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GRA · 私募信贷

空间金融资本与危害、风险暴露和转型的交汇之处

面向私募信贷的网络科学与传导

Network science maps the links between private credit funds, banks, insurers, sponsors and borrowers. On this platform it shows shared loans, common lenders and funding dependencies through which stress could travel.

提出咨询 Back to STEM foundation of Private Credit
01登记

Network science and contagion for private credit on the record.

方法记录STEM 方法
  1. 方法网络科学与传染
  3. 应用于私募信贷
  4. 数据3 inputs
  6. 规范页面STEM 公共资源
02申请

What network science and contagion does here.

Network science and contagion study how the structure of connections among entities shapes the spread of failures, information and disease. It provides tools to analyse interdependent infrastructure, supply chains and financial 系统. In capital markets and investment and financial stability, network science identifies critical nodes and pathways through which shocks propagate across sectors. It informs targeted protection and diversification to limit cascades. The canonical description is on STEM Commons.

Shared loan networks

Matching borrowers across fund filings reveals how many funds hold the same loans and how distress at one borrower spreads across lenders.

Funding dependencies

Bank facilities to funds and insurer allocations to managers are mapped to show which institutions finance which parts of the market.

Stress propagation

Simulated borrower defaults are traced through fund leverage and investor links to estimate second-round effects on banks and insurers.

03压力测试

资产冲击如何演变为系统性损失。

银行间传染之后系统损失的权益，相对于最初的冲击，随杠杆、互联程度和回收率变化而变化，这是宏观审慎 压力测试的核心。这是带有明示示意数值的教学模型，不是预测。

控制措施

外部资产下降
2.0%
杠杆率（资产与权益之比）
10 倍
银行间资产占比
10%
银行间债权的回收
40%
体系内的银行
20
核心银行
占银行的 20%

读数

初始冲击造成的权益损失
18.0%
传染后的权益损失
45.0%
传染新增（DebtRank）
27.0 个点
违约银行
0
数字、方法与来源
轮次系统权益损失（%）违约银行
018.000
128.800
235.280
339.170
441.500
542.900
643.740
744.240
844.550
944.730
1044.840
1144.900
1244.940
1344.960
1444.980
1544.990
1644.990
1745.000
1845.000
1945.000
2045.000
2145.000
2245.000
2345.000
2445.000
2545.000
2645.000
2745.000
2845.000
2945.000
3045.000

方法

  1. DebtRank Battiston 等（2012），Scientific Reports 2:541
  2. 差异化 DebtRank Bardoscia and others (2015), PLOS ONE 10
  3. 金融网络中的传染 Gai and Kapadia (2010), Proc. R. Soc. A 466
  4. 金融网络中的清算 Eisenberg 和 Noe（2001），Management Science 47
  5. 不确定性扇形图（参数蒙特卡罗） Spiegelhalter, Pearson and Short (2011), Visualising uncertainty about the future, Science 333
  6. 单因素敏感性（龙卷风图） Saltelli and others (2008), Global Sensitivity Analysis: The Primer, Wiley

数据

No observed data enters this model: it runs on the teaching values set by the controls, to be replaced with a programme’s own evidence.

资产冲击如何演变为系统损失。示意性教学模型：它依据控件设定的数值运行，而不是实测数据。方法：DebtRank（Battiston 等（2012），Scientific Reports 2:541）；Differential DebtRank（Bardoscia 等（2015），PLOS ONE 10）；金融网络中的传染（Gai 和 Kapadia（2010），Proc. R. Soc. A 466）。

贯穿六大支柱，由 Nexus Consortium 牵头

04数据

该方法使用的输入。

Datasets and records used by network science and contagion on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.

数据角色标签
BDC holdingsLoan links已发布统计
Supervisory exposure dataFunding links已发布统计
Insurer statutory filingsInvestor links已发布统计
05风险暴露、损失与资本

What network science and contagion for private credit means for exposure, loss and capital.

风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。

传导渠道

How a shock in network science and contagion for private credit reaches credit, market, underwriting, liquidity and operational risk, and feeds back.

Channel structure after the Basel Committee’s work on climate-related risk drivers and transmission channels; links shown are typical paths, not estimated exposures.
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
06验证

结果如何核查。

Models are checked by reproducing observed cascades and outbreaks. Robustness of results to missing or uncertain links is tested.

核查如何开展
Entity matchingBorrower and fund names are matched with documented rules
Coverage statedUnobserved parts of the network are acknowledged
Scenario realismSimulated shocks reflect plausible events

Network data are often incomplete or confidential. Static network models may miss adaptive behaviour during cascades.

07关联

依赖该方法的主题。

08管理责任

由谁维护该方法。

系统科学与建模 stewards network science and contagion for the Consortium and reviews how it is applied across platforms.

Canonical page: Network science and contagion

09已关联

本页在整个联合体中通向何处。

10问题

问题与解答。

What are the limits of network science and contagion in this field?
Network data are often incomplete or confidential. Static network models may miss adaptive behaviour during cascades.
结果如何核查？
Models are checked by reproducing observed cascades and outbreaks. Robustness of results to missing or uncertain links is tested.
本页面上的数值是真实的吗？
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献

从本页贡献证据。

报告 is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.

全球风险联盟（Global Risks Alliance）私募信贷金融与保险准备度情景与压力测试

切勿发送个人数据、敏感基础设施细节或您无权分享的任何内容。贡献在使用前会经过审查；发送贡献不赋予署名权或编辑权，赞助也绝不能换取研究结论。

私募信贷

向联盟提出风险暴露或资本问题。

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法律

本网站上的地图、数据和图表仅作为背景和一般信息展示。它们不是建议、预测或预警；信息的局限见免责声明和数据说明。