Credit risk contagion based on asymmetric information association

DOI10.1155/2018/2929157zbMath1398.91645OpenAlexW2864826644MaRDI QIDQ1791109

Shanshan Jiang, Min Xia, Howard Fan

Publication date: 4 October 2018

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/2929157

zbMATH Keywords

credit riskcomplex network theoryasymmetric information associationcredit risk contagion modelfinancial market supervision

Mathematics Subject Classification ID

Communication networks in operations research (90B18) Credit risk (91G40)

Related Items (2)

Associated credit risk contagion with incubatory period: a network-based perspective ⋮ Information spreading on weighted multiplex social network

Cites Work

• Credit risk and contagion via self-exciting default intensity
• Network models and financial stability
• A network model of credit risk contagion
• Credit risk and asymmetric information: a simplified approach
• Self-organized societies: on the Sakoda model of social interactions
• Contagion risk in endogenous financial networks
• Contagion in financial networks
• Filling in the blanks: network structure and interbank contagion
• GRAPHICAL MODELS FOR CORRELATED DEFAULTS
• A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
• Fast simulations in credit risk

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