ICEF Research Seminar by Roberto Casarin (University Ca' Foscari of Venice)

On Monday, March 27 at 4.40 pm, room 3211 (Shabolovka str. 26) ICEF held the Research Seminar.
Speaker: Roberto Casarin (University Ca' Foscari of Venice)
Theme: "Modeling Contagion and Systemic Risk" joint with Bianchi, D., Billio, M. and Guidolin, M.

Abstract: We propose a Markov-switching Gaussian Graphical model to investigate the time-variation of network connectivity based on the residuals of a multi-factor pricing framework. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme to sample posterior estimates of variables of interests, such as centrality measures and latent connectivity states. An empirical application on the S&P100 constituents shows that cross-firm connectivity significantly increased over the period 1999/2003 and the recent great financial crisis. Also, we provide evidence that firm-level network centrality does not correlate with corresponding market values and is positively linked to average realized financial losses.

 

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