Credit risk contagion based on asymmetric information association
type: Item
instance of: scholarly article
title: Credit risk contagion based on asymmetric information association
zbMATH Open document ID: 1398.91645
DOI: 10.1155/2018/2929157
author: Shanshan Jiang
author: Min Xia
author: Howard Fan
published in: Complexity
publication date: 2018-10-04T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 90B18
zbMATH DE Number: 6946939
zbMATH Keywords: credit risk
zbMATH Keywords: financial market supervision
zbMATH Keywords: complex network theory
zbMATH Keywords: credit risk contagion model
zbMATH Keywords: asymmetric information association
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2018/2929157
OpenAlex ID: W2864826644
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description: scientific article; zbMATH DE number 6946939