International College of Economics and Finance

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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