NO FREE LUNCH
SEMINAR
seminari
di finanza quantitativa
ore 13.00
Scuola Normale
Superiore
Pisa
(Aula Bianchi)
Monica
BILLIO
Università
Ca’ Foscari di Venezia
Terrà un seminario dal
titolo:
“Econometric
measures of systemic risk in the finance and insurance
sectors”
Abstract
We
propose several econometric measures of systemic risk to capture the
interconnectedness among the monthly returns of hedge funds, banks, brokers, and
insurance companies based on principal components analysis and Granger-causality
tests. We find that all four sectors have become highly interrelated over the
past decade, increasing the level of systemic risk in the finance and insurance
industries. These measures can also identify and quantify financial crisis
periods, and seem to contain predictive power for the current financial crisis.
Our results suggest that hedge funds can provide early indications of market
dislocation, and systemic risk arises from a complex and dynamic network of
relationships among hedge funds, banks, insurance companies, and brokers. Joint
work with Mila Getmansky, Andrew W. Lo, and Loriana
Pellizzon.
Tutti gli
interessati sono invitati a partecipare.
Classe
di Scienze