Abstract
In reality, there are two or more kinds of relationship between enterprises. Under the interaction of relationships, the path and intensity of credit risk contagion usually be changed, which makes the credit risk contagion more complex. Based on this, a dual-layer network is used to describe the topological structure of enterprise network within coexistence of asset and transaction relationship. A credit risk contagion model considering the interaction of relationships is constructed. And the influence of interaction on credit risk contagion is investigated. The results show that: Compared with the only asset relationship, the risk contagion threshold is smaller when the asset and transaction correlation coexist; the dual-layer network topology is an important factor affecting the contagion effect of credit risk; reducing the similarity of the dual-layer network can restrain the contagion of credit risk among enterprises.
| Original language | English |
|---|---|
| Pages (from-to) | 37-45 |
| Number of pages | 9 |
| Journal | Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice |
| Volume | 42 |
| Issue number | 1 |
| DOIs | |
| State | Published - 25 Jan 2022 |
Keywords
- Asset relationship
- Contagion effect
- Credit risk
- Dual-layer network
- Transaction relationship