基于Marshall-Walras价格形成过程与系统性风险评估的信贷周期统一建模框架
The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment
AI总结：
本文提出一个统一框架，利用相对简单的数学形式建模信贷周期并评估系统性风险，通过详细分析验证其反映不同经济状态的能力，并构建风险度量以增强经典模型的分析与决策质量。
摘要：
系统性风险是一个快速发展的研究领域。经典金融模型往往不能充分反映信贷周期中泡沫、危机及其相互转换的现象。为了研究极不可能发生的事件，系统性风险方法利用先进的数学和计算工具，如复杂系统、混沌理论和蒙特卡洛模拟。本文采用一种相对简单的数学形式，为信贷周期建模和系统性风险评估提供了一个统一框架。对所提出的模型进行了详细分析，以评估其能否反映经济中非常不同的状态。基于这些结果，构建了系统性风险度量，以提供有关系统稳定性的信息。随后，该形式被应用于描述完整的信贷周期，并解释了各阶段之间的因果关系，这些关系以源自现实世界数量的参数来表示。该框架可以自然地针对不同的经济情境进行解释和理解，并易于纳入基于经典模型的分析和决策过程中，显著提高其质量和灵活性。
英文摘要：
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events, systemic risk methodologies utilise advanced mathematical and computational tools, such as complex systems, chaos theory, and Monte Carlo simulations. In this paper, a relatively simple mathematical formalism is applied to provide a unified framework for modeling credit cycles and systemic risk assessment. The proposed model is analyzed in detail to assess whether it can reflect very different states of the economy. Basing on those results, measures of systemic risk are constructed to provide information regarding the stability of the system. The formalism is then applied to describe the full credit cycle with the explanation of causal relationships between the phases expressed in terms of parameters derived from real-world quantities. The framework can be naturally interpreted and understood with respect to different economic situations and easily incorporated into the analysis and decision-making process based on classical models, significantly enhancing their quality and flexibility.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
