Three essays on financial market networks

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois Urbana-Champaign

Year dc:date

2025

Author dc:creator

• Chen, Belinda

Contributors dc:contributor

• Kiku, Dana
• Kargar, Mahyar
• Pearson, Neil
• Plante, Sebastien

• Financial Market
• Network

Statement dc:rights

• Copyright 2025 Belinda Chen

Language dc:language

en, eng

Handle dc:identifier

https://hdl.handle.net/2142/129681

OAI record oai:identifier

https://www.ideals.illinois.edu/oai-pmh?verb=GetRecord&metadataPrefix=etdms&identifier=oai%3Awww.ideals.illinois.edu%3A2142%2F129681