Autori:
Chiodi, Marcello,
Giudici, Paolo,
Agosto, Arianna,
Adelfio, GiadaTitolo:
Financial contagion through space-time point processesPeriodico:
Statistical methods & applications : Journal of the Italian Statistical SocietyAnno:
2021 - Volume:
30 - Fascicolo:
2 - Pagina iniziale:
665 - Pagina finale:
688We 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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