Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
Joint Authors
Xiao, Binqing
Liu, Haifei
Chen, Ting-Qiang
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-03-06
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
We introduce an evolving network model of credit risk contagion in the credit risk transfer (CRT) market.
The model considers the spillover effects of infected investors, behaviors of investors and regulators, emotional disturbance of investors, market noise, and CRT network structure on credit risk contagion.
We use theoretical analysis and numerical simulation to describe the influence and active mechanism of the same spillover effects in the CRT market.
We also assess the reciprocal effects of market noises, risk preference of investors, and supervisor strength of financial market regulators on credit risk contagion.
This model contributes to the explicit investigation of the connection between the factors of market behavior and network structure.
It also provides a theoretical framework for considering credit risk contagion in an evolving network context, which is greatly relevant for credit risk management.
American Psychological Association (APA)
Chen, Ting-Qiang& Xiao, Binqing& Liu, Haifei. 2018. Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions. Complexity،Vol. 2018, no. 2018, pp.1-16.
https://search.emarefa.net/detail/BIM-1133013
Modern Language Association (MLA)
Chen, Ting-Qiang…[et al.]. Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions. Complexity No. 2018 (2018), pp.1-16.
https://search.emarefa.net/detail/BIM-1133013
American Medical Association (AMA)
Chen, Ting-Qiang& Xiao, Binqing& Liu, Haifei. Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions. Complexity. 2018. Vol. 2018, no. 2018, pp.1-16.
https://search.emarefa.net/detail/BIM-1133013
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1133013