A Network Model of Credit Risk Contagion

被引：21

作者：

Chen, Ting-Qiang ^{[1
]}

He, Jian-Min ^{[1
]}

机构：

[1] Southeast Univ, Sch Econ & Management, Nanjing 211189, Jiangsu, Peoples R China

来源：

DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2012年 / 2012卷

基金：

中国国家自然科学基金;

关键词：

INVESTOR SENTIMENT; SYSTEMIC RISK;

D O I：

10.1155/2012/513982

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A network model of credit risk contagion is presented, in which the effect of behaviors of credit risk holders and the financial market regulators and the network structure are considered. By introducing the stochastic dominance theory, we discussed, respectively, the effect mechanisms of the degree of individual relationship, individual attitude to credit risk contagion, the individual ability to resist credit risk contagion, the monitoring strength of the financial market regulators, and the network structure on credit risk contagion. Then some derived and proofed propositions were verified through numerical simulations.

引用

页数：13

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