The following is an excerpt from a FT blog entry entitled “Computing the bill for European taxpayers, come the next crisis.”
“Eric Dor of the IESEG School of Management in Paris, whose previous work includes A User’s Guide to Leaving the Eurozone.
Recently he’s been playing around with the “SRISK” calculations of systemic risk developed at the Volatility Laboratory housed within the Stern business school in New York.
Rather than slog through the work associated with traditional stress testing — adding up all the losses that might be incurred in each specific asset class across a particular bank — the SRISK approach simply estimates the likely decline of the market value of a bank’s equity in the event that the wider stock market falls 40 per cent.
Read the entire FT article here.
The Volatility Lab at NYU Stern provides real time measurement, modeling and forecasting of financial volatility, correlations and risk for a wide spectrum of assets. V-Lab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature. The aim of the website is to provide real time evidence on market dynamics for researchers, regulators, and practitioners.