文章基本信息

标题：An Entropy Model of Credit Risk Contagion in the CRT Market
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作者：Tingqiang Chen ; Ying Chen ; Xindan Li 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2015
卷号：2015
DOI：10.1155/2015/397852
出版社：Hindawi Publishing Corporation
摘要：This paper reports the effect of the change in the credit status of debtors on investors as a result of the banks’ transferring of credit risk to investors in the credit risk transfer (CRT) market. Thus, an entropy spatial model is introduced, in which the spatial distance and nonlinear coupling between the banks and the investors, the transfer ability of credit risk of banks, and investor appetite for risk in the CRT network are considered. The contagion effects of the credit default of debtor on the default rates of investors in the CRT market are investigated using numerical simulation and sensitivity analysis.