Trasmissione del rischio: i punti di vista economico e statistico

Piera Mazzoleni

Risultato della ricerca: Working paper

Abstract

Risk not only arises, but it also propagates through financial markets, despite widely different economies. This may be due to agents’ behavior and to qualitative properties, such as frailty or to other forces, leading to simultaneous defaults. Contagion can be recognized by applying an econometric approach, but the analysis has to be enriched by economic and financial models. Different tools can be applied either to represent or to forecast risk transmission. Particle systems approach starts from the “voter” model: interaction among a finite number of particles is then generalized to a complete particle system, as in statistical mechanics, then the risk propagation and the asymptotic behavior of instability are studied. A proper dynamical system formalizes the economic behavior of the financial markets and shows the role of different equilibrium targets. But the most promising representation of the system to understand the risk contagion is to set the Financial Institutions as nodes in a graph and to set the arcs to represent the in- and out- flows among Banks, Insurance Companies and Hedge Funds. The dynamics through time and space of the financial flows allow us to analyse the contagion effects in order to provide suitable capital protection and to avoid the multiplication of defaults.
Titolo tradotto del contributo[Autom. eng. transl.] Transmission of risk: the economic and statistical points of view
Lingua originaleItalian
EditoreVita e Pensiero
Numero di pagine55
ISBN (stampa)978 88 343 3135 4
Stato di pubblicazionePubblicato - 2015

Keywords

  • contagio
  • econometric tools
  • network theory
  • rischio sistemico
  • risk contagion
  • risk propagation
  • sistemi dinamici
  • teoria delle reti

Fingerprint Entra nei temi di ricerca di 'Trasmissione del rischio: i punti di vista economico e statistico'. Insieme formano una fingerprint unica.

Cita questo