Is it possible to detect the approach of a systemic crisis? What are the symptoms? What are the institutions which contribute to systemic risk? The research from Ca’ Foscari that answers these questions, noting the connections between hedge funds, banks, financial intermediaries and insurance companies, has been selected among the most influential in recent years by publisher Elsevier and has now been made accessible to everyone online until December 16th.
In particular, the international award went to a study carried out by Professors Monica Billio and Loriana Pelizzon of the Department of Economics at Ca’ Foscari, in collaboration with Andrew W. Lo, a professor of Finance at the Massachusetts Institute of Technology (MIT) and with Mila Getmansky from the University of Massachusetts Amherst.
The paper that reported the attention of scholars in financial markets around the world is “Econometric measures of connectedness and systemic risk in the finance and insurance sectors”, published in 2012 by the Journal of Financial Economics.
"The aim of our study is to understand the possible extent of an infection through the first symptoms of one, allowing those in charge of the system to decide how best to intervene", comments Monica Billio explaining in an interview the research content developed between Ca’ Foscari and the United States, which also involved the Nobel prize winner Robert C. Merton, a professor at MIT.