Spatial interaction theory-based credit risk contagion model under multi-factor coupling for the CRT market

In this paper we establish an entropy spatial model of credit risk contagion in the credit risk transfer (CRT) market which considers the effects of spatial factors, industry-specific factors, regional financial factors and individual factors of the CRT market on credit risk contagion in the CRT market. We use numerical simulation to analyze and describe the influence and active mechanism of the spatial distance and transmission capacity between banks and investors in the CRT market, banks' asset quality and credit risk transfer ability, investors' asset scale and risk preference level, financial development level of investors in the region and the homoplasy between banks and investors in the region on credit risk contagion in the CRT market. This contribution explicitly formalizes the connection between probability and spatial factors, and provides a new idea and theoretical framework for the study of credit risk contagion in a spatial context.