9 Jun
2014
9 Jun
'14
11:05 a.m.
Il giorno Giovedì 12 Giugno 2014, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Sabrina MULINACCI (Università di Bologna)
terrà un seminario dal titolo
"Generalizations of the Marshall-Olkin distribution: applications to contagion and systemic risk modeling"
Abstract 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.