GIULIO GIRARDI

10 Westland Ave, Apt. 4 Boston, MA 02115 Phone (Cell): 857-277-3475 Email: ggirardi@suffolk.edu Web: www.giuliogirardi.com

EDUCATION

Ph.D. in Economics, Suffolk University, Boston MA, May 2012 (Expected) Dissertation Committee: A. Tolga Ergun (chair), Laurence Kotlikoff (Boston University), Jounbyung Jun M.A. Economic Policy, Boston University, Boston MA, 2008 M.S. in Economics, (Summa Cum Laude), University of Modena, Italy, 2005 B.A. in Economics, (Summa Cum Laude), University of Modena, Italy, 2003

RESEARCH AND TEACHING INTERESTS

Research: Financial Economics, Applied Times-Series Analysis, Risk Management Teaching: Financial Economics, Applied Econometrics, Introductory and Upper-level Economics, Statistics

TEACHING EXPERIENCE

Adjunct Professor, Northeastern University, Boston MA, 2011-present Principles of Economics Adjunct Professor, Suffolk University, Boston MA, 2009-present Principles of Microeconomics (Fall, Spring, and Summer) Principles of Macroeconomics (Fall, Spring, and Summer) Overall Rating (based on student evaluations): - Principles of Microeconomics: 4.82/5.0 - Principles of Macroeconomics: 4.81/5.0 Certification: e-Certified Instructor for online learning, Northeastern University, Boston MA

OTHER WORKING EXPERIENCE

Economist (Intern), Department of Revenue at Massachusetts Government, Office of Tax and Policy Analysis, Boston MA, May 2008-Sept 2008

SCHOLARSHIP AND AWARDS

Midwest Finance Association Grant, Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (top 10 papers PhD students), 2011 Excellence in Teaching Award (granted to best teacher in the Economics Department), Suffolk University, 2011 Tuition waiver to pursue PhD in Economics, Suffolk University, 2008-2010 Master and Back scholarship, Sardinia Region, Italy, 2006-2009 Fellowship Premio di Studio to outstanding candidates (top 2%), University of Modena, 2002-2005 Erasmus Project Scholarship (Merit-based), University of Modena, 2004

WORKING PAPERS

Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (with A. T. Ergun) Job Market Paper (submitted to Journal of Banking and Finance) Are the Benefits from International Diversification Eroding? Investigating the Extreme-Value Dependence of Country and Industry Portfolios

WORK IN PROGRESS

Forecasting Equity Returns using Neural Network Techniques (with Kalisbek K. Makilov) How to Account for Interdependence of Risk in Financial Markets? A Comparison Across, GARCH, EVT and Quantile Analysis for Conditional Value at Risk Estimation

CONFERENCE PRESENTATIONS

Conference on Hedge Funds - Hedge Funds, Market Liquidity and Systemic Risk (4th edition), Paris, France, scheduled Jan. 2012 Convergence, Interconnectedness, and Crises: Insurance and Banking, Temple University, Philadelphia PA, scheduled Dec. 2011 Midwest Finance Association Conference (60th meeting), Chicago IL, 2011 International Paris Finance Meeting (8th edition), Paris, France, 2010

OTHER SKILLS

LANGUAGES: English, Italian (native), and French (intermediate) COMPUTER SKILLS: Matlab; Eviews; R-project; GRETL; Scientific Workplace
PERSONAL INFORMATION

U.S. Permanent Resident, Italian citizenship

REFERENCES

Professor A. Tolga Ergun Department of Economics Suffolk University Phone: (617) 557-1524 Email: tergun@suffolk.edu

Professor Laurence Kotlikoff Department of Economics Boston University Phone: (617) 353-4002 Email: kotlikof@bu.edu

Professor Jongbyung Jun Department of Economics Suffolk University Phone: (617)-994-4257 Email: jjun@suffolk.edu

Professor Sergio Paba Department of Economics Provost, University of Modena Phone: +39 (059) 205-6476 Email: sergio.paba@unimore.it

GIULIO GIRARDI
Systemic Risk Measurement: Multivariate GARCH estimation of CoVaR (with A. T. Ergun) Job Market Paper
The recent economic recession has drawn the attention of many to the fragility of the financial system. The need for better understanding and quantifying systemic risk has led researchers to propose several risk measures. In this work we build on and modify a recently proposed measure of systemic risk, CoVaR: the Value-at-Risk (VaR) of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows us to consider more severe distress events that are farther in the tail; to estimate CoVaR using the full-suite of GARCH models; and to backtest CoVaR. The backtesting of our newly defined CoVaR measure is one of the few attempts in the literature to test for accuracy of systemic risk measures. We define the systemic risk contribution of an institution as the change from its CoVaR in its benchmark state, which we take as a one-standard deviation event, to its CoVaR under financial distress. We estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period June 2000 to February 2008. Given the recent discussions about the close regulatory scrutiny of systemically important institutions, we also investigate the extent to which institutions' characteristics such as size, leverage, and equity beta help predict systemic risk contributions. Finally, using 12 months of data prior to the beginning of June 2007, we compute industry groups' pre-crisis systemic risk contributions.

Are the Benefits from International Diversification Eroding? Investigating the Extreme-Value Dependence of Country and Industry Portfolios
The likelihood of extreme co-movements between international stock markets is of massive importance for investors who wish to diversify their portfolios globally. If international diversification is likely to breakdown in times of financial distress, then cross market diversification may be of limited use as a means of reducing risk exposure. This paper applies Multivariate Extreme Value Theory (MEVT) to measure the dependence of co-exceedance losses of portfolios diversified internationally across either geographical areas or industries. The main goal of our work is to investigate whether conventional dependence measures, such as the Pearson correlation coefficient, can be used as a proxy to assess the benefits of these portfolios in times of financial distress. Our results reveal that, during our sample period (1/13/1995-09/30/2011), the erosion of diversification benefits during extreme periods was much higher than predicted by global correlation measures. Moreover, while during the first half of our sample (1/13/1995-5/30/2003), correlation of large negative returns decrease as we move further in the tail of the multivariate distribution, the opposite seems to be true for the second half (6/01/2003-9/30/2011). This pattern is particularly evident for cross-industry correlations and robust to autocorrelation and volatility filtering. Our analysis reveals that accessing the benefits of industry and country diversification strategies via traditional correlation measures may not be reflective of their extreme comovements. The findings relative to the dependence of extreme observations seem, for the last eight years of our sample, particularly alarming for investors trying to minimize the likelihood of large systemic losses of their international portfolios.