Seminar Notice

Venue: Seminar hall 

Date & Time: 30/08/2022 at 3:00 PM



“Network Analysis of Contagion Between a Large Number of Financial Entities


Financial contagion is defined as a significant increase in cross-linkages after a shock to an individual financial entity. Networks, broadly understood as a collection of nodes and links between nodes, can be a useful representation of the financial system. In most of the related works in literature, network representation of the stock market is based on linear methods of association, such as the cross-correlations of stock price fluctuations. We model a tail-based association network of financial linkages with contagion detected by using the method of Residual and Recurrence Times (RRT). Empirically, the resulting tail-based networks accurately capture the increase in market linkages at turbulent times and discover new connections that linear methods of associations fail to detect

About the Speaker:
Prof Rituparna Sen is Associate Professor at the Applied Statistics Division, Indian Statistical Institute, Bangalore.She worked as Assistant Professor at the University of California at Davis from 2004–2011 after obtaining a PhD in statistics from the University of Chicago, USA.
She has also taught courses at Chennai Mathematical Institute and Madras School of Economics.
She has authored over thirty papers and a book on Computational Finance with R. She is the editor of the journal Applied Stochastic Models in Business and Industry and associate editor of several other journals.