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Prospects for Global Financial Stability

Release time:November 21, 2016 /

Speaker: Robert F. Engle  

Date:23th, Nov 9:00 AM  

Venue:NO.1 lecture hall, new main building  

 

Abstract:  

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 have 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.  

 

The brief intro of the speaker:  

Robert F. Engle is a co-recipient of the 2003 Nobel Memorial Prize in Economic Sciences, honored for developing methods to analyze unpredictable movements in the financial market.  

Born in New York in 1942, economist Robert F. Engle is best known for winning the 2003 Nobel Memorial Prize in Economic Sciences for developing methods to analyze "economic time series with time-varying volatility," or unpredictable movements in the financial market. He shared the award with Clive W.J. Granger. Engle and Granger's work led to the development of tools for analyzing stocks, enabling economists to make more accurate market forecasts.  

Robert F. Engle accepted a teaching position at the Massachusetts Institute of Technology, where he was an assistant and then an associate professor from 1969 to 1977. He then joined the faculty of the new University of California campus at San Diego. He held this position until 2003, when he transitioned into the role of professor emeritus and research professor. Engle teaches courses in the management of financial services at the New York University Stern School of Business. (http://www.biography.com/people/robert-f-engle-13607503#personal-life)