Abstract
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.
Highlights
Over the past few years, with the significant development of nonlinear science, economists have gradually started to use nonlinear theory to study the complex phenomena of social economic system [1,2,3,4,5,6,7]
We find that the status of credit risk contagion changes gradually from “hyperbolic attenuation” to “logarithm Gauss attenuation,” and the influence strength and range of credit risk contagion emerge nonlinear velocity increasing with the increase in the effective contagion rate λ of credit risk in Credit risk transfer (CRT) market
We constructed a nonlinear dynamic model of credit risk contagion based on literatures [17,18,19]
Summary
Over the past few years, with the significant development of nonlinear science, economists have gradually started to use nonlinear theory to study the complex phenomena of social economic system [1,2,3,4,5,6,7]. Discrete Dynamics in Nature and Society contagion has complex nonlinearity It will increase the difficulty of the prediction and control of credit risk in CRT market and bring great challenges to credit risk management departments. The existing literature showed that the rapid development of the CRT market increased the possibility of credit risk contagion across departments and trade. Nonlinear dynamic behaviors are obvious in credit risk contagion due to the complex network relationships, the continuous innovation of CRT tools, and the asymmetric information in CRT market.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
