An Entropy Model of Credit Risk Contagion in the CRT Market

被引：3

作者：

Chen, Tingqiang ^{[1
,2
]}

Chen, Ying ^{[1
]}

Li, Xindan ^{[1
]}

Wang, Jining ^{[2
]}

机构：

[1] Nanjing Univ, Sch Management & Engn, Nanjing 210093, Jiangsu, Peoples R China

[2] Nanjing Tech Univ, Sch Econ & Management, Nanjing 211816, Jiangsu, Peoples R China

来源：

DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2015年 / 2015卷

基金：

中国博士后科学基金; 中国国家自然科学基金;

关键词：

DEFAULT;

D O I：

10.1155/2015/397852

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper reports the effect of the change in the credit status of debtors on investors as a result of the banks' transferring of credit risk to investors in the credit risk transfer (CRT) market. Thus, an entropy spatial model is introduced, in which the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of banks, and investor appetite for risk in the CRT network are considered. The contagion effects of the credit default of debtor on the default rates of investors in the CRT market are investigated using numerical simulation and sensitivity analysis.

引用

页数：8

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