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;
2021-01-01
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.
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