集体企业破产与评级动态中的相变
摘要：公司评级演变的简单模型 团队：We present a simple model of firm rating evolution. 我们提出了一个简单的企业评级演变模型。 来源：We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. 我们考虑了两种违约的来源：经济发展的个体动态和企业之间的Potts-like交互作用。 结果：We show that such a defined model leads to phase transition, which results in collective defaults. 我们发现这种定义的模型会导致相变，从而导致集体违约。 相依：The existence of the collective phase depends on the mean interaction strength. 集体阶段的存在取决于平均交互强度。 影响：For small interaction strength parameters, there are many independent bankruptcies of individual companies. 对于较小的交互强度参数，个体公司的破产很多。 结果：For large parameters, there are giant collective defaults of firm clusters. 对于较大的参数，公司集群出现了大规模的集体违约。 最优点：In the case when the individual firm dynamics favors dumping of rating changes, there is an optimal strength of the firm's interactions from the systemic risk point of view. 当个体公司的动态偏向于倾销评级变化时，从系统性风险的角度来看，公司之间的交互强度存在最优值。
作者：Pawe{l} Sieczka, Janusz A. Ho{l}yst
论文ID：0904.4430
分类：Risk Management
分类简称：q-fin.RM
提交时间：2015-05-13