Outline 1. Motivation 2. Statistical Methodology 3. Systemic Risk Modelling 4. Empirical Analysis 5. Conclusion 6. References
What is Systemic Risk?
Systemic risk is a "risk of financial instability so widespread that it impairs the functioning of a financial system to the point where
economic growth and welfare suffer materially". ECB, Financial Network and Financial Stability, 2010.
"Financial institutions are systemically important if the failure of the firm to meet its obligations to creditors and customers would have significant adverse consequences for the financial system and the broader economy". Daniel Tarullo, Regulatory Restructuring, 2009.
Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn. He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He directs IDA Institute for Digital Assets,
University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance. He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com He is 玉山学者 (Yushan Scholar), web page hu.berlin/wkh