GIULIO GIRARDI

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

EDUCATION Ph.D. in Economics, Suffolk University, Boston, MA 2008-May 2012 (Expected) Dissertation Committee: A. Tolga Ergun (chair), Laurence Kotlikoff (Boston University), Jounbyung Jun M.A. Economic Policy, Boston University, Boston, MA M.S. in Economics, (Summa Cum Laude), University of Modena, Italy B.A. in Economics, (Summa Cum Laude), University of Modena, Italy 2006-2008 2003-2005 2000-2003

RESEARCH AND TEACHING INTERESTS Research: Financial Economics, Applied Times-Series Analysis Teaching: Financial Economics, Applied Econometrics, Introductory and Upper-level Economics, Statistics

TEACHING EXPERIENCE Adjunct Professor, Northeastern University, Boston, MA Principles of Economics Adjunct Professor, Suffolk University, Boston, MA 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

2011-present 2009-present

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) Excellence in Teaching Award (granted to best teacher in the Economics Department), Suffolk University Tuition waiver to pursue PhD in Economics, Suffolk University Master and Back scholarship, Sardinia Region, Italy Fellowship Premio di Studio to outstanding candidates (top 2%), University of Modena Erasmus Project Scholarship (Merit-based), University of Modena

2011 2011 2008-2010 2006-2009 2002-2005 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 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 Convergence, Interconnectedness, and Crises: Insurance and Banking Temple University, Philadelphia, PA Midwest Finance Association Conference (60th meeting), Chicago, IL International Paris Finance Meeting (8 edition), Paris, France
th

2011 2011 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. Systemic risk contributions based on CoVaR and institutions' VaR are only weakly related both in the cross-section and in the time-series. Depository institutions are the most systemically risky in the sample period June, 2000 to February, 2008, followed by broker-dealers, insurers, and non-depository institutions0. 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. We find that, while during the first half of our period (1/13/19955/30/2003), 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 part of our sample (6/01/2003-9/30/2011). Our results reveal that, during the last eight years, traditional correlation measures under-estimated extreme co-movements across countries and industries and, as a consequence, failed to recognize the erosion of diversification opportunities during extreme periods overstating the benefits of international diversification strategies.