An evolving network model of credit risk contagion in the financial market. Issue 1 (2nd January 2017)

• Record Type: Journal Article
• Authors: Chen, Tingqiang; He, Jianmin; Li, Xindan
• Is Part Of: Technological and economic development of economy. Volume 23:Issue 1(2017)
• Page Start: 22
• Page End: 37
• Publication Date: 2017-01-02
• Subjects: credit risk contagion -- preferential node deletion -- behavioral factors -- evolving network model; A12 -- C15 -- C80 -- E22 -- E44 -- G32; Sustainable development -- Periodicals; Construction industry -- Technological innovations -- Lithuania -- Periodicals; Construction industry -- Capital productivity -- Lithuania -- Periodicals; Construction industry -- Capital productivity; Construction industry -- Technological innovations; Lithuania; Periodicals; 338.4762409479
• DOI: 10.3846/20294913.2015.1095808
• Languages: English
• ISSNs: 2029-4913

Abstract

Abstract: 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.