外文文献原文Financial risk distribution in European Union.pdfVIP

Physica A 505 (2018) 252–267 Contents lists available at ScienceDirect Physica A journal homepage: /locate/physa Financial risk distribution in European Union Guglielmo D’Amico *, Stefania Scocchera, Loriano Storchi Department of Pharmacy, University ‘‘G. D’Annunzio’’, via dei Vestini, 31, 66013 Chieti, Italy h i g h l i g h t s • A methodology to forecast the inequality of financial risk in the EU. • Markov chains and dynamic entropy measures applied to credit ratings and spread. • The financial inequality is different depending on the rating agency. • The Brexit should not change the inequality within European Union. • Development of an open source software to apply the methodology. a r t i c l e i n f o a b s t r a c t Article history: A methodology based on Markov chains and dynamic entropy measures is proposed Received 6 November 2017 for measuring and forecasting the evolution of the inequality of financial risks in the Received in revised form 1 March 2018 European Union (EU). The proposed methodology requires knowledge of the past evolu- Available online 29 March 2018 tion of sovereign credit rating for the EU member states and historical data concerning harmonized interest rates of government bonds. The methodology is applied to real data JEL classification: C61 from European countries for the three rating agencies Fitch, Moody’s and Standard Poor’s. C63