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<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Inoltro avviso
di Seminario a me pervenuto.</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Cordiali
saluti</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Liviana
Paoletti</EM></FONT></DIV></FONT></DIV>
<DIV style="FONT: 10pt arial">----- Original Message -----
<DIV style="BACKGROUND: #e4e4e4; font-color: black"><B>From:</B> <A
title=michele.verde@sns.it href="mailto:michele.verde@sns.it">Michele VERDE -
Scuola Normale Superiore di Pisa</A> </DIV>
<DIV><B>To:</B> <A title=docenti.scienze@sns.it
href="mailto:docenti.scienze@sns.it">Docenti Scienze</A> ; <A
title=ricercatori.scienze@sns.it
href="mailto:ricercatori.scienze@sns.it">Ricercatori Scienze</A> ; <A
title=perfezionandi.scienze@sns.it
href="mailto:perfezionandi.scienze@sns.it">Perfezionandi Scienze</A> ; <A
title=studenti.scienze@sns.it href="mailto:studenti.scienze@sns.it">Studenti
Scienze</A> ; <A title=borsisti.scienze@sns.it
href="mailto:borsisti.scienze@sns.it">Borsisti Scienze</A> ; <A
title=assegnisti.scienze@sns.it
href="mailto:assegnisti.scienze@sns.it">Assegnisti Scienze</A> </DIV>
<DIV><B>Cc:</B> <A title=paoletti@dm.unipi.it
href="mailto:paoletti@dm.unipi.it">Liviana Paoletti</A> ; <A
title=curciare@dm.unipi.it href="mailto:curciare@dm.unipi.it">Curciarello Giulia
- Dip.mat.Tonelli</A> ; <A title=laspina@dm.unipi.it
href="mailto:laspina@dm.unipi.it">Alessandra La Spina</A> ; <A
title=sitosns@sns.it href="mailto:sitosns@sns.it">Sito SNS</A> ; <A
title=area.servizi@sns.it href="mailto:area.servizi@sns.it">Area Servizi</A>
</DIV>
<DIV><B>Sent:</B> Friday, March 25, 2011 8:59 AM</DIV>
<DIV><B>Subject:</B> Avviso seminario di Finanza Qunatitativa, prof.ssa M.
Billio (29.03.11)</DIV></DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><STRONG><U><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'">NO FREE LUNCH
SEMINAR</SPAN><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><o:p></o:p></SPAN></U></STRONG></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><U>seminari
di finanza quantitativa<o:p></o:p></U></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN> </H2>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">martedì 29
marzo 2011</SPAN><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></H2>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">ore <SPAN
style="mso-no-proof: yes">13.00</SPAN><o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><U><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Scuola Normale
Superiore<o:p></o:p></SPAN></U></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Pisa<o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">(Aula <SPAN
style="mso-no-proof: yes">Bianchi</SPAN>)<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><B><U><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"></SPAN></o:p></SPAN></U></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN></I></B> </P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Monica
BILLIO<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Università
Ca’ Foscari di Venezia </SPAN></I><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><SPAN style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Terrà<SPAN
style="mso-spacerun: yes"> </SPAN>un seminario dal
titolo:<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">“Econometric
measures of systemic risk in the finance and insurance
sectors”<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">Abstract<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes; mso-ansi-language: EN-US">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.<o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Tutti gli
interessati sono invitati a partecipare.<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2">
</SPAN></SPAN><FONT face="Times New Roman"><SPAN
style="mso-ansi-language: IT"><SPAN style="mso-tab-count: 2"><FONT
size=3>
</FONT></SPAN></SPAN><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT">Classe
di Scienze<o:p></o:p></SPAN></FONT></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><o:p> </o:p></SPAN></P></FONT></DIV>
<DIV><FONT face=Arial size=2>- - - - -<BR>Michele VERDE<BR>Scuola Normale
Superiore<BR>Servizio Supporto Attività Didattiche - Scienze<BR>Piazza Dei
Cavalieri, 7<BR>I - 56126 Pisa</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Tel. 050-509048<BR>Fax. 050-509045<BR>E-Mail: <A
href="mailto:michele.verde@sns.it">michele.verde@sns.it</A><BR>E-Mail: <A
href="mailto:segreteria.scienze@sns.it">segreteria.scienze@sns.it</A><BR>- - - -
-</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Le informazioni contenute nella presente e-mail e
nei relativi allegati possono essere riservate e sono, comunque, destinate
esclusivamente al destinatario in indirizzo.<BR>E’ vietata, pertanto, la
diffusione, distribuzione e/o copiatura di tali informazioni da parte di
qualsiasi soggetto diverso dal destinatario. <BR>Chiunque abbia ricevuto o letto
questa e-mail per errore o senza esserne legittimato è invitato a darne
immediatamente notizia al mittente tramite fax o e-mail e a
distruggerla.<BR>Grazie.<BR></FONT></DIV></BODY></HTML>