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

Figure 6

The stationary probability distribution function of credit risk contagion 𝑃_st(𝑁) is plotted as a function of 𝑁 when 𝜎, 𝜌, and 𝛼 are varied. The parameters are chosen as 𝜏=4, 𝜇=0.03, 𝜉=3, 𝜆₁=0.15, and 𝜆₂=0.08. (a) 𝜌=0.6, 𝛼=0.4. (b) 𝜎=0.5 and 𝛼=0.4. (c)  𝜎=0.5, and 𝜌=0.6.

(a)

(b)

(c)