Financial contagion through space-time point processes
- Autori: Adelfio, G., Agosto, A., Chiodi, M., Giudici, P.
- Anno di pubblicazione: 2020
- Tipologia: Articolo in rivista
- OA Link: http://hdl.handle.net/10447/427704
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.