[CvGmt News] avviso seminario di finanza quantitativa "NO FREE LUNCH SEMINAR" Prof.Fulvio Corsi (06.03.2013)

[valeria.giuliani at sns.it]

NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


    mercoledì 6 marzo 2012

ore 13.00

_Scuola Normale Superiore_

Pisa

(Aula Mancini)

*__*

*/Fulvio Corsi/*

Terrà un seminario dal titolo:

*/"/**When Micro Prudence increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification/"/*

*//*

*/Abstract/*

By exploiting basic common practice accounting and risk management 
rules, we propose a simple analytical dynamical framework to investigate 
the effects of micro- prudential changes on macro-prudential outcomes. 
Specifically, we study the consequence of the introduction of a 
financial innovation that allow reducing the cost of portfolio 
diversification in a financial system populated by financial 
institutions having capital requirements in the form of VaR constraint 
and following standard mark-to- market and risk management rules. We 
provide a full analytical quantification of the multivariate feedback 
effects between investment prices and bank behavior induced by portfolio 
rebalancing in presence of asset illiquidity and show how changes in the 
constraints of the bank portfolio optimization endogenously drive the 
dynamics of the balance sheet aggregate of financial institutions and, 
thereby, the availability of bank liquidity to the economic system and 
systemic risk. The model shows that when financial innovation reduces 
the cost of diversification below a given threshold, the strength (due 
to higher leverage) and coordination (due to similarity of bank 
portfolios) of feed- backeffects increase, triggering a transition from 
a stationary dynamics of price returns to a non stationary one 
characterized by steep growths (bubbles) and plunges (bursts) of market 
prices.*//*

Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

-- 
--------------------------------------------------------------------------------
Valeria Giuliani
Scuola Normale Superiore
Servizio Supporto Attività Didattiche - Scienze
Tel. 050-509260
Fax. 050-509045
Piazza dei Cavalieri, 7
56126 Pisa
E-Mail: v.giuliani at sns.it
E-Mail: segreteria.scienze at sns.it
  
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