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.
|Numero di pagine||24|
|Rivista||STATISTICAL METHODS & APPLICATIONS|
|Stato di pubblicazione||Published - 2020|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty