Abstract: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 ef… Show more
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