Seminario del 2014

Giugno
12
2014
Prof.ssa Sabrina Mulinacci - Università di Bologna, Dipartimento di Statistica
"Generalizations of the Marshall-Olkin distribution: applications to contagion and systemic risk modeling"
nel ciclo di seminari: SEMINARI DI FINANZA MATEMATICA
finanza matematica
A generalization of the Marshall-Olkin distribution is presented in order to allow for dependence among the systemic shock and the idiosyncratic shocks inducing defaults in a system. This model is used to incorporate contagion in the analysis of a set of obligors. The task will be to identify the infectious elements, to measure the degree of contagion and to allow for it in the estimation of the systemic risk.
organizzato da: Andrea Pascucci

indietro