Credit Default Swap Spreads and Systemic Financial Risk

Stefano Giglio joined Chicago Booth in 2011 as an Assistant Professor of Finance, after earning his Ph.D. and A.M. in Economics from Harvard University. His research interests span several topics, including asset pricing, macroeconomics, and real estate, with a particular focus on the role of frictions in credit markets. His work on the spillover effect of foreclosures has recently been published on the American Economic Review. His most recent paper explores the role of counterparty risk in Credit Default Swap markets and its relation to the measurement of systemic risk. For his work at Harvard, he has received the Martin Cornerstone Grant and the Douglas Dillon Fellowship from the University.
Giglio is currently a visiting scholar at the Federal Reserve Bank of Boston, where he pursues research in real estate. Prior to his doctoral studies, he has worked at the Wharton Research Data Services of the University of Pennsylvania. His teaching experience as a fellow at Harvard covers courses in Corporate Finance, Asset Pricing and Macroeconomics. He holds a B.A. in Economics (with honors) and an M.S. in Economics (with honors) from Bocconi University in Milano.

Outside of academia, Giglio enjoys playing the violin (he has been a member of the Dudley Orchestra at Harvard for the past 4 years), skiing, and reading.

This event is an Erasmus Finance Seminar. The Erasmus Finance Seminar series brings prominent researchers in Finance from all over the world to Rotterdam.