An Entropy Model of Credit Risk Contagion in the CRT Market
Joint Authors
Li, Xindan
Wang, Jining
Chen, Ying
Chen, Ting-Qiang
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-04-05
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper reports the effect of the change in the credit status of debtors on investors as a result of the banks’ transferring of credit risk to investors in the credit risk transfer (CRT) market.
Thus, an entropy spatial model is introduced, in which the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of banks, and investor appetite for risk in the CRT network are considered.
The contagion effects of the credit default of debtor on the default rates of investors in the CRT market are investigated using numerical simulation and sensitivity analysis.
American Psychological Association (APA)
Chen, Ting-Qiang& Chen, Ying& Li, Xindan& Wang, Jining. 2015. An Entropy Model of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society،Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1060493
Modern Language Association (MLA)
Chen, Ting-Qiang…[et al.]. An Entropy Model of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society No. 2015 (2015), pp.1-8.
https://search.emarefa.net/detail/BIM-1060493
American Medical Association (AMA)
Chen, Ting-Qiang& Chen, Ying& Li, Xindan& Wang, Jining. An Entropy Model of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society. 2015. Vol. 2015, no. 2015, pp.1-8.
https://search.emarefa.net/detail/BIM-1060493
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1060493