Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

Lee, Yongwoong; Poon, Ser‐Huang

doi:10.21314/jcr.2014.172

Cited by 5 publications

(2 citation statements)

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“…Literally, credit also means honesty and trust. It can be seen that credit often appears in the moral and ethical dimensions of economic life and is a relatively broad concept [20]. On a narrower level, credit specifically refers to the behavior of the goods or currency holder (creditor) to provide the borrower (debtor) with the goods or currency under the condition that the other party promises to repay, which is essentially a debt-debt relationship.…”

Section: Credit and Credit Credit Information In English Ismentioning

confidence: 99%

Big Data Credit Report in Credit Risk Management of Consumer Finance

Xiao

2021

Wireless Communications and Mobile Computing

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Traditional consumer finance is a modern financial service method that provides consumer loans to consumers of all classes. With the gradual improvement of China’s credit reporting system, big data credit reporting has effectively made up for the lack of traditional credit reporting and has been widely used in the consumer finance industry. In this context, the in-depth analysis of the specific application of big data credit reporting in the credit risk management of consumer finance and the strengthening of the research on the application of big data credit reporting in the credit risk management of consumer finance are urgently needed to be resolved in the economic and financial theoretical and practical circles’ problem. This article mainly studies the research on credit risk management of consumer finance by big data. The experimental results of this paper show that the model has a good forecasting ability, can distinguish between normal loan customers and default loan customers, and is suitable for practical personal credit risk control business. The prediction accuracy of the default model of the fusion model is 97.14%, and the default rate corresponding to the actual business is 2.86%. By combining the risk items such as the blacklist and gray list in the Internet finance industry, the bad debt rate and illegal usury can be well controlled to meet industry supervision.

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Section: Credit and Credit Credit Information In English Ismentioning

confidence: 99%

Big Data Credit Report in Credit Risk Management of Consumer Finance

Xiao

2021

Wireless Communications and Mobile Computing

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“…At present, the research on the contagion model of credit risk in the financial market mainly includes the following three categories: the simplified model, the structured model, and the complex network evolution model. The stochastic theory-based simplified model and structured model are used to describe the impact and contagion effects on the creditor under different circumstances of credit default strength and default loss rate of the debtor [5][6][7][8][9][10]. The method of structural model assumes that the dynamic process of corporate assets depends on a set of common state variables, and that the interfirm default correlation arises from the dynamic evolution of the firm's asset value [9].…”

Section: Introductionmentioning

confidence: 99%

Credit Risk Contagion Based on Asymmetric Information Association

2018

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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.

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Investor behavior, information disclosure strategy and counterparty credit risk contagion

Wang

Chen

2019

Chaos, Solitons & Fractals

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Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

Cited by 5 publications

References 0 publications

Big Data Credit Report in Credit Risk Management of Consumer Finance

Big Data Credit Report in Credit Risk Management of Consumer Finance

Credit Risk Contagion Based on Asymmetric Information Association

Investor behavior, information disclosure strategy and counterparty credit risk contagion

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