Научный семинар МИЭФ, Roberto Casarin (University Ca' Foscari of Venice)

В понедельник, 27 марта в 16.40 в ауд. 3211 (ул. Шаболовка, 26) прошел научный семинар МИЭФ. 
Докладчик: Roberto Casarin (University Ca' Foscari of Venice)
Тема доклада: "Modeling  Contagion and Systemic Risk" совместно с Bianchi, D., Billio, M. и Guidolin, M.

Тезисы доклада: 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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