Financial contagion through space-time point processes

被引：0
|
作者：
Giada Adelfio
Arianna Agosto
Marcello Chiodi
Paolo Giudici
机构：
[1] University of Palermo,Department of Economics, Management and Statistics
[2] University of Pavia,Department of Economics and Management
来源：
Statistical Methods & Applications | 2021年 / 30卷
关键词：
Contagion models; Credit risk; Space-time point processes; G01; C58; C63;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：665 / 688
页数：23
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