Financial contagion through space-time point processes

Giada Adelfio, Marcello Chiodi, Paolo Giudici, Arianna Agosto

Risultato della ricerca: Articlepeer review


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.
Lingua originaleEnglish
Numero di pagine24
Stato di pubblicazionePublished - 2020

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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