The best and brightest scholars in the field of finance came together Wednesday, May 9 for the third biennial “Rising Stars Conference.”
The conference was hosted by the Fordham Schools of Business, in conjunction with the Leonard N. Stern School of Business at New York University and the Lally School of Management and Technology at Rensselaer Polytechnic Institute, at the New York Athletic Club.
Nobel Laureate Robert F. Engle, Ph.D., the Michael Armellino Professor of Management and Financial Services at New York University, delivered the keynote address, “Global System Risk with Dynamic Conditional Beta.”
In his talk, Engle discussed the most recent results of the econometric model developed at the Volatility Institute. The Volatility Lab runs weekly estimates on 1,200 global financial institutions, and based on the model, computes an “S Risk.”
An S Risk, he explained, is the amount of capital a firm would need to raise in order to remain functional if there is another financial crisis. His assessment of the current state was not optimistic, as many major banking institutions that are every bit as “too big to fail” as they were in 2008, have high S Risk ratings.’
“Those of you who read the paper every day know that global systemic risk is with us today. We are seeing every day new events in Europe that we worry are going to bring the Eurozone to its knees and perhaps the global economy again,” he said.
“The bottom line is, we’re not so far from where we were in August, 2008. Actually, our estimates are a little higher than in 2008. That was a very dangerous time. That’s when the whole financial crisis was about two weeks away from blowing up,” he said. “So this remains a high risk.”
The day-long conference also featured presentations of papers by four stars:
“Boundedly Rational Dynamic Programming,” by Xavier Gabaix, Ph.D., Martin Gruber Professor of Finance at New York University;
“Do Peer Firms Affect Corporate Capital Structure?” by Michael R. Roberts, Ph.D., associate professor of finance at the University of Pennslyvania;
“Learning from Inflation Experiences” by Ulrike Malmendier, associate professor of economics and finance at the University of California, Berkley;
and “Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments by Steven Ongena, Ph.D., professor of empirical banking at Tilburg University.
Along with Engle, the four stars and eight participants were honored with rising stars awards by Stephen Freedman, Ph.D., Provost of Fordham University.