Speaker : Dr. Mulinacci Sabrina, Associate Professor, “Paolo Fortunati”, Department of Statistical Sciences (University of Bologna, Italy)
Date and Location : Tuesday, November 25th, 2014 at 14.00 p.m.
IESEG School of Management, 3 rue de la Digue, 59000 Lille
Paris Campus: video conference room R20
The purpose of the talk is to investigate the difference between systemic risk and contagion in a system, with a methodology for distinguishing between the two, particularly with a large set of data. The main idea is to assume, for a set of n obligors, a set of n idiosyncratic shocks, and a shock that triggers the default of all the obligors in the system. All shocks are assumed to be linked by a dependence relationship, that in this paper is assumed to be Archimedean and exchangeable. This model is able to encompass both systemic risk and contagion, with the Marshall-Olkin pure systemic risk model and the Archimedean contagion model as extreme cases. The model can be estimated by applying a moment matching procedure to the bivariate marginals. The model is applied to a selected sample of banks for 8 European countries. The German banking system is the only one complying with a pure systemic risk representation. For the other banking systems the contagion part is present, and it plays a dominating role in Spain, Italy, Portugal, Greece and France. Finally, the contagion parameter is not stable across the sample, and shows the interesting feature of co-movements across the countries, particularly in the most severe periods of the crisis.
Based on joint work with U. Cherubini