企业集体破产与评级动态的相变
Collective firm bankruptcies and phase transition in rating dynamics
摘要：
我们提出了一个简单的模型，公司评级的演变。我们认为违约的两个来源：经济发展的个人动态和企业之间的波茨式互动。我们表明，这样一个定义的模型导致相变，这导致集体违约。集体相的存在依赖于平均相互作用强度。对于小的相互作用强度参数，有许多独立的破产的个别公司。对于大的参数，有巨大的企业集群集体违约。当个别公司的动态有利于倾销的评级变化的情况下，有一个最佳的强度，从系统性风险的角度来看，公司的相互作用。
英文摘要：
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. The existence of the collective phase depends on the mean interaction strength. For small interaction strength parameters, there are many independent bankruptcies of individual companies. For large parameters, there are giant collective defaults of firm clusters. 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.
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