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Agent Simulation of Chain Bankruptcy  

CERN Document Server

We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a capital deficit. Model parameters were estimated using financial data for 1,077 listed Japanese firms. Simulations of chain bankruptcy on the real transaction network consisting of those 1,077 firms were made with the estimated model parameters. Given an initial bankrupt firm, a list of chain bankrupt firms was obtained. This model can be used to detect high-risk links in a transaction network, for the management of chain bankruptcy.

2007-01-01

2

Large-scale structure of a nation-wide production network  

CERN Document Server

Production in economy is a set of firms' activities as suppliers and customers; a firm buys goods from other firms, puts added-values and sells products to others in a giant network of production. Empirical study has been lacking despite of the fact that the structure of production network is important to understand and make models for many aspects of dynamics in economy. We study a nation-wide production network comprising a million of firms and millions of supplier-customer links by using recent statistical methods developed in physics. We show in the empirical analysis scale-free degree distribution, disassortativity, correlation of degree to firm-size, and community structure having sectoral and regional modules. Since suppliers usually provide credit to their customers, who supply to theirs in turn, each link is actually a creditor-debtor relation. We also study chains of failures or bankruptcies that take place along those links in the network, and the ...

2008-01-01