[CvGmt News] avviso seminario di Finanza Quantitativa prof. Giampiero Gallo (24.11.2016)

[Valeria Giuliani]

SEMINARIO DI FINANZA QUANTITATIVA



Giovedì 24 novembre 2016

ore 11:00



*Scuola Normale Superiore*

Pisa

Aula Fermi



*Giampiero Gallo*

*(Università di Firenze)*



terrà un seminario dal titolo:



*“**Median Response to Shocks: A Model for VaR Spillovers in East Asia**”*



*Abstract:*

*We propose a procedure for analyzing financial interdependencies within an
area of interest, interpreting a negative daily return in an Originator
market as a VaR (i.e. the product of a volatility level and the
corresponding **α**–quantile of a time independent probability
distribution), and measuring the Median Response in the Destination market
through its volatility associated with the one in the Originator and the
reconstruction of the correlation structure between the two (through copula
functions). We apply our methodology to nine Asian markets, varying the
choice of the Originator and deriving a number of indicators which
represent the importance of each market as a provider or a receiver of
turbulence. Over a 1996-2015 period we confirm the role of traditionally
important markets (e.g. Hong Kong or Singapore), while over a rolling
three–year estimation period, we can detect rises and declines, the
explosion of turbulence in the occasion of the Great Recession and the
magnified role of China in the recent years.*



Tutti gli interessati sono invitati a partecipare.



Classe di Scienze Matematiche e Naturali


Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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