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Carlo Acerbi

received a PhD in Theoretical Physics from the International School for Advanced Studies (SISSA - ISAS), Trieste, Italy, before turning to Finance in 1997. In the past he worked as a Risk Manager and a Financial Engineer for Italian banks, and as a senior expert in the risk practice of McKinsey & Co. He currently leads the research team on Liquidity Risk at MSCI. His main areas of interest in finance are risk management and derivatives pricing. He is the author of several papers in renowned international journals, focusing in particular on the theoretical foundations of financial risk and the extension of portfolio theory to illiquid markets. He is a member of the board of 'The Journal of Risk' and an Executive Fellow of the Essex Business School.

http://www.risk.net/static/carlo-acerbi

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Preliminary Results on Cross Impact Effects

Cross impact refers to the phenomenon where one asset's transaction costs influences another's, as a result of common supply and demand effects. We introduce the subject, illustrating a number of relevant cases from selected markets. We propose a model of cross impact effects, based on the assumption that assets may be characterized as the tradable vehicle of common sources of liquidity which themselves are not directly tradable. We then present some preliminary empirical tests of the model based on equity options markets.

Last modified: 2018.11.30.