Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions

Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions

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...

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Main Authors: Tingqiang Chen, Binqing Xiao, Haifei Liu
Format: Article
Language:English
Published: Hindawi-Wiley 2018-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2018/1843792
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spelling doaj-b08329803ac4443598e7f3367b8085fe2020-11-25T02:52:06ZengHindawi-WileyComplexity1076-27871099-05262018-01-01201810.1155/2018/18437921843792Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral InterventionsTingqiang Chen0Binqing Xiao1Haifei Liu2School of Economics and Management, Nanjing Tech University, Nanjing 211816, ChinaSchool of Management and Engineering, Nanjing University, Nanjing 210093, ChinaSchool of Management and Engineering, Nanjing University, Nanjing 210093, ChinaWe 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.http://dx.doi.org/10.1155/2018/1843792
collection DOAJ
language English
format Article
sources DOAJ
author Tingqiang Chen
Binqing Xiao
Haifei Liu
spellingShingle Tingqiang Chen
Binqing Xiao
Haifei Liu
Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
Complexity
author_facet Tingqiang Chen
Binqing Xiao
Haifei Liu
author_sort Tingqiang Chen
title Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
title_short Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
title_full Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
title_fullStr Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
title_full_unstemmed Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions
title_sort credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
publisher Hindawi-Wiley
series Complexity
issn 1076-2787
1099-0526
publishDate 2018-01-01
description 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.
url http://dx.doi.org/10.1155/2018/1843792
work_keys_str_mv AT tingqiangchen creditriskcontagioninanevolvingnetworkmodelintegratingspillovereffectsandbehavioralinterventions
AT binqingxiao creditriskcontagioninanevolvingnetworkmodelintegratingspillovereffectsandbehavioralinterventions
AT haifeiliu creditriskcontagioninanevolvingnetworkmodelintegratingspillovereffectsandbehavioralinterventions
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