相关论文: Credit contagion and credit risk

We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…

Contagion processes, representing the spread of infectious diseases, information, or social behaviors, are often schematized as taking place on networks, which encode for instance the interactions between individuals. The impact of the…

As global financial markets become increasingly interconnected, financial contagion has developed into a major influencer of asset price dynamics. Motivated by this context, our study explores financial contagion both within and between…

In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely,…

During contagion phenomena, individuals perceiving a risk of infection commonly adapt their behavior and reduce their exposure. The effects of such adaptive mechanisms have been studied for processes in which pairwise interactions drive…

When an infection spreads in a community, an individual's probability of becoming infected depends on both her susceptibility and exposure to the contagion through contact with others. While one often has knowledge regarding an individual's…

Interbank deposits (loans and credits) are quite common in banking system all over the world. Such interbank co-operation is profitable for banks but it can also lead to collective financial failures. In this paper we introduce a new model…

We compare two models of corporate default by calculating the Jeffreys-Kullback-Leibler divergence between their predicted default probabilities when asset correlations are either high or low. Our main results show that the divergence…

Many new models for measuring financial contagion have been presented recently. While these models have not been specified for investment funds directly, there are many similarities that could be explored to extend the models. In this work…

The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad…

We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on the cyclicity of bank credit. In a stable bank credit situation, no cycles of credit expansion or contraction appear.…

This paper investigates how dispersion in banks' subjective inflation forecasts is a channel of the transmission of monetary policy to credit supply. We extend the Monti-Klein model of monopolistic banking by incorporating risk aversion,…

Susceptibility governs the dynamics of contagion. The classical SIR model is one of the simplest compartmental models of contagion spread, assuming a single shared susceptibility level. However, variation in susceptibility over a population…

We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…

The spread of socially-learnt behaviours occurs in many animal species, and understanding how behaviours spread can provide novel insights into the causes and consequences of sociality. Within wild populations, behaviour spread is often…

The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…

The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…

Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…

Credit risk scorecards are logistic regression models, fitted to large and complex data sets, employed by the financial industry to model the probability of default of a potential customer. In order to ensure that a scorecard remains a…

We introduce a mathematical model that combines the concepts of complex contagion with payoff-biased imitation, to describe how social behaviors spread through a population. Traditional models of social learning by imitation are based on…