Monitoring Risk with V-Lab

Tuesday, September 19, 2017 - 3:00pm EDT

  • Location:Rogers Hall, 6 MetroTech Center, MakerSpace

You are cordially invited to attend the FRE Lecture Series at 3PM on Tuesday, September 19th in the Event MakerSpace - Rogers Hall, 1st Floor.

Our invited guest is Robert Engle, Professor of Finance, Stern School of Business who will present a lecture on the following topic:


Title

Monitoring Risk with V-Lab

Abstract

V-LAB publishes the NYU Stern Systemic Risk Rankings, which measure the systemic risk contribution of financial firms and countries using innovative statistical and economic models.  These rankings reflect the current levels of capital shortfall of more than 1000 firms, which are widely watched by investors, academics and regulators. 

Bio

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 Volatility Institute at the Stern School at NYU.  In this role, he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website.  These measures include volatility, correlation, long run value at risk and liquidity, which are updated daily for thousands of global financial assets. 

Light refreshments will be served. Please mark your calendars. Hope to see you all there.