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.

Mazzoleni, P., Trasmissione del rischio: i punti di vista economico e statistico, <<Trasmissione del rischio: i punti di vista economico e statistico>>, 2015; 2015 (15/2): 1-55 [http://hdl.handle.net/10807/70329]

Trasmissione del rischio: i punti di vista economico e statistico

Mazzoleni, Piera
2015

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.
Italiano
Trasmissione del rischio: i punti di vista economico e statistico
978 88 343 3135 4
Mazzoleni, P., Trasmissione del rischio: i punti di vista economico e statistico, <<Trasmissione del rischio: i punti di vista economico e statistico>>, 2015; 2015 (15/2): 1-55 [http://hdl.handle.net/10807/70329]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/70329
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact