NYU Stern Systemic Risk Ranking

SPEAKER

Robert Engle, NYU Stern School of Business

ABSTRACT

The financial crisis revealed the serious impact on the real economy that could be caused by the collapse of a large financial firm. Regulatory policy naturally should strive to deduce the probability of such events. The Stern Systemic Risk Rankings are a market based measure of the relative risk of US Financial Firms. These are based on estimating the fall in equity value that can be expected in a future crisis using modern time series methodology. Estimates of capital shortfall in such a crisis are computed and provide a ranking of firms.

PRESENTATION

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