Jianmin He

Dynamics Evolution of Credit Risk Contagion in the CRT Market

This work introduces a nonlinear dynamics model of credit risk contagion in the credit risk transfer (CRT) market, which contains time delay, the contagion rate of credit risk, and nonlinear resistance. The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through numerical simulation. Meanwhile, numerical simulations show that, in the CRT market, the contagion rate of credit risk and the nonlinear resistance among CRT activities participants have some significant effects on the dynamics behaviors of evolution of credit risk contagion. Specifically, on the one hand, we find that the status curve of credit risk contagion that causes some significant changes with the increase in the contagion rate of credit risk, moreover, emerges a series of Hopf bifurcation and chaotic phenomena in the process of credit risk contagion. On the other hand, Hopf bifurcation and chaotic phenomena appear in advance with the increase in the nonlinear resistance coefficient and time-delay. In addition, there are a series of periodic windows in the chaotic interval inside, including Hopf bifurcation, inverse bifurcation, and chaos.

Co-Loan Network of Chinese Banking System Based on Listed Companies’ Loan Data

Based on the loan data of Chinese listed companies from 2008 to 2016, this paper constructs a co-loan network of the Chinese banking system and analyzes the topological structures and corresponding evolvement characteristics from the perspective of complex network. Through the empirical studies, we find that the co-loan network always displays a core-periphery structure; for example, ten banks including four state banks and six large commercial banks are always in the core region of the Chinese banking system for nine consecutive years. Furthermore, the co-loan network is a small-world network lasting for nine years.

Research on feedback tracking control for disequilibrium cobweb model based on LMI algorithms

A new design scheme of tracking control for a class of typical disequilibrium cobweb models is proposed in this paper. From the viewpoint of economic control theory , dynamic analysis method is used to study the stability of disequilibrium market containing the expected price, the controllability of the expected price and the tracking performance of the error between demand and supply. The design is based on the principle of dynamic feedback control and the algorithms of linear matrix inequation (LMI). By defining state feedback control input and corresponding lyapunov function, multiple control objectives including stabilization, tracking performance and robustness can be guaranteed simultaneously. Simulation results show the proposed dynamic approach is effective and adaptable for economic reality.

The trend analysis of China's stock market based on fractal method and BP neural network model

Traditional mainstream financial theories usually focus on the assumption of rational man. Many scholars often suppose that stock market is the efficient market and security price fully reflects information gained by investors from stock market. But with financial anomalies emerging, many new subjects related to physics, psychology and computer science etc., are rising and forming behavioral finance, financial physics and network finance. This paper using fractal analysis method studies fractal properties of Chinas stock price fluctuation and arrives at a conclusion that market trend would be slightly overturned in the case of Hurst index value lower than a critical point. Then BP neural network is used for fitting the trend of Chinas stock price fluctuation. We construct a three-layer neural network that is applied to weight adjustment between neurons located in different layers. Experiment results show that the prediction curve of network outputs has a better fitting with the real curve of original sample data, so BP neural network in this paper has the preferable predication performance.

Research on the tail risk spillover between shanghai and shenzhen stock markets based on MODWT and time-varying Clayton Copula

This paper studies the tail risk spillover between Shanghai and Shenzhen stock markets based on maximal overlap discrete wavelet transform (MODWT) and time-varying Clayton Copula from the viewpoints of time and frequency simultaneously. The return rate series is decomposed into three scales. At each level scale, the propagation direction of risk spillover is judged by Granger causality test and the tail strength is measured based on time-varying Clayton Copula in this paper. The research shows there is unidirectional risk spillover at d1 scale. There exists bidirectional risk spillover at d2, d3 and a3 scale. d1 and d2 scales bring the risk spillover with higher power and larger tail strength. d3 scale brings the risk spillover with lower power, larger fluctuation range and relatively smaller tail strength. While a3 scale brings risk spillover with lower power and relatively larger tail strength.

Research on the pricing of guarantee-backed securities based on Monte Carlo simulation

The guarantee is an important content of bank credit guarantee system and banks hold large amounts of guarantee assets lack of liquidity. Along with the increasingly serious international economic and financial environment, the financial institutions are faced with hard constraints of liquidity. It is necessary to create the liquidity and revitalize the guarantee asset in the case of lack of liquidity for domestic and international financial institutions.Now the asset securitization research mainly focus on the assets with long-term and high risk,few papper researches guarantee assets with short-term and low risk.Based on this,the paper will research the pricing of guarantee securitization.Because of autocorrelation and ARCH effects of financial time series, the AR(1)-AR(9)-AR(22)-T-EGARCH(1,1) Vasicek model is built to solve the parameters of dynamic interest rate model and the Monte Carlo simulation is used to solve the pricing of guarantee-backed securities in this paper. The research shows that the pricing of the guarantee-backed securities has the characteristics of path-dependent, so lots of simulations are needed to be made to reduce the errors; And because of the shorter term of guarantee assets, financial institutions should make great efforts to develop guarantee business to fill and replace the assets of the guarantee asset pool and maintain the stability of cash flow. The research not only extends the theory of asset securitization pricing, but also has important practice significance on the implementation of the guarantee securitization for commercial banks and other financial institutions.

Research on structural correlation of HS 300 stock index based on AR (n)-XARCH-Copula model

The AR (n)-XARCH model is established to deal with the autocorrelation and arch effects of the time series of HS 300 stock index and its weighted stock.The residual series obtained through the above model are converted to new series through probability integral transformation, which are used to estimate the parameters of the corresponding copula. The empirical research based on AR (n)-XARCH-Copula model shows that the structural correlation is relatively large for HS 300 stock index. In practice, it is necessary to strengthen supervision to constituent stock of HS300 stock index, optimize the mechanism of choosing constituent stock to reduce the market manipulation to maintain stable operation of financial market.

Nonlinear dynamic model of credit risk contagion in CRT market

In this article, we build a nonlinear dynamics model of credit risk contagion in CRT market based on the connections of the complex relationship network between participants in CRT market only include Newman-Watts length scale connection and long distance connection, and study its dynamic behaviors. We find that, firstly, the increase of the effective rate of credit risk contagion can make the status curve of credit risk contagion happen some significant changes, further engender the Hopf bifurcation and chaos phenomenon in the process of credit risk contagion through experimental simulation. Secondly, the increase of the nonlinear resistance coefficient make Hopf bifurcation and chaos phenomena happen in advance. Thirdly, there are series of periodic windows in the chaos interval inside, in which present three intertwined state about Hopf bifurcation, pour bifurcation and chaos.

Study on credit risk contagion model based on filter theory

By using filter theory, we propose a credit risk contagion model with the features of credit default sequence, the structure of probability density of credit default time and the distribution function of companys conditional survival probability. By introducing a two-dimensional Gumbel Copula function, we carry out simulation experiment and comparative analysis of the influencing factor of the companys conditional survival probability distribution. We find that the impact of the sequentiality, correlation and intensity of credit defaults on the contagion effect of credit risk and the companys survival probability is significant.