Associated Credit Risk Contagion with Incubatory Period: A Network-Based Perspective

Abstract

Associated credit risk is a kind of credit risk among the associated credit entities formed by credit-related entities. Focusing on this hot topic of associated credit risk and the relevant contagion and considering the latent entities and their incubatory period, this paper builds an infectious dynamic model to describe the associated credit risk contagion of associated credit entities based on the mean-field theory of complex networks. Firstly, this paper analyzes the stable state of the associated credit risk contagion in the associated entity network, considering the latent entities and their incubatory period. Secondly, from the perspective of complex network and considering the incubatory period, a SHIS model is built to reveal how the incubatory period influences associated credit risk contagion. Finally, the sensitivity of some parameters is analyzed in the Barabási–Albert (BA) scale-free network. The results show the following: (i) the contagion threshold of associated credit risk is related to the incubatory period of latent entities, the recovery rate and infectivity of infected entities, and the newborn rate of credit entities; (ii) the infectious rate of infected entities, the mortality rate of credit entities, and the important factors stated in (i) are all significantly correlated with the density of infected entities.

The Credit Risk Contagion Mechanism of Financial Guarantee Network: An Application of the SEIR‐Epidemic Model

“…e association network of a credit subject has the same type of network nature as occurs within society, biology, and communication, and the credit risk infection is similar to the spread of infectious diseases and viruses [53,55]. erefore, based on the classical SEIR model and the research hypotheses of Sun and Li [11], this paper considers the existence of risk latency period, constructs a SEIR contagion model of credit risk contagion process in financial guarantee network, and explores the contagion mechanism of corporate credit risk to make the study more relevant to the actual situation.…”

Research on Contagion and the Influencing Factors of Personal Credit Risk based on a Complex Network

“…ese characteristics exist in the financial network. e scale-free characteristic exists in the previous networks of the Chinese financial market, European overnight lending market, and the American, Japanese, Australian, and Brazilian banks [2,[19][20][21]. e network structures of supply chain markets and stock markets also have a scale-free characteristic [5,22,23].…”

“…Zhao et al [5] used an SIS epidemic model to simulate the diffusion process of credit risk. Xu et al [20] based their work on the mean field theory of a complex network, and they used the infectious disease model to describe the infectious mechanism of the associated credit risk in the management agent network. Petrone and Latora [36] introduced a dynamic model to quantify the systemic risk by incorporating credit risks with various transmission mechanisms in the bank credit risk network.…”

“…In order to simulate the credit risk contagion in complex networks more effectively, we set different parameter values for simulation to explore the influencing factors of credit risk contagion. In the aspect of parameter selection, this article refers to the research of Zhao et al [5,20]. At first, there are only susceptible subjects in the association network, and S k (t) (T) � 1.…”