经济互动对信用风险的影响
Effects of Economic Interactions on Credit Risk
摘要：
我们研究了一个信用风险模型，该模型捕捉了经济相互作用对公司违约概率的影响。经济互动被表示为一个功能定义的图，并考虑到合作和竞争的商业关系的存在。我们提供了一个分析解决方案的模型中的限制，其中每个公司的业务关系的数量是大的，但整体的一个给定的公司互动的经济部分可能是小的。虽然经济相互作用的影响在典型的（最可能的）情景中相对较弱，但在经济压力的情况下，它们是明显的，从而导致大型贷款组合中损失分布的尾部大幅增厚。这表现在相互作用的经济体与非相互作用的经济体相比，其计算的风险价值显著提高。
英文摘要：
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive, business relations is taken into account. We provide an analytic solution of the model in a limit where the number of business relations of each company is large, but the overall fraction of the economy with which a given company interacts may be small. While the effects of economic interactions are relatively weak in typical (most probable) scenarios, they are pronounced in situations of economic stress, and thus lead to a substantial fattening of the tails of loss distributions in large loan portfolios. This manifests itself in a pronounced enhancement of the Value at Risk computed for interacting economies in comparison with their non-interacting counterparts.
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