Thursday, March 15th
5:45 PM Registration 6:00 PM Seminar Begins 7:30 PM Reception
The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks’ assets are reported to regulators and/or the public at relatively low frequencies (e.g. quarterly or monthly), our approach estimates bank asset holdings at higher frequencies which allows us to derive precise estimates of (i) portfolio concentration within each bank—a measure of diversification—and (ii) common holdings across banks—a measure of market susceptibility to propagating shocks. We find evidence that systemic risk measures derived from our approach lead, in a forecasting sense, several commonly used systemic risk indicators.
Biography
Before joining the FED, Celso spent his professional career in academia with appointments at Johns Hopkins University, University of Pennsylvania and University of Edinburgh where he taught Statistics, Corporate Finance, Derivatives and Financial Risk Management. From 2008 to 2011, he has been a consultant at the Commodity Futures Trading Commission.
He received A. B. degree in economics and banking from the Catholic University in Milan, Italy, and a Master of Science degree in economics from Bocconi University in Milan, Italy. In 1999 he completed his PhD in economics at the University of London, the UK.
Celso published several papers in academic journals such as the Review of Financial Studies, Journal of Financial and Quantitative Analysis, Econometrics Journal and Journal of Financial Markets.
About the Series
The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.
