Stern Center for Research Computing

New York University • Leonard Stern School of Business

Research Projects Supported by SCRC

  • Volatility, Correlation and Tails for Systemic Risk Measurement

    Title Volatility, Correlation and Tails for Systemic Risk Measurement Authors: Christian T. Brownlees and Robert F. Engle Date: May 2010 Abstract The Great Recession of 2007/2009 has motivated market participants, academics and regulators to better understand systemic risk. Regulation is now designed to reduce systemic risk. However, it is not yet clear how to measure […]

  • A Practical Guide to Volatility Forecasting through Calm and Storm

    Title A Practical Guide to Volatility Forecasting through Calm and Storm Authors: Christian T. Brownlees, Robert F. Engle, Bryan T. Kelly Date: November 2009 Abstract We present a volatility forecasting comparative study within the ARCH class of models. Our goal is to identify successful predictive models over multiple horizons and to investigate how predictive ability […]

  • Measuring Systemic Risk

    Title Measuring Systemic Risk Authors: Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon, and Matthew Richardson Date: May 2010 Abstract We present a simple model of systemic risk and we show that each financial institution’s contribution to systemic risk can be measured as its systemic expected shortfall (SES ), i.e., its propensity to be undercapitalized […]