scholarly journals Dynamics Evolution of Credit Risk Contagion in the CRT Market

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Tingqiang Chen ◽  
Jianmin He ◽  
Qunyao Yin
Keyword(s):  
Hopf Bifurcation ◽  
Time Delay ◽  
Credit Risk ◽  
Resistance Coefficient ◽  
Chaotic Phenomena ◽  
Credit Risk Transfer ◽  
The Status ◽  
The One ◽  
Credit Risk Contagion ◽  
Nonlinear Resistance

This work introduces a nonlinear dynamics model of credit risk contagion in the credit risk transfer (CRT) market, which contains time delay, the contagion rate of credit risk, and nonlinear resistance. The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through numerical simulation. Meanwhile, numerical simulations show that, in the CRT market, the contagion rate of credit risk and the nonlinear resistance among CRT activities participants have some significant effects on the dynamics behaviors of evolution of credit risk contagion. Specifically, on the one hand, we find that the status curve of credit risk contagion that causes some significant changes with the increase in the contagion rate of credit risk, moreover, emerges a series of Hopf bifurcation and chaotic phenomena in the process of credit risk contagion. On the other hand, Hopf bifurcation and chaotic phenomena appear in advance with the increase in the nonlinear resistance coefficient and time-delay. In addition, there are a series of periodic windows in the chaotic interval inside, including Hopf bifurcation, inverse bifurcation, and chaos.

scholarly journals Complex Dynamics of Credit Risk Contagion with Time-Delay and Correlated Noises

2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Tingqiang Chen ◽  
Xindan Li ◽  
Jianmin He
Keyword(s):  
Dynamical System ◽  
Time Delay ◽  
Probability Distribution ◽  
Credit Risk ◽  
Resistance Coefficient ◽  
Stationary Probability ◽  
Stationary Probability Distribution ◽  
Credit Risk Contagion ◽  
Nonlinear Resistance ◽  
White Noises

The stochastic time-delayed system of credit risk contagion driven by correlated Gaussian white noises is investigated. Novikov’s theorem, the time-delay approximation, the path-integral approach, and first-order perturbation theory are used to derive time-delayed Fokker-Planck model and the stationary probability distribution function of the dynamical system of credit risk contagion in the financial market. Using the method of numerical simulation, the Hopf bifurcation and chaotic behaviors of credit risk contagion are analyzed when time-delay and nonlinear resistance coefficient are varied and the effects of time-delay, nonlinear resistance and the intensity and the correlated degree of correlated Gaussian white noises on the stationary probability distribution of credit risk contagion are investigated. It is found that, as the infectious scale of credit risk and the wavy frequency of credit risk contagion are increased, the stability of the system of credit risk contagion is reduced, the dynamical system of credit risk contagion gives rise to chaotic phenomena, and the chaotic area increases gradually with the increase in time-delay. The nonlinear resistance only influences the infectious scale and range of credit risk, which is reduced when the nonlinear resistance coefficient increases. In addition, the curve of the stationary probability distribution is monotone decreasing with the increase in parameters value of time-delay, nonlinear resistance, and the intensity and the correlated degree of correlated Gaussian white noises.

BIFURCATION AND CHAOTIC BEHAVIOR OF CREDIT RISK CONTAGION BASED ON FITZHUGH–NAGUMO SYSTEM

2013 ◽  
Vol 23 (07) ◽  
pp. 1350117 ◽  
Author(s):  
TINGQIANG CHEN ◽  
JIANMIN HE ◽  
JINING WANG
Keyword(s):  
Time Delay ◽  
Credit Risk ◽  
White Noise ◽  
Chaotic Behavior ◽  
Gaussian White Noise ◽  
Chaotic Oscillation ◽  
System Stability ◽  
Periodic Signal ◽  
Credit Risk Contagion ◽  
Nonlinear Resistance

This work introduces a FitzHugh–Nagumo (FHN) model of credit risk contagion based on the FHN system, which contains time-delay, Gaussian white noise, delayed feedback, weak periodic signal, and nonlinear resistance. The model depicts the dynamics behavior characteristics of evolution of credit risk contagion through simulation experiments. Meanwhile, numerical simulations show that, in a financial market, the dynamics system stability of credit risk contagion is positively related to the nonlinear resistance among participants of credit activities and to the inherent recovery capability attributed to the after-credit risk impact on economic subjects. However, the dynamics system stability of credit risk contagion is negatively related to the time-delay of credit risk contagion, the strength of Gaussian white noise, and the weak-signal cycle. Furthermore, the dynamics system of credit risk contagion introduces a series of Hopf bifurcation, inverse bifurcation and different degrees of chaotic oscillation phenomena with changes in these parameters.

scholarly journals An Entropy Model of Credit Risk Contagion in the CRT Market

2015 ◽  
Vol 2015 ◽  
pp. 1-8 ◽  
Author(s):  
Tingqiang Chen ◽  
Ying Chen ◽  
Xindan Li ◽  
Jining Wang
Keyword(s):  
Credit Risk ◽  
Spatial Model ◽  
Spatial Distance ◽  
Entropy Model ◽  
Risk Transfer ◽  
Contagion Effects ◽  
Default Rates ◽  
Credit Default ◽  
Credit Risk Transfer ◽  
Credit Risk Contagion

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.

scholarly journals Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Tingqiang Chen ◽  
Binqing Xiao ◽  
Haifei Liu
Keyword(s):  
Credit Risk ◽  
Network Model ◽  
Network Structure ◽  
Behavioral Interventions ◽  
Spillover Effects ◽  
Credit Risk Management ◽  
Risk Transfer ◽  
Credit Risk Transfer ◽  
Market Noise ◽  
Credit Risk Contagion

We introduce an evolving network model of credit risk contagion in the credit risk transfer (CRT) market. The model considers the spillover effects of infected investors, behaviors of investors and regulators, emotional disturbance of investors, market noise, and CRT network structure on credit risk contagion. We use theoretical analysis and numerical simulation to describe the influence and active mechanism of the same spillover effects in the CRT market. We also assess the reciprocal effects of market noises, risk preference of investors, and supervisor strength of financial market regulators on credit risk contagion. This model contributes to the explicit investigation of the connection between the factors of market behavior and network structure. It also provides a theoretical framework for considering credit risk contagion in an evolving network context, which is greatly relevant for credit risk management.

Hidden “holes” in the capital of banks and the supply of credit to the real sector of economy

2018 ◽  
pp. 49-68 ◽  
Author(s):  
M. E. Mamonov
Keyword(s):  
Credit Risk ◽  
The Other ◽  
Real Sector ◽  
Capital Management ◽  
Loan Loss ◽  
Short Term ◽  
The Real ◽  
Ex Post ◽  
The One

Our analysis documents that the existence of hidden “holes” in the capital of not yet failed banks - while creating intertemporal pressure on the actual level of capital - leads to changing of maturity of loans supplied rather than to contracting of their volume. Long-term loans decrease, whereas short-term loans rise - and, what is most remarkably, by approximately the same amounts. Standardly, the higher the maturity of loans the higher the credit risk and, thus, the more loan loss reserves (LLP) banks are forced to create, increasing the pressure on capital. Banks that already hide “holes” in the capital, but have not yet faced with license withdrawal, must possess strong incentives to shorten the maturity of supplied loans. On the one hand, it raises the turnovers of LLP and facilitates the flexibility of capital management; on the other hand, it allows increasing the speed of shifting of attracted deposits to loans to related parties in domestic or foreign jurisdictions. This enlarges the potential size of ex post revealed “hole” in the capital and, therefore, allows us to assume that not every loan might be viewed as a good for the economy: excessive short-term and insufficient long-term loans can produce the source for future losses.

Credit Risk Transfer and the Forecasting of Bank Defaults

2009 ◽  
Author(s):  
Giovanni Calice ◽  
Christos Ioannidis ◽  
Julian M. Williams
Keyword(s):  
Credit Risk ◽  
Risk Transfer ◽  
Credit Risk Transfer

The Futurists. Experts in World Futures

2018 ◽  
Author(s):  
Jenny Andersson
Keyword(s):  
Cold War ◽  
Status Quo ◽  
The Other ◽  
Futures Studies ◽  
The Future ◽  
The Status ◽  
The One ◽  
The Cold War ◽  
Images Of The Future ◽  
The Way

Alvin Toffler’s writings encapsulated many of the tensions of futurism: the way that futurology and futures studies oscillated between forms of utopianism and technocracy with global ambitions, and between new forms of activism, on the one hand, and emerging forms of consultancy and paid advice on the other. Paradoxically, in their desire to create new images of the future capable of providing exits from the status quo of the Cold War world, futurists reinvented the technologies of prediction that they had initially rejected, and put them at the basis of a new activity of futures advice. Consultancy was central to the field of futures studies from its inception. For futurists, consultancy was a form of militancy—a potentially world altering expertise that could bypass politics and also escaped the boring halls of academia.

scholarly journals Dynamical analysis of a giving up smoking model with time delay

2019 ◽  
Vol 2019 (1) ◽  
Author(s):  
Zizhen Zhang ◽  
Ruibin Wei ◽  
Wanjun Xia
Keyword(s):  
Hopf Bifurcation ◽  
Time Delay ◽  
Local Stability ◽  
Center Manifold ◽  
Dynamical Behavior ◽  
Sufficient Conditions ◽  
Dynamical Analysis ◽  
Normal Form Theory ◽  
Center Manifold Theorem ◽  
Form Theory

AbstractIn this paper, we are concerned with a delayed smoking model in which the population is divided into five classes. Sufficient conditions guaranteeing the local stability and existence of Hopf bifurcation for the model are established by taking the time delay as a bifurcation parameter and employing the Routh–Hurwitz criteria. Furthermore, direction and stability of the Hopf bifurcation are investigated by applying the center manifold theorem and normal form theory. Finally, computer simulations are implemented to support the analytic results and to analyze the effects of some parameters on the dynamical behavior of the model.

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