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Financial contagion through space-time point processes

Giada Adelfio, Arianna Agosto, Marcello Chiodi and Paolo Giudici ()
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Giada Adelfio: University of Palermo
Marcello Chiodi: University of Palermo

Statistical Methods & Applications, 2021, vol. 30, issue 2, No 11, 665-688

Abstract: Abstract 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.

Keywords: Contagion models; Credit risk; Space-time point processes (search for similar items in EconPapers)
JEL-codes: C58 C63 G01 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10260-020-00538-2

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