“The Systemic Risk Approach Based on Implied and Realized Volatility“ - seminar by QFRG & DSLab [03.04.2023]

We kindly invite you to join the coming seminar organised jointly by the Quantitative Finance Research Group and Data Science Lab.

During the coming meeting the research by prof. Robert Ślepaczuk – Head of the Department of Quantitative Finance, Paweł Sakowski, Ph.D. - Assistant Professor in the Department of Quantitative Finance of the Faculty of Economic Sciences and Rafał Sieradzki, Ph.D. (New York University Stern School of Business, Cracow University of Economics) will be presented.

The meeting will take place on April 3rd 2023 from 6:30, p.m. via Zoom platform.

Link to the meeting: https://bit.ly/qfrg-dslab-seminar

Meeting ID: 982 2842 8808, passcode: 636564

The meeting will be conducted in English. Please log in the latest at 6:20 p.m.

Joining a meeting implies consent to recording. Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.

Presentation abstract:

We analyzed the systemic impact of the major financial market turmoils from 2000 until 2021 (Great Financial Crisis 2007-2008, 2015, February and October-November 2018, and the COVID-19 pandemic) in the USA, Europe, Brazil, and Japan using the Implied Volatility Realized Volatility Systemic Risk Indicator (IVRVSRI). The methodology applied was based on the logic that “the simpler is almost always better than the more complex" if it leads to the same results. Our indicator shows that the reaction of stock markets varies across different geographical locations and their persistence depends on the historical volatility and long-term average volatility level. Moreover, the IVRVSRI indicator seems to be the perfect indication of current systemic risk on equity markets.