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RESEARCH PRODUCT

Financial contagion through space-time point processes

Paolo GiudiciGiada AdelfioMarcello ChiodiArianna Agosto

subject

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

description

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.

yearjournalcountryeditionlanguage
2020-07-08
10.1007/s10260-020-00538-2http://hdl.handle.net/10447/427704