Risk Contagion of COVID 19 in Japanese Firms: A Network Approach
Novel coronavirus disease (COVID 19) is one of the worst pandemics in human history. Our research objective is to assess the contagion effect on Japanese firms and to evaluate the Japanese government's COVID 19 measures during the period from April 7, 2020 to May 25, 2020. We propose a susceptible infected recovered dead model for COVID 19 and derive the COVID 19 parameters for Japan. Subsequently, we analyze the impact of COVID 19 on Japanese firms through correlation based network and credit risk analyses. A primary finding is that COVID 19 parameters are almost the only risk factors that impact a firm's credit risk during the period. Finally, we find that the analysis of the interconnection between the COVID 19 infection network and the financial networks contributes to the existing knowledge of pandemic risk management.