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Chinese Journal of Management Science ›› 2014, Vol. 22 ›› Issue (11): 1-10.

• Articles •     Next Articles

Credit Risk Contagion Model Based on Complex Network

CHENG Ting-qiang1, HE Jian-min2   

  1. 1. School of Economics and Management, Nanjing Technology Vniversity, Nanjing 211816, China;
    2. School of Economics and Management, Southeast University, Nanjing 211189, China
  • Received:2012-09-16 Revised:2013-06-24 Online:2014-11-20 Published:2014-11-21

Abstract: The process of credit risk contagion based on the perspective of psychology and behavior of credit risk holders is analyzed firstly. A network model of credit risk contagion is given in which effect of agent behaviors of credit risk holders and financial market regulator and network structure are considered. By introducing the stochastic dominance theory, respectively driving mechanisms of credit risk contagion are discussed based on the relationships between of individuals, individual risk attitude, the individual ability to resist risk, the monitoring strength of financial market and social network structure, then the derived and proofed some propositions are verified by computer simulation.

Key words: complex network, credit risk contagion, psychology and behavior, stochastic dominance, network structure

CLC Number: