Topic: Prospects for Global Financial Stability
Speaker: Robert F. Engle, Michael Armellino Professor of Finance, Stern School of Business, New York University; 2003 Nobel Laureate in Economics
Date: November 24th (Thursday.)
Location: Building 3, Room 300
How do we identify which countries and firms currently pose the greatest threat of systemic risk? Can we spot these with a mathematical formula? Yes, in fact we can. Our approach starts with a quantitative definition of systemic risk and then calculates a measure called SRISK at a firm level using market and accounting data. We apply that measure at the geographical level of countries and then the entire global economy and publish the results weekly on vlab.stern.nyu.edu. In our development of this methodological approach we’ve found it yields retrospective results flagging the financial firms that contributed to the recent crisis and it provides a natural analog to stress tests with corresponding empirical support. Looking forward we can assess the prospects for global and regional financial stability.
About the speaker:
Robert F. Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.