WG Risk : "Systemic Illiquidity"

The Working Group on Risk - CREAR, with the support of the ESSEC IDO dpt/Ceressec, Institut des actuaires, Labex MME-DII (CY), and the group Risques AEF - SFdS, has the pleasure to invite you to the seminar by:

Prof. Paolo SANTUCCI, LUISS Faculty, Rome, Italy 

 Dr. Paolo Santucci is Professor of Econometrics at the Luiss University since February 2018, and prior to that, was Associate Professor at the Department of Economics and Business Economics of Aarhus University (Denmark). Since June 2021, Paolo holds the position of Head of the Department of Economics and Finance. His main research fields are time-series and financial econometrics. He earned his PhD at the University of Pavia in February 2010 and held various research positions after that (visiting PhD at CREATES in 2008-2009; post-doctoral research fellow at the Department of Economics of the University of Padova in 2010-2011; FSE Post-Doc fellowship spent at CREATES from April 2011 to May 2013; during 2014, research period at the Kellogg School of Management of Northwestern University).

“Systemic Illiquidity”

Market liquidity, defined as the ability to trade large quantities of assets quickly and at low cost, is vital for financial market efficiency. Beyond average liquidity levels, the risks of extreme illiquidity events, such as liquidity crashes, are of particular concern due to their potential to propagate across assets, causing illiquidity contagion. Liquidity significantly influences asset pricing, with direct effects on the cost of capital, firm productivity, and economic growth. Tail events, where liquidity evaporates, disrupt trading and amplify systemic risks. Theoretical and empirical studies highlight liquidity's role in financial contagion and its correlation across assets and markets. This paper develops a framework to measure co-liquidity using high-frequency data, combining structural and nonparametric approaches. Building on recent models, it proposes a nonparametric method inspired by Amihud (2002) to capture abrupt liquidity drops and their spillover effects.

Dual format:

ESSEC Paris La Défense (CNIT), Room TBA, and via Zoom, please click here .