Financial contagion through space-time point processes

Giada Adelfio, Marcello Chiodi, Paolo Giudici, Arianna Agosto, Paolo Giudici

Risultato della ricerca: Articlepeer review

1 Citazioni (Scopus)

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.
Lingua originaleEnglish
pagine (da-a)665-688
Numero di pagine24
RivistaSTATISTICAL METHODS & APPLICATIONS
Volume30
Stato di pubblicazionePublished - 2021

All Science Journal Classification (ASJC) codes

  • ???subjectarea.asjc.2600.2613???
  • ???subjectarea.asjc.1800.1804???

Fingerprint

Entra nei temi di ricerca di 'Financial contagion through space-time point processes'. Insieme formano una fingerprint unica.

Cita questo