Category Archives: Systemic Risk

Understanding the Russian Sanctions by Roy C. Smith and Ingo Walter

The latest tightening of the US and EU sanctions on Russian business and finance will provide an interesting lesson in international political, economic and military affairs. Here are some key issues to think about: These Financial Sanctions Can Be Very … Continue reading

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Nobel Laureate and Professor Robert Engle on VaR, Systemic Risk, and Liquidity

The following is and excerpt from an interview with Professor Robert Engle and the CFA Institute: “I sat down with Nobel laureate Robert Engle in Tokyo last month to discuss an amazingly wide range of applications that he and industry … Continue reading

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“The ‘Greatest’ Carry Trade Ever? Understanding Eurozone Bank Risks” by Professor Viral Acharya

Professor Viral Acharya and his co-author, Sascha Steffen of ESMT European School of Management and Technology, show that eurozone bank risks during 2007-2013 can be understood as “carry trade” behavior. They find that banks used short-term unsecured funding in wholesale … Continue reading

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“Guaranteed to Fail” by NYU Stern Professors Makes American Banker’s Summer Reading List

Excerpt from American Banker: “This book alleges that Fannie Mae and Freddie Mac were run as the largest hedge fund on the planet. The four authors, all professors at the Leonard N. Stern School of Business at New York University, … Continue reading

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Prof. Robert Engle is Interviewed About the Financial Services Industry

The following is an excerpt from the El Paso Times:  The nation’s giant banks and other large financial institutions have regained much of the financial cushion they lost during the financial crash of 2008-09, a Nobel Prize-winning economist told University … Continue reading

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Professors Robert Engle & Viral Acharya Warn that European Stress Test Risk Measures are Flawed

On the release of the US Fed’s latest bank stress tests, NYU Stern School of Business Nobel Laureate Robert Engle and Professor of Finance Viral Acharya warn that European regulators’ stress tests miscalculate the amount of systemic risk banks will … Continue reading

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Professor Viral Acharya on Fire-Sale Risk in Financial Markets

The following is an excerpt from Bloomberg Businessweek: Wall Street’s biggest firms are close to agreeing on a plan that would safeguard the financial markets from the crippling fire sales that engulfed Lehman Brothers Holdings Inc. and Bear Stearns Cos. … Continue reading

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Professor Nouriel Roubini Discusses Political Uncertainty in Emerging Markets

The following is an op-ed titled “Emerging-Market Risk and Reward” by NYU Stern Professor Nouriel Roubini: One definition of an emerging-market economy is that its political risks are higher, and its policy credibility lower, than in advanced economies. After the … Continue reading

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NYU Stern Prof. Nouriel Roubini on Emerging Markets

The following is an excerpt from CNBC: While the “Fragile Five” – India, Indonesia, Brazil, Turkey and South Africa – have been among the hardest hit amid the turmoil in emerging markets, famed economist Nouriel Roubini says the threat of … Continue reading

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NYU Stern Prof. Lawrence White on Secondary Mortgage Markets

The following is an excerpt from The New York Times:  The president’s State of the Union address on Tuesday provided a glimmer of hope for those looking for action to revamp America’s mortgage system. In a brief nod in the … Continue reading

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