Due to the credit lending in the inter-bank market,there exists a complicated credit network.When the inter-bank market is affected by macroeconomic or unexpected events,banks'credit rating may rise,fall or go bankruptcy,which will trigger a credit risk diffusion and contagion in the inter-bank market.In this paper,we study the path and intensity of the risk diffusion arising from the changes of bank credit rating.Inspired by Giesecke(2011)and Yamanaka(2012)models,we first model the point process of each ty...
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