Credit Risk Contagion Based on Asymmetric Information Association
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 infe...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/2929157 |
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| _version_ | 1832561766801866752 |
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| author | Shanshan Jiang Hong Fan Min Xia |
| author_facet | Shanshan Jiang Hong Fan Min Xia |
| author_sort | Shanshan Jiang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-5b22a70cc530419494a94307a2b07e9e |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-5b22a70cc530419494a94307a2b07e9e2025-02-03T01:24:14ZengWileyComplexity1076-27871099-05262018-01-01201810.1155/2018/29291572929157Credit Risk Contagion Based on Asymmetric Information AssociationShanshan Jiang0Hong Fan1Min Xia2Glorious Sun School of Business and Management, Donghua University, Shanghai 200051, ChinaGlorious Sun School of Business and Management, Donghua University, Shanghai 200051, ChinaJiangsu Key Laboratory of Big Data Analysis Technology, Nanjing University of Information Science and Technology, Nanjing 210044, ChinaThe 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.http://dx.doi.org/10.1155/2018/2929157 |
| spellingShingle | Shanshan Jiang Hong Fan Min Xia Credit Risk Contagion Based on Asymmetric Information Association Complexity |
| title | Credit Risk Contagion Based on Asymmetric Information Association |
| title_full | Credit Risk Contagion Based on Asymmetric Information Association |
| title_fullStr | Credit Risk Contagion Based on Asymmetric Information Association |
| title_full_unstemmed | Credit Risk Contagion Based on Asymmetric Information Association |
| title_short | Credit Risk Contagion Based on Asymmetric Information Association |
| title_sort | credit risk contagion based on asymmetric information association |
| url | http://dx.doi.org/10.1155/2018/2929157 |
| work_keys_str_mv | AT shanshanjiang creditriskcontagionbasedonasymmetricinformationassociation AT hongfan creditriskcontagionbasedonasymmetricinformationassociation AT minxia creditriskcontagionbasedonasymmetricinformationassociation |