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清华论坛第六十四讲暨清华五道口全球名师大讲堂

演讲主题:

全球金融稳定展望

Prospects for Global Financial Stability

演讲嘉宾:
罗伯特﹒恩格尔 Robert F. Engle
纽约大学斯特恩商学院Michael Armellino金融学教授
2003年诺贝尔经济学奖获得者
Michael Armellino Professor of Finance, Stern School of Business, New York University
2003 Nobel Laureate in Economics

时间:2016年11月24日下午14:00
地点:清华大学五道口金融学院3号楼3层多功能厅
演讲语言:英文
合作媒体:未央网
主办单位:清华大学学术委员会、清华大学五道口金融学院

演讲人简介:

Robert F. Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

Professor Engle is the Director of the Volatility Institute at the Stern School at NYU. In this role he has developed research tools to track risks in the global economy and make these publicly available on the V-LAB website. These measures include volatility, correlation, long run value at risk and liquidity which are updated daily for thousands of global financial assets.

报告摘要:

How do we identify which countries and firms currently pose the greatest threat of systemic risk? Can we spot these with a mathematical formula? Yes, in fact we can. Our approach starts with a quantitative definition of systemic risk and then calculates a measure called SRISK at a firm level using market and accounting data. We apply that measure at the geographical level of countries and then the entire global economy and publish the results weekly on vlab.stern.nyu.edu. In our development of this methodological approach we’ve found it yields retrospective results flagging the financial firms that contributed to the recent crisis and it provides a natural analog to stress tests with corresponding empirical support. Looking forward we can assess the prospects for global and regional financial stability.

参会条件:清华大学师生、清华大学五道口金融学院校友及合作伙伴
参会方式:会场名额有限,请填写下方申请表单报名,会前会统一发送确认短信。请凭确认短信+工作证/学生证入场。

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