Financial contagion through space-time point processes

Marcello Chiodi, Giada Adelfio, Paolo Giudici, Arianna Agosto

Research output: Contribution to journalArticle

Abstract

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.
Original languageEnglish
Number of pages24
JournalSTATISTICAL METHODS & APPLICATIONS
Publication statusPublished - 2020

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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