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摘要翻译：
受雷曼兄弟破产及其对全球金融体系的影响的启发，我们建立了一个简单的模型，将雷曼违约事件量化为几乎立即恶化经济网络中所有金融机构信用价值的影响。在我们的程式化描述中，一个给定企业的所有属性都被它的有效信用评级所捕获，它遵循一个与我们经济网络中其他企业的信用评级共同演化的简单动力学。这种动力学类似于波茨自旋玻璃的演化，外部全球场对应于经济中的恐慌效应。顺磁相和铁磁相之间的整体相变的存在解释了该系统对负冲击的大敏感性。我们表明，救助最初几家违约公司并不能解决问题，但确实有显著缓解全球冲击的效果，这是用没有因此而违约的公司的比例来衡量的。这种有利效应是耦合企业系统的巨大脆弱性的对应物，这两种脆弱性都是我国经济网络中企业信用评级的集体自组织内生行为的直接后果。
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英文标题：
《The Lehman Brothers Effect and Bankruptcy Cascades》
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作者：
Pawe{\l} Sieczka, Didier Sornette, Janusz A. Ho{\l}yst
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit worthiness of all financial institutions in the economic network. In our stylized description, all properties of a given firm are captured by its effective credit rating, which follows a simple dynamics of co-evolution with the credit ratings of the other firms in our economic network. The dynamics resembles the evolution of Potts spin-glass with external global field corresponding to a panic effect in the economy. The existence of a global phase transition, between paramagnetic and ferromagnetic phases, explains the large susceptibility of the system to negative shocks. We show that bailing out the first few defaulting firms does not solve the problem, but does have the effect of alleviating considerably the global shock, as measured by the fraction of firms that are not defaulting as a consequence. This beneficial effect is the counterpart of the large vulnerability of the system of coupled firms, which are both the direct consequences of the collective self-organized endogenous behaviors of the credit ratings of the firms in our economic network.
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PDF链接：
https://arxiv.org/pdf/1002.1070
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