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Chinese Journal of Management Science ›› 2016, Vol. 24 ›› Issue (6): 10-18.doi: 10.16381/j.cnki.issn1003-207x.2016.06.002

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Spatial Interaction Theory-based Credit Risk Contagion Model for the CRT Network

CHEN Ting-qiang1,2, LI Xin-dan2, HE Jian-min3   

  1. 1. School of Economics and Management, Nanjing Tech University, Nanjing 211816, China;
    2. School of Management and Engineering, Nanjing University, Nanjing 210093, China;
    3. School of Economics and Management, Southeast University, Nanjing 211189, China
  • Received:2013-06-14 Revised:2014-01-20 Online:2016-06-20 Published:2016-07-05

Abstract: Based on the entropy spatial interaction theory, an entropy spatial model of credit risk contagion that combines with the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of the banks, and the appetite for risk of investors is build. By means of numerical simulation and the sensitivity analysis, it is found that the model can well describe the effect of the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of the banks, the concentration of credit risk of investor, the appetite for risk of investors, and the risk capacity on credit risk contagion in the CRT network. In addition, it is also indicated that credit risk contagion of the CRT network has "home market effects" and "correlation inhibition effects".

Key words: credit risk contagion, entropy spatial model, CRT network, spatial interaction theory

CLC Number: