An entropy model of credit risk contagion in the CRT market

DOI10.1155/2015/397852zbMath1418.91565OpenAlexW2088441925WikidataQ59105868 ScholiaQ59105868MaRDI QIDQ1723317

Xianqiang Yang

Publication date: 19 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/397852

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (2)

Dynamic evolution of securities market network structure under acute fluctuation circumstances ⋮ A nonlinear dynamic model for credit risk contagion

Cites Work

• Default and information
• A network model of credit risk contagion
• Dynamics evolution of credit risk contagion in the CRT market
• BIFURCATION AND CHAOTIC BEHAVIOR OF CREDIT RISK CONTAGION BASED ON FITZHUGH–NAGUMO SYSTEM
• Modelling bonds and credit default swaps using a structural model with contagion

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