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https://hdl.handle.net/2142/129681
Description
Title
Three essays on financial market networks
Author(s)
Chen, Belinda
Issue Date
2025-04-08
Director of Research (if dissertation) or Advisor (if thesis)
Kiku, Dana
Doctoral Committee Chair(s)
Kiku, Dana
Kargar, Mahyar
Committee Member(s)
Pearson, Neil
Plante, Sebastien
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Financial Market
Network
Abstract
This dissertation explores the growing importance of network structures in financial markets by examining how firm-level interconnections shape risk transmission and aggregate outcomes. Through three essays, it highlights the role of production-based input-output networks in amplifying idiosyncratic shocks and driving both aggregate volatility and asset pricing dynamics. The first essay develops a dynamic model linking firm-level volatility spillovers to market-wide uncertainty, introducing novel network-based risk factors that are both predictive and priced. The second essay applies Graph Neural Networks to firm credit risk prediction, demonstrating how incorporating inter-firm network features enhances predictive power and interpretability. The final essay provides a theoretical foundation for how persistent, interconnected firm-level risks can generate macroeconomic tail events, even in the absence of large individual shocks. Together, these studies underscore the critical role of financial market networks in understanding modern economic and financial phenomena.
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