英文标题：
《Corporate payments networks and credit risk rating》
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作者：
Elisa Letizia, Fabrizio Lillo
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最新提交年份：
2018
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英文摘要：
  Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been given to aggregate risk assessment and risk propagation once the above two properties are given, less is known about how the risk is distributed in the network and its relations with the topology. We study this problem by investigating a large proprietary dataset of payments among 2.4M Italian firms, whose credit risk rating is known. We document significant correlations between local topological properties of a node (firm) and its risk. Moreover we show the existence of an homophily of risk, i.e. the tendency of firms with similar risk profile to be statistically more connected among themselves. This effect is observed when considering both pairs of firms and communities or hierarchies identified in the network. We leverage this knowledge to show the predictability of the missing rating of a firm using only the network properties of the associated node.
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中文摘要：
复杂系统中的聚合风险和系统风险是一种突发现象，取决于两个特性：要素的特殊风险和要素之间相互作用网络的拓扑结构。虽然在给出上述两个属性后，人们对总体风险评估和风险传播给予了极大的关注，但对风险在网络中的分布及其与拓扑的关系知之甚少。我们通过调查240万家意大利公司的大型专有支付数据集来研究这个问题，这些公司的信用风险评级是已知的。我们记录了节点（企业）的局部拓扑性质与其风险之间的显著相关性。此外，我们还证明了风险的同质性的存在，即具有相似风险状况的公司在统计上更倾向于彼此之间的联系。当考虑网络中确定的成对企业和社区或等级时，就会观察到这种影响。我们利用这些知识，仅使用关联节点的网络属性来显示公司缺失评级的可预测性。
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分类信息：

一级分类：Computer Science        计算机科学
二级分类：Social and Information Networks        社会和信息网络
分类描述：Covers the design, analysis, and modeling of social and information networks, including their applications for on-line information access, communication, and interaction, and their roles as datasets in the exploration of questions in these and other domains, including connections to the social and biological sciences. Analysis and modeling of such networks includes topics in ACM Subject classes F.2, G.2, G.3, H.2, and I.2; applications in computing include topics in H.3, H.4, and H.5; and applications at the interface of computing and other disciplines include topics in J.1--J.7. Papers on computer communication systems and network protocols (e.g. TCP/IP) are generally a closer fit to the Networking and Internet Architecture (cs.NI) category.
涵盖社会和信息网络的设计、分析和建模，包括它们在联机信息访问、通信和交互方面的应用，以及它们作为数据集在这些领域和其他领域的问题探索中的作用，包括与社会和生物科学的联系。这类网络的分析和建模包括ACM学科类F.2、G.2、G.3、H.2和I.2的主题；计算应用包括H.3、H.4和H.5中的主题；计算和其他学科接口的应用程序包括J.1-J.7中的主题。关于计算机通信系统和网络协议（例如TCP/IP）的论文通常更适合网络和因特网体系结构（CS.NI）类别。
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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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