信用衍生品创新扩散下CRT市场交易对手信用风险传染的非线性演化研究

项目名称： 信用衍生品创新扩散下CRT市场交易对手信用风险传染的非线性演化研究

项目编号： No.71501094

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 管理科学

项目作者： 陈庭强

作者单位： 南京工业大学

项目金额： 17.4万元

中文摘要： 本项目基于信用衍生品创新的“同质性”与“异质性”，及信用风险转移（Credit Risk Transfer，CRT）市场交易对手兼有“经济人”和“社会人”属性的有限理性假设，运用非线性复杂系统理论、行为金融理论、计算机仿真理论等理论方法，构建模型探讨信用衍生品创新扩散下CRT市场交易对手信用关联网络结构，分析CRT市场交易对手间非线性耦合与信息延迟的构成要素特征及其交互作用机制，探索信用衍生品创新扩散下CRT市场交易对手信用风险的演变路径和传染渠道，解析信用衍生品创新扩散下CRT市场交易对手信用风险传染的非线性演化机理，构建不同信用衍生品创新扩散机制下CRT市场交易对手信用风险传染的非线性演化模型，并进行仿真模拟分析。本项目研究旨在从非线性复杂系统视角拓展信用风险传染理论研究框架，构建针对我国CRT市场交易对手信用风险传染的控制对策和建议，为完善我国信用风险监管体系提供新的思路和理论支撑。

中文关键词： 信用衍生品创新；交易对手信用风险；信用关联网络；非线性机制；演化模型

英文摘要： Based on homogeneity and heterogeneity of the innovation of credit derivatives, and the assumptions of counterparties’ bounded rationality who possess the both property of economic man and social person, using the nonlinear complex systems theory, the theory of behavioral finance theory, and the computer simulation theory and so on, this project builds the model to investigate the network structure of the credit correlation among the counterparties under the credit derivatives innovation diffusion in the credit risk transfer (CRT) market, analyzes constituent elements characteristics and their interaction mechanism of the nonlinear coupling and information delay among counterparties, explore the evolution path of counterparty credit risk and the transmission channel under the credit derivatives innovation diffusion of the CRT market, resolves the nonlinear evolution mechanism of counterparty credit risk contagion under the credit derivatives innovation diffusion of CRT market, and constructs the nonlinear evolution model of counterparty credit risk contagion from different credit derivatives innovation diffusion mechanism with simulation analysis. This purpose of the project is to develop theoretical research framework of credit risk contagion from the perspective of nonlinear complicated system theory, to design the control countermeasures and suggestions of counterparty credit risk contagion for China’s CRT market, and to provide new train of thought and theory support for further improve our country's credit risk regulatory system.

英文关键词： Credit derivatives innovation;Counterparty Credit Risk;Credit relation network;Nonlinear mechanism;Evolution model