An evolving network model of credit risk contagion in the financial market
| Autor: | Tingqiang Chen, Jianmin He, Xindan Li |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: | |
| Zdroj: | Technological and Economic Development of Economy, Vol 23, Iss 1 (2017) |
| Druh dokumentu: | article |
| ISSN: | 20294913 2029-4913 2029-4921 |
| DOI: | 10.3846/20294913.2015.1095808 |
| Popis: | This paper introduces an evolving network model of credit risk contagion containing the average fitness of credit risk contagion, the risk aversion sentiments, and the ability of resist risk of credit risk holders. We discuss the effects of the aforementioned factors on credit risk contagion in the financial market through a series of theoretical analysis and numerical simulations. We find that, on one hand, the infected path distribution of the network gradually increases with the increase in the average fitness of credit risk contagion and the risk aversion sentiments of nodes, but gradually decreases with the increase in the ability to resist risk of nodes. On the other hand, the average fitness of credit risk contagion and the risk aversion sentiments of nodes increase the average clustering coefficient of nodes, whereas the ability to resist risk of nodes decreases this coefficient. Moreover, network size also decreases the average clustering coefficient. First published online: 29 Feb 2016 |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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