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SUMMARY:Lost in contagion: Building a liquidation index from covariance dy
 namics
DTSTART:20160216T120000
DTEND:20160216T130000
DTSTAMP:20260502T183715Z
UID:a01fbc2e1c4fa96a4e51d89503bd4a93bdcb2024123b72477855e530
CATEGORIES:Conferences - Seminars
DESCRIPTION:Lakshithe WAGALATH (IESEG School of Management)\nWe present a 
 tractable framework which links realized covariances to liquidation flows 
 and asset liquidities via a feeback loop. We show the identifiability of m
 odel parameters which enables to build a dynamic indicator for fund liquid
 ations. At every date t\, this indicator that we call the liquidation inde
 x captures the magnitude of fire sales during a given period [t −tau\, t
 ] by taking into account the movements of prices\, covariances and liquidi
 ties over that period. We explore the properties of this indicator and sho
 w its stability and robustness. We study the liquidation index empirically
  on the US\, French and Brazilian stock markets and show that spikes of th
 e liquidation index indeed correspond to periods of fire sales. This makes
  the liquidation index useful in a perspective of (systemic) risk manageme
 nt as it enables to detect the beginning and the end of a liquidation peri
 od as well as capture the magnitude of such liquidations. We also compare 
 this indicator to other benchmark indicators and show that it is a better 
 measure for fire sales.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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