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.
Since the beginning of 2018, the CRML currently has a parternship with BCV in the field of ESG investing.
The CRML thanks Synopsis Asset Management (now Cronos Finance) for its help to construct 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.