Associated Credit Risk Contagion Between Enterprises Based on the Imperfect Immunization Scenario

TL;DRAbstract

This paper giving the associated credit risk model with the imperfect immunization scenario in the enterprises cluster based on assets-related under the framework of the small world network, we apply mean field theory and principle of epidemiology, to reveal the relation among associated credit risk contagion probability with imperfect immunization and asset-related in enterprises community network. The study has found that the threshold value of the associated credit risk contagion is reduced under the condition of the immune failure and immune invalidity, thereby, increasing the likelihood of related credit risk contagion; and the assets correlation between enterprises will influence the associated credit risk contagion and immune effect.

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