“Is the financial system going to erupt again or not?” Engle asks. He addresses that question and discusses the monitoring tools available to measure systemic risk, including those on the Volatility Laboratory (V-Lab) website. Much of his emphasis is on the systemic risk, or SRISK, metric, which seeks to answer the question of how much capital a financial institution would need to raise to function normally in the event of another financial crisis. He concludes, “I think we’ve some things to worry about. I’ll leave you with that.”
A session from the 2008 Financial Crisis: A Ten-Year Review conference held on 8-9 November 2018 in New York.
About the Speaker(s)
Robert 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.
Professor Engle is the Director of the NYU Stern Volatility Institute and a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, he was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego and Associate Professor of Economics at MIT. He is a member of the National Academy of Science.