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Stability analysis and fixed-time control of credit risk contagion

Author

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  • Ebrahimi Dehshalie, Maziar
  • Kabiri, Meisam
  • Ebrahimi Dehshali, Mahyar

Abstract

This paper explores the time-delay nonlinear Susceptible–Infected–Recovered (SIR) model describing the credit risk contagion. This model describes the propagation of the financial crisis in the network of markets interacting with each other. First, we study the exponential stability of the time-delay SIR model and find sufficient conditions to achieve it. Thereafter, based on the feedback from a group of markets, the suitable fixed-time control law is developed under which all the participants of the network become healthy. The conditions presented in both sections are based on Linear Matrix inequality. Finally, the simulations for the presented theoretic results are presented.

Suggested Citation

  • Ebrahimi Dehshalie, Maziar & Kabiri, Meisam & Ebrahimi Dehshali, Mahyar, 2021. "Stability analysis and fixed-time control of credit risk contagion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 131-139.
    • Handle: RePEc:eee:matcom:v:190:y:2021:i:c:p:131-139
    DOI: 10.1016/j.matcom.2021.05.024
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    References listed on IDEAS

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    1. Chiesa, Gabriella, 2008. "Optimal credit risk transfer, monitored finance, and banks," Journal of Financial Intermediation, Elsevier, vol. 17(4), pages 464-477, October.
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    9. repec:zbw:bofrdp:2013_019 is not listed on IDEAS
    10. Takada, Hideyuki & Sumita, Ushio, 2011. "Credit risk model with contagious default dependencies affected by macro-economic condition," European Journal of Operational Research, Elsevier, vol. 214(2), pages 365-379, October.
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    12. repec:acb:camaaa:2007-28 is not listed on IDEAS
    13. Fanelli, Viviana & Maddalena, Lucia, 2020. "A nonlinear dynamic model for credit risk contagion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 174(C), pages 45-58.
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