Our main partner in the development of systemic risk measuresis NYU Stern’s Volatility Institute, with its web presence at V-LAB, run by NYU Stern Professor and Nobel Laureate. Robert Engle. The V-LAB houses the NYU Stern Systemic Risk Rankings. Professor Engle and his former post-doctoral students Chris Brownlees and Gonzalo Rangel created the seminal econometrics of the NYU Stern Systemic Risk Rankings, which we promote here. The CRML then developed a model to measure systemic risk for European institutions, in collaboration with the Volatility Institute. See the working paper by Profs. Engle, Jondeau, and Rockinger.
We are also partner with the Risk Management Institute of the National University of Singapore. Both CRML and RMI shares research interest and a vision of how academia should contribute to the measurement of risk. This partnership promotes visits to exchange ideas on how to improve the risk measures. RMI has a focus on credit rating, see also here.
So far, Prof. Rockinger visited the RMI on October 20, 2011 and Prof. Jin Duan, Director of the RMI visited HEC on October 5, 2012 for talks in the respective research seminars. Prof. Jondeau visited the Volatility Institute in September and October 2012.
The Institute of Banking and Finance thanks Synopsis Asset Management for its help to construct this website. We are currently working with a former student of ours, Mrs. Thi-Kin Kim at Synopsis, to develop worldwide heat maps of systemic risk. The methodology for these heat-maps is based on a thresholding technology as described in Goldstein, Kaminsky, and Reinhart (Assessing Financial Vulnerability: An Early Warning System for Emerging Markets, Institute for International Economics, 2000). Unlike the systemic risk measures for financial institutions, this methodology uses long-run macroeconomic data such as inflation, exchange rates, interest rates, to detect where macro-economic default risk has increased.
We express our gratefulness to the Faculty HEC from the University of Lausanne, which supported us with the development of this website.
In order to further develop our risk measures and to promote those measures with this web site, we are actively seeking and encouraging further partnerships.
Remark: CRML is not responsible for any losses that might be incurred by the use of the measures presented here. The usual disclaimer concerning links to other websites applies.