce the delay effect of the related credit risk, the relationship of assets related and the immune property, will help delay the contagion of the related credit risk.