Credit risk contagion coupling with sentiment contagion
Shanshan Jiang and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 512, issue C, 186-202
The contagion law of credit risk is very important for financial market supervision. In the financial market, the interaction between credit risk holders’ sentiment and credit risk is the important factor of credit risk contagion. The existing credit risk contagion models based on complex network theory assume that the credit risk contagion is exogenous, and only analyze the proportion of the individuals infected by the credit risk from a macro perspective. However, existing models cannot explain the coupling relationship between credit risk contagion and emotional contagion, and how individuals are infected from a microscopic perspective is not clear. In this work, the theory of propagation dynamics in complex networks is introduced into the study of coupling relationship between credit risk contagion and sentiment contagion, which can reflect the endogenous problem of credit default in the process of credit risk contagion. The model can analyze the evolution process of individual risk contagion and sentiment contagion in the network, and can effectively reflect the risk contagion degree of individual. The proposed model further analyzes the influence of network structure, individual risk attitude, individual risk resisting ability, and financial market supervision on credit risk contagion and sentiment contagion. The correctness of the model is verified by theoretical deduction and numerical simulation.
Keywords: Complex network; Credit risk; Risk contagion; Sentiment contagion (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:512:y:2018:i:c:p:186-202
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().