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Financial contagion through space-time point processes

Author

Listed:
  • Giada Adelfio

    (University of Palermo)

  • Arianna Agosto

    (University of Pavia)

  • Marcello Chiodi

    (University of Palermo)

  • Paolo Giudici

    (University of Pavia)

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.

Suggested Citation

  • Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
    • Handle: RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00538-2
    DOI: 10.1007/s10260-020-00538-2
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    References listed on IDEAS

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    Cited by:

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    2. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).

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    More about this item

    Keywords

    Contagion models; Credit risk; Space-time point processes;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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