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Dynamics Evolution of Credit Risk Contagion in the CRT Market
Joint Authors
He, Jian-Min
Yin, Qunyao
Chen, Ting-Qiang
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-02-13
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This work introduces a nonlinear dynamics model of credit risk contagion in the credit risk transfer (CRT) market, which contains time delay, the contagion rate of credit risk, and nonlinear resistance.
The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through numerical simulation.
Meanwhile, numerical simulations show that, in the CRT market, the contagion rate of credit risk and the nonlinear resistance among CRT activities participants have some significant effects on the dynamics behaviors of evolution of credit risk contagion.
Specifically, on the one hand, we find that the status curve of credit risk contagion that causes some significant changes with the increase in the contagion rate of credit risk, moreover, emerges a series of Hopf bifurcation and chaotic phenomena in the process of credit risk contagion.
On the other hand, Hopf bifurcation and chaotic phenomena appear in advance with the increase in the nonlinear resistance coefficient and time-delay.
In addition, there are a series of periodic windows in the chaotic interval inside, including Hopf bifurcation, inverse bifurcation, and chaos.
American Psychological Association (APA)
Chen, Ting-Qiang& He, Jian-Min& Yin, Qunyao. 2013. Dynamics Evolution of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-454419
Modern Language Association (MLA)
Chen, Ting-Qiang…[et al.]. Dynamics Evolution of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-454419
American Medical Association (AMA)
Chen, Ting-Qiang& He, Jian-Min& Yin, Qunyao. Dynamics Evolution of Credit Risk Contagion in the CRT Market. Discrete Dynamics in Nature and Society. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-454419
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-454419