Collective firm bankruptcies and phase transition in rating dynamics

P. Sieczka; J.A. Holyst

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Collective firm bankruptcies and phase transition in rating dynamics

机译：集体企业破产和评级动态的阶段过渡

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We present a simple model of firm rating evolution. We consider two sources of defaults: indi-vidual dynamics of economic development and Potts-like interactions between firms. We show that such adefined model leads to phase transition, which results in collective defaults. The existence of the collectivephase depends on the mean interaction strength. For small interaction strength parameters, there are manyindependent bankruptcies of individual companies. For large parameters, there are giant collective defaultsof firm clusters. In the case when the individual firm dynamics favors dumping of rating changes, there isan optimal strength of the firm's interactions from the systemic risk point of view.

机译：我们提出一个简单的公司评级演变模型。我们考虑违约的两个来源：经济发展的个体动力和企业之间类似波茨的互动。我们表明，这样定义的模型会导致相变，从而导致集体违约。集体相的存在取决于平均相互作用强度。对于较小的交互强度参数，单个公司存在许多独立的破产。对于大参数，企业集群存在巨大的集体违约。如果单个公司的动态倾向于放弃评级变化，那么从系统风险的角度来看，公司的互动存在最佳强度。

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《The European physical journal, B. Condensed matter physics》 |2009年第4期|共6页
作者
P. Sieczka; J.A. Holyst;
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正文语种 eng
中图分类固体物理学;
关键词
interactions; parameters; dynamics;

机译：相互作用;参数;动力学;

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1. Collective firm bankruptcies and phase transition in rating dynamics [J] . P. Sieczka, J.A. Holyst The European physical journal, B. Condensed matter physics . 2009,第4期

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Collective firm bankruptcies and phase transition in rating dynamics

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