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Professor Robert F. Engle’s lecture notice

Publish Date: 2016/11/10 14:40:58    Hits:
How do we identify which countries and firmscurrently pose the greatest threat of systemic risk? Can we spot these with amathematical formula? Yes, in fact we can. Our approach starts with aquantitative definition of systemic risk and then calculates a measure calledSRISK at a firm level using market and accounting data. We apply that measureat the geographical level of countries and then the entire global economy andpublish the results weekly on vlab.stern.nyu.edu. In our development of thismethodological approach we’ve found it yields retrospective results flaggingthe financial firms that contributed to the recent crisis and it provides anatural analog to stress tests with corresponding empirical support. Lookingforward we can assess the prospects for global and regional financialstability.