RISK MANAGEMENT THOUGHT LEADERSHIP

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Prometeia and UnipolSai at "DySES 2018: Systemic Risk"

Sorbonne, Paris, France - October 9-12, 2018
 

Prometeia in partnership with UnipolSai speaks at the interdisciplinary conference on the Dynamics of Socio Economic Systems, presenting the paper "GDP-Network CoVaR: A Tool for Assessing Growth-at-Risk" and proposing a tool to predict risks to economic growth and international business cycles spillovers: the GDP-Network CoVaR.

The methodology to assess Growth-at-Risk is composed by two building blocks. First, the application of the network-based NETS methodology by Barigozzi and Brownlees to identify significant linkages between neighbour countries. Second, applying the CoVaR methodology by Adrian and Brunnermeier, and exploiting international statistics on trade flows and GDPs, the derivation of the entire distribution of Economic Growth Spillover exposures at the bilateral, country and global level for different quantiles of tail events on economic growth.

Paper's findings:

  1. Economic Growth Spillover probability distribution is time-varying, left-skewed and in some cases bi- or even multi-modal;
  2. spillover risks are more severe during financial turmoil;
  3. global exposure to economic growth tail events is decreasing over time;
  4. the two-step approach outperforms alternative one-step quantile regression models in predicting risks to economic growth.
Prometeia at "DySES 2018: Systemic Risk"
 
 

For further information on the event, please visit here.