0000000000760048

AUTHOR

Arianna Agosto

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Financial contagion through space-time point processes

2020

AbstractWe propose to study the dynamics of financial contagion by means of a class of point process models employed in the modeling of seismic contagion. The proposal extends network models, recently introduced to model financial contagion, in a space-time point process perspective. The extension helps to improve the assessment of credit risk of an institution, taking into account contagion spillover effects.

040101 forestryStatistics and ProbabilityFinancial contagionSpace timemedia_common.quotation_subjectContagion models Credit risk Space-time point processes04 agricultural and veterinary sciences01 natural sciencesPoint process010104 statistics & probabilitySpillover effectEconomicsInstitutionEconometrics0401 agriculture forestry and fisheries0101 mathematicsStatistics Probability and UncertaintyPoint process modelsNetwork modelmedia_commonCredit risk
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