A nonlinear dynamic model for credit risk contagion

Fanelli, Viviana; Maddalena, Lucia

doi:10.1016/j.matcom.2020.02.010

Cited by 13 publications

(8 citation statements)

References 25 publications

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“…Then the problem becomes to minimize (17) subject to (16) over U[0, T ]. The existence of optimal control can be proved by Theorem 5.2 of [9] at page 68, detailed derivation is not shown.…”

Section: Optimal Controlmentioning

confidence: 99%

“…Credit risk contagion is the term used to describe the process by which one or more creditors pass on their credit risk to other creditors through a variety of monetary and psychological actions. It eventually causes the business to enter an economic crisis or have its credit score decline [17]. In recent years, credit risk liquidity has gradually increased, and the influence scope and effectiveness of credit risk contagion have become larger and larger.…”

Section: Introductionmentioning

confidence: 99%

“…Garas et al [23] simulated the crisis' spread throughout the global economic network using the SIR infectious disease model. Fanelli et al [17] proposed a SIR model with the time delay and saturation incidence rate to discuss the stability of credit risk contagion. Dehshalie et al [19], and Zhao et al [20] investigated the stability of credit risk contagion based on the infectious disease model.…”

Section: Introductionmentioning

confidence: 99%

“…Dehshalie et al [19], and Zhao et al [20] investigated the stability of credit risk contagion based on the infectious disease model. The stability in the literature [17,19,20] is asymptotic stability. Asymptotic or exponential stability, on the other hand, is a property of infinite time, which does not hold true for the actual financial market.…”

Section: Introductionmentioning

confidence: 99%

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Finite-time stability and optimal control for stochastic credit risk contagion model with sentiment

Shao

Zhang

et al. 2022

Preprint

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Counterparty sentiment and major uncertain factors always affect credit risk contagion in credit risk transfer (CRT) market. In order to effectively analyze credit risk contagion, this paper proposes a stochastic credit risk contagion model considering sentiments, in which the stochasticity is driven by Lévy process. Based on the Lyapunov function method, sufficient condition of finite-time stability is derived. The impacts of counterparty sentiment and Lévy process on credit risk contagion are analyzed. To effectively control credit risk contagion, the stochastic credit risk control model is established, and the optimal control strategy is given by using Pontryagin’s maximum principle. Numerical simulating results show the correctness and effectiveness of the theory.

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“…Then the problem becomes to minimize (17) subject to (16) over U[0, T ]. The existence of optimal control can be proved by Theorem 5.2 of [9] at page 68, detailed derivation is not shown.…”

Section: Optimal Controlmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Finite-time stability and optimal control for stochastic credit risk contagion model with sentiment

Shao

Zhang

et al. 2022

Preprint

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show abstract

“…Basically, this type of delay is highlighted for acquiring the realistic sides of the economic process [10][11][12][13][14][15][16]. It is important to emphasize that there are many mathematical models including distributed time delays, originating from population biology, epidemiology and economics [17][18][19][20][21][22][23][24][25][26][27][28][29][30][31][32][33].…”

Section: Introductionmentioning

confidence: 99%

Global Stability Analysis of a Five-Dimensional Unemployment Model with Distributed Delay

2021

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The present paper proposes a five-dimensional mathematical model for studying the labor market, focusing on unemployment, migration, fixed term contractors, full time employment and the number of available vacancies. The distributed time delay is considered in the rate of change of available vacancies that depends on the past regular employment levels. The non-dimensional mathematical model is introduced and the existence of the equilibrium points is analyzed. The positivity and boundedness of solutions are provided and global asymptotic stability findings are presented both for the employment free equilibrium and the positive equilibrium. The numerical simulations support the theoretical results.

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Research on the mechanism and application of spatial credit risk contagion based on complex network model

Ma,

Liu,

Zhao

et al. 2024

Manage Decis Econ

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Due to information asymmetry, spatial distance will affect the associated credit cooperation relationship among enterprises. This paper employed the real‐world economic data to construct the entropy spatial interaction complex network model, which effectively depicts the associated credit risk among enterprises with the consideration of the influence of spatial distance and regional economic development level. Based on the calculation experiment and the Moran index, this paper reveals the spatial correlation of the credit risk contagion in each region and builds the theoretical model for spatial correlation of credit risk contagion. The research findings indicate the facts as follows. Firstly, enterprises in regions with close spatial proximity or higher level of economic development are more likely to attract enterprises from other regions for cooperation. For instance, due to the close distance between cities and more advanced economy, the eastern coastal region in China presents more intensive enterprise cooperation with other regions. Second, the analysis using the global Moran index reveals a significant spatial credit risk contagion pattern in credit defaults during 2020, attributed to the impact of the COVID‐19 pandemic. Third, the risk contagion effect of long‐distance associated credit is more complex. With the increase of the infection rate of long‐distance linked credit risk, the system will enter a chaotic state, hindering accurate long‐term prediction.

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A nonlinear dynamic model for credit risk contagion

Cited by 13 publications

References 25 publications

Finite-time stability and optimal control for stochastic credit risk contagion model with sentiment

Finite-time stability and optimal control for stochastic credit risk contagion model with sentiment

Global Stability Analysis of a Five-Dimensional Unemployment Model with Distributed Delay

Research on the mechanism and application of spatial credit risk contagion based on complex network model

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