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摘要翻译：
我们提出了一个简单的公司评级演变模型。我们考虑了违约的两个来源：经济发展的个体动态和企业之间类似Potts的相互作用。我们证明了这样一个定义的模型导致了相变，从而导致了集体缺省值。集体相的存在依赖于平均相互作用强度。对于小的相互作用强度参数，个别公司的独立破产较多。对于大参数，企业集群存在巨大的集体违约。从系统风险的角度来看，在单个企业动态倾向于倾销评级变动的情况下，存在一个最优的企业相互作用强度。
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英文标题：
《Collective firm bankruptcies and phase transition in rating dynamics》
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作者：
Pawe{\l} Sieczka, Janusz A. Ho{\l}yst
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最新提交年份：
2009
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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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英文摘要：
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. The existence of the collective phase depends on the mean interaction strength. For small interaction strength parameters, there are many independent bankruptcies of individual companies. For large parameters, there are giant collective defaults of firm clusters. In the case when the individual firm dynamics favors dumping of rating changes, there is an optimal strength of the firm's interactions from the systemic risk point of view.
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PDF链接：
https://arxiv.org/pdf/0904.4430
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