相关论文: Credit contagion and credit risk

We study proliferation of an action in binary action network coordination games that are generalized to include global effects. This captures important aspects of proliferation of a particular action or narrative in online social networks,…

We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings…

We motivate and explore the basic features of generalized contagion, a model mechanism that unifies fundamental models of biological and social contagion. Generalized contagion builds on the elementary observation that spreading and…

Current tests for contagion in social network studies are vulnerable to the confounding effects of latent homophily (i.e., ties form preferentially between individuals with similar hidden traits). We demonstrate a general method to lower…

Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have been studied extensively. Drawing…

The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…

We investigate opinion spreading by a threshold model in a situation where the influence of people is heterogeneously distributed. We focus on the response of the average opinion as a function between the trend between out-degree (number of…

This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Using a multivariate normal Copula function for the joint default…

Global trade of material goods involves the potential to create pathways for the spread of infectious pathogens. One trade sector in which this synergy is clearly critical is that of wildlife trade networks. This highly complex system…

If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of the capital calculations conducted with…

Single contagion processes are known to display a continuous transition from an epidemic-free phase at low contagion rates to the epidemic state for rates above a critical threshold. This transition can become discontinuous when two simple…

As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…

An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of…

Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been…

Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…

We investigate the effects of cooperativity between contagion processes that spread and persist in a host population. We propose and analyze a dynamical model in which individuals that are affected by one transmissible agent $A$ exhibit a…

The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…

We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks in a financial system. Based on the…

In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…