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A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model
Mu, Pei1; Chen, Tingqiang1,2; Pan, Kun3; Liu, Meng1
2021-11-22
Source PublicationJOURNAL OF MATHEMATICS
ISSN2314-4629
Volume2021Pages:12
AbstractCredit 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.
DOI10.1155/2021/6593218
Indexed BySCI
Language英语
Funding ProjectNational 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 Research AreaMathematics
WOS SubjectMathematics
WOS IDWOS:000747421300001
PublisherHINDAWI LTD
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/59939
Collection中国科学院数学与系统科学研究院
Corresponding AuthorChen, Tingqiang; Liu, Meng
Affiliation1.Nanjing Tech Univ, Sch Econ & Management, Nanjing 211816, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Bank Nanjing, Transact Banking Dept, Nanjing 210008, Peoples R China
Recommended Citation
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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