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Credit contagion in a network of firms with spatial interaction

Citations

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Cited by:

  1. Qian, Qian & Feng, Hairong & Gu, Jing, 2021. "The influence of risk attitude on credit risk contagion—Perspective of information dissemination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  2. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
  3. Medina-Olivares, Victor & Calabrese, Raffaella & Dong, Yizhe & Shi, Baofeng, 2022. "Spatial dependence in microfinance credit default," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1071-1085.
  4. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  5. 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.
  6. Perko, Igor, 2017. "Behaviour-based short-term invoice probability of default evaluation," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1045-1054.
  7. He Jiang, 2022. "A novel robust structural quadratic forecasting model and applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1156-1180, September.
  8. Edirisinghe, Chanaka & Gupta, Aparna & Roth, Wendy, 2015. "Risk assessment based on the analysis of the impact of contagion flow," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 209-223.
  9. Xie, Xiaofeng & Chen, Xiangfeng & Xu, Xun & Gu, Jing, 2024. "Financing a dual capital-constrained supply chain: Profit enhancement and diffusion effect of default risk," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 181(C).
  10. Chabot, Miia & Bertrand, Jean-Louis, 2021. "Complexity, interconnectedness and stability: New perspectives applied to the European banking system," Journal of Business Research, Elsevier, vol. 129(C), pages 784-800.
  11. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
  12. Acedański, Jan & Karkowska, Renata, 2022. "Instability spillovers in the banking sector: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  13. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
  14. Yfanti, Stavroula & Karanasos, Menelaos & Zopounidis, Constantin & Christopoulos, Apostolos, 2023. "Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics," European Journal of Operational Research, Elsevier, vol. 304(2), pages 813-831.
  15. Qian, Qian & Chao, Xiangrui & Feng, Hairong, 2023. "Internal or external control? How to respond to credit risk contagion in complex enterprises network," International Review of Financial Analysis, Elsevier, vol. 87(C).
  16. Calabrese, Raffaella, 2023. "Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data," European Journal of Operational Research, Elsevier, vol. 305(2), pages 989-997.
  17. Tingqiang Chen & Binqing Xiao & Haifei Liu, 2018. "Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions," Complexity, Hindawi, vol. 2018, pages 1-16, March.
  18. Raffaella Calabrese & Galina Andreeva & Jake Ansell, 2019. "“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults," Risk Analysis, John Wiley & Sons, vol. 39(1), pages 71-84, January.
  19. Tingqiang Chen & Xindan Li & Jining Wang, 2015. "Spatial Interaction Model of Credit Risk Contagion in the CRT Market," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 519-537, December.
  20. Fernandes, Guilherme Barreto & Artes, Rinaldo, 2016. "Spatial dependence in credit risk and its improvement in credit scoring," European Journal of Operational Research, Elsevier, vol. 249(2), pages 517-524.
  21. 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.
  22. Qian Qian & Yang Yang & Zong-Fang Zhou, 2019. "Research on Trade Credit Spreading and Credit Risk within the Supply Chain," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 389-411, January.
  23. Fernandes, Guilherme Barreto & Artes , Rinaldo, 2013. "Spatial correlation in credit risk and its improvement in credit scoring," Insper Working Papers wpe_321, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  24. Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
  25. Mauro Aliano & Lucianna Cananà & Greta Cestari & Stefania Ragni, 2023. "A Dynamical Model with Time Delay for Risk Contagion," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
  26. Chen, Tingqiang & Wang, Yutong & Zeng, Qianru & Luo, Jun, 2020. "Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  27. Li, Shouwei & Sui, Xin, 2016. "Contagion risk in endogenous financial networks," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 591-597.
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