Nobel laureate discusses systemic risk at the OeNB

On October 23, 2015, the OeNB welcomed Economics Nobel Laureate Robert Engle to discuss “Systemic risk: challenges for research and economic policy” with OeNB Vice Governor Andreas Ittner and Professor Engelbert Dockner of the Vienna University of Economics and Business.   

The financial crisis has contributed to moving the topic of systemic risk from academia and financial regulation to the public debate on economic policy. The concept of systemic risks describes those risks that could potentially jeopardize the functioning of the entire financial system but are – initially – not discernible at the level of individual institutions or market segments. When systemic risk materializes, the consequence is usually a severe financial crisis, potentially affecting both banks and capital markets, and ultimately implying a major impact on macroeconomic developments. It is therefore essential to promote the deeper understanding of systemic risk both in academia and in the field of economic policy.

Robert Engle, Professor of Finance at New York University Stern School of Business, received the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2003 together with Clive Granger. Professor Engle was awarded the prize for developing a method for the analysis of economic time series with time-varying volatility. In the subsequent years, he focused on researching and analyzing systemic risks, in the course of which he founded the Volatility Institute and developed a tool called V-Lab. V-Lab provides real-time measurement, modeling and forecasting of financial volatility and employs methods for the observation of systemic risks in the financial system to generate daily estimates of systemic risks.