Category Archives: Systemic Risk

NYU Stern Volatility Institute Launches at NYU Shanghai

NYU Shanghai is celebrating the launch of the Volatility Institute at NYU Shanghai. The Volatility Institute at NYU Shanghai, located at the NYU Shanghai Pudong Academic Building in the heart of Liujiazui, Shanghai’s financial center, aims to create opportunities for … Continue reading

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Benchmarking the European Central Bank’s Asset Quality Review and Stress Test: A Tale of Two Leverage Ratios

The following is an excerpt from a recent paper written by NYU Stern Professor Viral Acharya and Sascha Steffen: In November 2014, the ECB published its asset quality review (AQR) and comprehensive assessment (ECB 2014), as well as capital shortfall … Continue reading

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NYU Stern Professor Nouriel Roubini Argues that the US is Keeping the Global Economy Afloat

The following is an excerpt from an op-ed titled “The Single-Engine Global Economy” by NYU Stern Professor Nouriel Roubini on Project Syndicate: The global economy is like a jetliner that needs all of its engines operational to take off and … Continue reading

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Professor Viral Acharya’s Research on Eurozone Stress Testing is Highlighted

The following is an excerpt from the Financial Times: Last week, 25 banks failed the asset quality review (AQR) conducted by the European Central Bank for 130 of the eurozone’s largest banks. In the stress test performed by the European … Continue reading

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“The End of Market Discipline? Investor Expectations of Implicit Government Guarantees” by Professor Viral Acharya

Professor Viral Acharya and his co-authors, Deniz Anginer of Virginia Tech and the World Bank and A. Joseph Warburton of Syracuse University, find that bondholders of major financial institutions have an expectation that the government will shield them from large … Continue reading

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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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