Robert F. Engle, Nobel Prize Awarded 2003, Professor at NYU Stern School of Business, will give a lecture on the topic "Systemic Risk with Endogenous Cycles".
When financial institutions are undercapitalized they are not only vulnerable to external shocks, but they may inadvertently generate such shocks. When financial institutions act to improve their capital structure, they may induce exactly the financial crisis that regulation seeks to prevent. The economics of systemic risk cycles will be discussed along with empirical evidence. The cycles can be observed in both the downward and upward direction. From this point of view we can develop a measure of the distance to crisis as a way to assess how close an economy is to a financial crisis.
The conference will take place on the University of Lausanne campus, Quartier de Dorigny (metro stop UNIL-Dorigny), Anthropole building, room 1031