Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
type: Item
instance of: scholarly article
title: Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
zbMATH Open document ID: 1398.91637
DOI: 10.1155/2018/1843792
author: Binqing Xiao
author: Haifei Liu
author: Tingqiang Chen
published in: Complexity
publication date: 2018-09-27T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 90B10
zbMATH DE Number: 6944895
zbMATH Keywords: network model
zbMATH Keywords: credit risk
zbMATH Keywords: credit risk contagion
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/1843792
OpenAlex ID: W2790098840
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Wikidata QID: Q130188903
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description: scientific article; zbMATH DE number 6944895