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Financial contagion through space-time point processes
Statistical Methods & Applications ( IF 1 ) Pub Date : 2020-07-08 , DOI: 10.1007/s10260-020-00538-2 Giada Adelfio , Arianna Agosto , Marcello Chiodi , Paolo Giudici
中文翻译:
通过时空过程进行财务传染
更新日期:2020-07-24
Statistical Methods & Applications ( IF 1 ) Pub Date : 2020-07-08 , DOI: 10.1007/s10260-020-00538-2 Giada Adelfio , Arianna Agosto , Marcello Chiodi , Paolo Giudici
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.
中文翻译:
通过时空过程进行财务传染
我们建议通过在地震传染建模中使用的一类点过程模型来研究金融传染的动力学。该提案从时空过程角度扩展了网络模型,最近引入了网络模型来模拟金融传染。该扩展考虑到传染蔓延效应,有助于改善对机构信用风险的评估。