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Session 22. Multivariate stochastic modelling in finance, insurance and risk management
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Generalization of the Marshall-Olkin distribution and applications to Systemic Risk and Contagion
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Sabrina Mulinacci, Department of Statistics, University of Bologna, Italy
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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.
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