We propose to study the dynamics of financial contagion by means of a class ofpoint process models employed in the modeling of seismic contagion. The proposalextends network models, recently introduced to model financial contagion, in aspace-time point process perspective. The extension helps to improve the assessment of credit risk of an institution, taking into account contagion spillover effects.
|Number of pages||24|
|Journal||STATISTICAL METHODS & APPLICATIONS|
|Publication status||Published - 2020|