Credit Risk Contagion Based on Asymmetric Information Association
Joint Authors
Jiang, Shanshan
Fan, Hong
Xia, Min
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-07-11
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
The study of the contagion law of credit risk is very important for financial market supervision.
The existing credit risk contagion models based on complex network theory assume that the information between individuals in the network is symmetrical and analyze the proportion of the individuals infected by the credit risk from a macro perspective.
However, how individuals are infected from a microscopic perspective is not clear, besides the level of the infection of the individuals is characterized by only two states: completely infected or not infected, which is not realistic.
In this paper, a credit risk contagion model based on asymmetric information association is proposed.
The model can effectively describe the correlation among individuals with credit risk.
The model can analyze how the risk individuals are infected in the network and can effectively reflect the risk contagion degree of the individual.
This paper further analyzes the influence of network structure, information association, individual risk attitude, financial market supervision intensity, and individual risk resisting ability on individual risk contagion.
The correctness of the model is verified by theoretical deduction and numerical simulation.
American Psychological Association (APA)
Jiang, Shanshan& Fan, Hong& Xia, Min. 2018. Credit Risk Contagion Based on Asymmetric Information Association. Complexity،Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1133438
Modern Language Association (MLA)
Jiang, Shanshan…[et al.]. Credit Risk Contagion Based on Asymmetric Information Association. Complexity No. 2018 (2018), pp.1-11.
https://search.emarefa.net/detail/BIM-1133438
American Medical Association (AMA)
Jiang, Shanshan& Fan, Hong& Xia, Min. Credit Risk Contagion Based on Asymmetric Information Association. Complexity. 2018. Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1133438
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1133438