Share / Print
Faculty News

Professor Robert Engle's research on systemic risk is referenced

Business Day Live Logo
Excerpt from Business Day -- "A frequently used metric is the SRISK, a measure of systemic risk used by Nobel laureate Robert Engle and his associates from the New York University’s Stern School of Business. At the firm level, SRISK is the expected capital shortfall — the amount it would cost to bail out the institution to maintain stability in the markets — that is associated with the collapse of the institution under stressed market conditions. This measure is a function of the size of the firm; the extent to which debt is used to finance activity. Equity losses would be expected to be incurred in the long term when the system is under distress."

Read more