Complex Dynamics of Credit Risk Contagion with Time-Delay and Correlated Noises

Figure 5

The stationary probability distribution function of credit risk contagion 𝑃_st(𝑁) is plotted as a function of 𝑁 when 𝜏 and 𝜇 are varied. The parameters are chosen as 𝜎=0.5, 𝜌=0.6, 𝛼=0.3, 𝜉=3, 𝜆₁=0.15, and 𝜆₂=0.08. (a) 𝜇=0.01. (b) 𝜏=4.

(a)

(b)