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SUMMARY:Networks of Common Asset Holdings: Aggregation and Measures of Vul
 nerability - Minca\, A (Cornell University)
DTSTART:20140925T103000Z
DTEND:20140925T111500Z
UID:TALK54514@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-author : Anton BRAVERMAN (Cornell)\n\nThis paper quantifies
  the interrelations induced by common asset holdings among financial insti
 tutions. A network representation emerges\, where nodes represent portfoli
 os and edge weights aggregate the common asset holdings and the liquidity 
 of these holdings. As a building block\, we introduce a simple model of or
 der imbalance that estimates price impacts due to liquidity shocks. In our
  model\, asset prices are set by a competitive risk-neutral market maker a
 nd the arrival rates for the buyers and sellers depend on the common asset
  holdings. We illustrate the relevance of our aggregation method and the r
 esulting network representation using data on mutual fund asset holdings. 
 We introduce three related measures of vulnerability in the network and de
 monstrate a strong dependence between mutual fund returns and these measur
 es.\n\n
LOCATION:Seminar Room 1\, Newton Institute
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