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The influence of risk attitude on credit risk contagion—Perspective of information dissemination

Qian Qian, Hairong Feng and Jing Gu

Physica A: Statistical Mechanics and its Applications, 2021, vol. 582, issue C

Abstract: The information related to enterprises’ credit level will disseminate among entrepreneurs through their relationships. Entrepreneurs with different risk attitudes may make different decisions even if they face the same information, which will affect the credit risk contagion among enterprises. This paper constructs a dual-layer network to describe relationships among entrepreneurs and enterprises, and builds a credit risk contagion model with the influence of information dissemination, then investigates the influence factors on the credit risk contagion by simulation analysis. The results are as follows: (1) The threshold of credit risk contagion is negatively correlated with the possibility of losing immunity and positively correlated with the possibility of recovery; (2) The number of infected enterprises decrease with the increasing of the social rate and dual-layer network similarity; (3) Strengthening information dissemination among entrepreneurs can control credit risk contagion among enterprises.

Keywords: Information dissemination; Credit risk contagion; Risk attitude; Dual-layer network (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121004994

DOI: 10.1016/j.physa.2021.126226

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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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