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Epidemic models for U.S. financial subprime mortgage crisis in 2008 influencing on Korean corporations

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Title
Epidemic models for U.S. financial subprime mortgage crisis in 2008 influencing on Korean corporations
Author
Kwon, Ji Heok
Advisor
Lee, Chang Hyeong
Issue Date
2014-08
Publisher
Graduate school of UNIST
Abstract
A financial crisis can spread like a contagious disease to both domestic sectors including demand market and foreign markets which are linked to one country with various aspects. This work mainly focuses on contagious phenomenon which is observed in Korean corporations enlisted in KOSPI & KOSDAQ index right after U.S financial shock in 2008. To set up the model, we use SIR epidemic model to detect epidemic dynamics in Korean corporations after shock. In addition, EDF model is also applied to analyze the degree of contagion within individual business. Using corporate fundamental data from KRX and FSS, including stock price, total market value, and current liabilities from Jun. 2008 to Jun. 2010, we observe contagious features resulted from U.S. financial crisis - EDFs are rising or show sustained level within infected corporations. We also presume parameters including contact rate and recovery rate to identify epidemic model of U.S. financial crisis which especially affected business sector in Korea. Further research is needed to identify the individual movement of certain sector or individual corporations from a view of agent-based model.
Description
Department of Management Engineering
URI
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