A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model

doi:10.1155/2021/6593218

	A Network Evolution Model of Credit Risk Contagion between Banks and Enterprises Based on Agent-Based Model
	Mu, Pei 2; Chen, Tingqiang 2,3; Pan, Kun 1; Liu, Meng 2
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.