The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized...The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.展开更多
This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates...This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates established financial contagion frameworks with the topology of the supply chain network,introducing the concept of“too central to fail”suppliers through systematic importance scoring methodologies.The framework reveals striking asymmetries in supply chain vulnerability patterns.While the majority of suppliers demonstrate systemic importance within network structures,financial fragility analysis indicates remarkable overall network robustness,with minimal nodes exhibiting high vulnerability thresholds.Most significantly,comprehensive stress testing exposes a critical paradox:networks demonstrate moderate resilience to random disruptions yet remain substantially vulnerable to strategic targeting of central nodes.Cascade failure analysis through multiple simulation approaches unveils the dual nature of supply chain risk propagation.Random shock scenarios generate manageable failure rates,while targeted attacks on high-centrality suppliers achieve disproportionate network impact.Most alarmingly,liquidity crisis simulations demonstrate how financial contagion mechanisms can affect nearly half of all network participants,highlighting the interconnected nature of operational and financial vulnerabilities.These findings establish quantitative foundations for the assessment of systemic risk in supply chains,with immediate implications for regulatory frameworks,early warning systems,and resilience enhancement strategies.The integrated financial-operational risk framework advances the theoretical understanding of the propagation of cross-sector vulnerability while providing systematic methodologies for identifying critical suppliers whose failure could trigger systemic collapse.展开更多
We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homog...We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.展开更多
Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force dep...Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force depending on the timely financial assistance, the positive attitude and actions to rescue other infected countries, and investor confidence aggregation, and the immunity ability of the infected country are considered as the major reasons to drive the nonlinear fluctuations of the stock return rates in both countries during the crisis. According to the Ordinary Differential Equations Qualitative Theory, we found that there are three cases of financial crises contagion within a brief time between two countries: weak contagion with instability but inhibition, contagion with limit and controllable oscillation, and strong contagion without control in a brief time.展开更多
文摘The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.
文摘This research develops a novel cross-disciplinary framework that bridges financial systemic risk modeling with supply chain network analysis to advance resilience assessment and policy guidance.The approach integrates established financial contagion frameworks with the topology of the supply chain network,introducing the concept of“too central to fail”suppliers through systematic importance scoring methodologies.The framework reveals striking asymmetries in supply chain vulnerability patterns.While the majority of suppliers demonstrate systemic importance within network structures,financial fragility analysis indicates remarkable overall network robustness,with minimal nodes exhibiting high vulnerability thresholds.Most significantly,comprehensive stress testing exposes a critical paradox:networks demonstrate moderate resilience to random disruptions yet remain substantially vulnerable to strategic targeting of central nodes.Cascade failure analysis through multiple simulation approaches unveils the dual nature of supply chain risk propagation.Random shock scenarios generate manageable failure rates,while targeted attacks on high-centrality suppliers achieve disproportionate network impact.Most alarmingly,liquidity crisis simulations demonstrate how financial contagion mechanisms can affect nearly half of all network participants,highlighting the interconnected nature of operational and financial vulnerabilities.These findings establish quantitative foundations for the assessment of systemic risk in supply chains,with immediate implications for regulatory frameworks,early warning systems,and resilience enhancement strategies.The integrated financial-operational risk framework advances the theoretical understanding of the propagation of cross-sector vulnerability while providing systematic methodologies for identifying critical suppliers whose failure could trigger systemic collapse.
基金Acknowledgements The authors thank the anonymous referees for valuable comments to improve the earlier version of the paper. The research of Yinghui Dong was supported by the Natural Science Foundation of Jiangsu Province （Grant No. BK20130260）, the National Natural Science Foundation of China （Grant No. 11301369）, and the China Postdoctoral Science Foundation （Grant No. 2013M540371）. The research of Guojing Wang was supported by the National Natural Science Foundation of China （Grant No. 11371274） and the Natural Science Foundation of Jiangsu Province （Grant No. BK2012613）.
文摘We consider a two-dimensional reduced form contagion model with regime-switching interacting default intensities. The model assumes the intensities of the default times are driven by macro-economy described by a homogeneous Markov chain as well as the other default. By using the idea of ＇change of measure＇ and some closed-form formulas for the Laplace transforms of the integrated intensity processes, we derive the two-dimensional conditional and unconditional joint distributions of the default times. Based on these results, we give the explicit formulas for the fair spreads of the first-to-default and second-to-default credit default swaps （CDSs） on two underlyings.
文摘Employing the Differential Dynamics Method, a nonlinear dynamic model is set up to describe the international financial crises contagion within a short time between two countries. The two countries’ control force depending on the timely financial assistance, the positive attitude and actions to rescue other infected countries, and investor confidence aggregation, and the immunity ability of the infected country are considered as the major reasons to drive the nonlinear fluctuations of the stock return rates in both countries during the crisis. According to the Ordinary Differential Equations Qualitative Theory, we found that there are three cases of financial crises contagion within a brief time between two countries: weak contagion with instability but inhibition, contagion with limit and controllable oscillation, and strong contagion without control in a brief time.
