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Author

Stefania Scocchera

University Politecnica Delle Marche, Italy
1 article in our journals

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Research ArticleOpen accessOn the Sensitivity of a Dynamic Measure of Financial InequalityGuglielmo D’Amico, Stefania Scocchera, Loriano StorchiIn the present work, we investigate the sensitivity of the dynamic Theil index computed under a Markov reward model with respect to structured perturbations affecting the underlying Markov process. The model is applied to the sovereign credit spread evolution as a proxy for financial risk, which are driven by the sovereign credit rating dynamic. The introduction of such perturbations allows … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 25 Oct 2019 · 7,264 accessesView PDFCite