英文标题：
《Agent-based mapping of credit risk for sustainable microfinance》
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作者：
Joung-Hun Lee, Marko Jusup, Boris Podobnik, Yoh Iwasa
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最新提交年份：
2015
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英文摘要：
  Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylised rules of microfinance industry. We found that in a deteriorating economic environment confounded with adverse selection, a form of latent moral hazard may cause a regime shift from a high to a low loan repayment probability. An after-the-fact recovery, when possible, required the economic environment to improve beyond that which led to the shift in the first place. These findings suggest a small set of measurable quantities for mapping microfinance credit risk and, consequently, for balancing the requirements to reasonably price loans and to operate on a fully self-financed basis. We illustrate how the proposed mapping works using a 10-year monthly data set from one of the best-known microfinance representatives, Grameen Bank in Bangladesh. Finally, we discuss an entirely new perspective for managing microfinance credit risk based on enticing spontaneous cooperation by building social capital.
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中文摘要：
受最近关于复杂金融风险分析如何从与独立研究领域的类比中受益的想法启发，我们提出了一个非正统的框架，用于绘制小额信贷风险图——这是贷款人向穷人伸出援助之手的可持续性的一个主要障碍。具体来说，利用网络理论的原理，我们构建了一个基于代理的模型，该模型遵循小额信贷行业的风格化规则。我们发现，在与逆向选择相混淆的不断恶化的经济环境中，一种潜在的道德风险可能会导致制度从高贷款偿还概率转向低贷款偿还概率。在可能的情况下，事后复苏需要经济环境的改善，而不仅仅是最初导致这种转变的经济环境。这些研究结果表明，可以用一小部分可测量的数量来衡量小额信贷风险，从而平衡合理定价贷款和完全自负盈亏的要求。我们使用孟加拉国最著名的小额信贷代表之一格拉明银行（Grameen Bank）提供的10年月度数据集来说明拟议的绘图工作。最后，我们讨论了一个全新的视角来管理小额信贷风险，其基础是通过建立社会资本来吸引自发的合作。
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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：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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