We combine in-depth
quantitative knowledge and
The Center for Risk Management at Lausanne (CRML) based at HEC Lausanne within UNIL focuses on risk management and quantitative methods. The main objective of the Center is to carry out internationally competitive research and to translate breakthroughs into ideas that are implemented in the local and global industry as well as by the regulator and central banks.
The Center needs support for the improvement of this website and the methodologies behind it. We seek partnerships with the financial industry, the regulators, or the media to further promote risk measurement.
For the moment, the Center focuses on systemic risk measures in the banking industry, but it plans to diversify toward new fields.
Eric Jondeau, Director of the Center
Systemic risk measures for European financial institutions
The SRISK measures correspond to that capital shortfall of the firms in case of a new financial crisis, defined as a 40% semi-annual decline of the world stock market. They are constructed by the Center for Risk Management at Lausanne, in collaboration with the NYU Stern’s Volatility Institute, run by NYU Stern Professor and Nobel Laureate Robert Engle.