1. MONITORING RISK WITH V-LAB
Robert Engle
Director of Volatility Institute
At NYU Stern
Isaac Newton Institute, Cambridge

2. VLAB.STERN.NYU.EDU Or Google vlab There are four main regions on V-LAB
Volatility
Correlation
Systemic Risk
Long Run Risk
Liquidity
Lets take a look at each before turning to systemic risk.

3. WELCOME PAGE

4. SECTORAL CHANGES IN VOL

5. S&P VOLS

6. MORE INFORMATION

7. COMPARISON OF ASSET CLASSES

8. RUSSIAN ASSETS

9. MICEX, MOSCOW

10. OTHER MARKETS

11. CDS AND EQUITY

12. COMMODITY CORRELATIONS

13. ASSET CLASS CORRELATIONS

14. Systemic risk

15. DEFINITION
How much capital would a financial institution need to raise in order to function normally if we have another financial crisis?
We measure this econometrically based on market data on equities and balance sheet data on liabilities. We update weekly on V-LAB for US and Global financial firms. We call this SRISK.
Principle investigators: Viral Acharya, Matt Richardson and me at the Volatility Institute at NYU’s Stern School. Collaboration with HEC Lausanne and the Institute for Global Finance at University of New South Wales. Contributions by Christian Brownlees, Rob Capellini, Diane Perriet, Emil Siriwardane.
References: Acharya, Pedersen, Phillipon, Richardson “Measuring Systemic Risk (2010); Acharya, Engle, Richardson “Capital Shortfall, A New Approach to Ranking and Regulating Systemic Risks, AEAPP (2012), Brownlees and Engle, “Volatilities, Correlations and Tails for Systemic Risk Measurement”,2010

16. GLOBAL SRISK SINCE 2000
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VOLATILITY INSTITUTE

17. WHERE IS THE RISK today?
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VOLATILITY INSTITUTE

18. US SINCE 2000
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VOLATILITY INSTITUTE

19. ASIA SINCE 2000
8/8/2019
VOLATILITY INSTITUTE

20. CHINA and JAPAN
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VOLATILITY INSTITUTE

21. EUROPE SINCE 2000