Financial contagion through space-time point processes

Adelfio Giada; Agosto Arianna; Chiodi Marcello; Giudici Paolo

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Financial contagion through space-time point processes

机译：通过时空点流程进行金融蔓延

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摘要

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.

机译：我们建议通过在地震传染建模中采用一类角色流程模型来研究金融蔓延的动态。该提案在空间点过程的角度下扩展了最近引入了模型金融传染的网络模型。延期有助于改善机构的信用风险评估，考虑到筛选溢出效应。

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来源
《Statistical Methods and Applications》 |2021年第2期|665-688|共24页
作者
Adelfio Giada; Agosto Arianna; Chiodi Marcello; Giudici Paolo;
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作者单位

Univ Palermo Dept Econ Management & Stat Palermo Italy;

Univ Pavia Dept Econ & Management Pavia Italy;

Univ Palermo Dept Econ Management & Stat Palermo Italy;

Univ Pavia Dept Econ & Management Pavia Italy;

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原文格式 PDF
正文语种 eng
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关键词
Contagion models; Credit risk; Space-time point processes;

机译：传染模型;信用风险;时空点流程;

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1. Contagion modeling between the financial and insurance markets with time changed processes [J] . Hainaut Donatien Insurance . 2017,第MAY期

机译：随着时间变化的过程，金融和保险市场之间的传染模型
2. Modeling financial contagion using mutually exciting jump processes [J] . Ait-Sahalia Yacine, Cacho-Diaz Julio, Laeven Roger J. A. Journal of financial economics . 2015,第3期

机译：使用相互激动的跳跃过程对金融传染进行建模
3. Competing contagion processes: Complex contagion triggered by simple contagion [J] . Byungjoon Min, Maxi San Miguel Scientific reports. . 2018,第1期

机译：竞争性传染过程：简单传染引发的复杂传染
4. A Discussion on Whether Financial Contagion Exists Between US Financial Markets from 2006 to 2011 [C] . Han Qiao International Conference on Economics, Management, Law and Education . 2018

机译：2006年至2011年美国金融市场之间是否存在金融蔓延的讨论
5. Essays on financial crises in emerging markets: Role of capital inflow, financial intermediaries and the dynamics of contagion. [D] . Baig, Taimur. 1999

机译：关于新兴市场金融危机的论文：资本流入，金融中介机构和传染病动态的作用。
6. Contagion modeling between the financial and insurance markets with time changed processes [O] . Donatien Hainaut -1

机译：随着时间变化的过程金融和保险市场之间的传染模型
7. Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states [O] . Andres KUUSK, Tiiu Paas 100

机译：2008年危机的金融危机蔓延：是否存在从美国到波罗的海国家的金融危机蔓延的证据

Financial contagion through space-time point processes

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