Autori: Chiodi, Marcello, Giudici, Paolo, Agosto, Arianna, Adelfio, Giada
Titolo: Financial contagion through space-time point processes
Periodico: Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2021 - Volume: 30 - Fascicolo: 2 - Pagina iniziale: 665 - Pagina finale: 688

We propose to study the dynamics of financial contagion by means of a class of point process models employed in the modeling of seismic contagion. The proposal extends network models, recently introduced to model financial contagion, in a space-time point process perspective. The extension helps to improve the assessment of credit risk of an institution, taking into account contagion spillover effects.




SICI: 1618-2510(2021)30:2<665:FCTSPP>2.0.ZU;2-T

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