Time and date: 24 April 2024 at 2:00 pm | Location: Abacws 1.04 | Speaker: Fan Wu
In this talk, I will first introduce the concept of financial contagion and explain why network analysis is crucial in modelling it, based on a literature review conducted through a systematic search of the topic. I will then focus on a case study of the recent 2023 banking crisis, particularly emphasising how the collapse of SVB (Silicon Valley Bank) changes the network dynamics of the US Tech Industry. We combine LASSOed VAR (Vector Autoregressive) and network analysis to examine both static and dynamic volatility risk contagion among 30 tech companies in the US before and after the SVB collapse. We found that the TCI (Total Connectedness Index) shows a downward trend, which indicates the contagion risk decreased after the SVB collapse. Furthermore, we discovered the density of the network dropped and highlighted the key player and the risk transmission path within this network. These results offer insights for different stakeholders to mitigate the risk associated with such failures.
