We 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.

Adelfio, G., Agosto, A., Chiodi, M., & Giudici, P. (2021). Financial contagion through space-time point processes. STATISTICAL METHODS & APPLICATIONS, 30, 665-688 [10.1007/s10260-020-00538-2].

Financial contagion through space-time point processes

Adelfio G;Chiodi M;
2021

Abstract

We 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.
https://link.springer.com/article/10.1007/s10260-020-00538-2
Adelfio, G., Agosto, A., Chiodi, M., & Giudici, P. (2021). Financial contagion through space-time point processes. STATISTICAL METHODS & APPLICATIONS, 30, 665-688 [10.1007/s10260-020-00538-2].
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10447/427704
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