Volatility and Risk Institute
An interdisciplinary center for research on financial, geopolitical, cyber, and climate risks by scholars, practitioners, and policymakers
OUR MISSION
The Volatility and Risk Institute is an interdisciplinary center for research and analysis of financial and nonfinancial risks. It serves as a designated hub to support risk-related research and collaboration among scholars, practitioners, and policymakers. It supports, promotes, and facilitates risk analysis, assessment, and measurement, and creates a bridge between faculty research and a specialized group of practitioners and market participants on the cutting-edge of real-world risk issues. To assess and analyze these risks, we are employing new data and analytical tools including those from data science and a wide range of machine learning technologies. Our Faculty Board is composed of members from the Tandon School of Engineering, the Courant Institute of Mathematical Sciences, the Wilf Family Department of Politics in the Faculty of Arts & Science, the Wagner Graduate School of Public Service, the School of Global Public Health, the Law School, and the Stern School of Business. Our focus is on newly emerging forms of risk including climate risk, geopolitical risk, cyber risk, more recently pandemic risk, as well as new topics in financial risk.
VOLATILITY AND RISK INSTITUTE UPDATES
Symposium on Market Microstructure and Financial Stability - July 8th
We are co-hosting a symposium on Market Microstructure and Financial Stability with the Jain Family Institute (JFI) and the Yale Program for Financial Stability (YPFS) on Monday, July 8, 2024 from 9:00am to 4:30pm.
Fifth Annual VRI Conference on "Insurance and Rising Climate-Related Risks" - April 26, 2024
The Volatility and Risk Institute hosted its annual conference on Friday, April 26, 2024 from 8:15am - 5:30pm. The topic was "Insurance and Rising Climate-Related Risks" Videos from the event are available on our conference website.
Professor Engle receives an Bernstein Fabozzi/Jacobs Levy Award for his article "Compound Tail Risk"
Professor Robert Engle's was awarded an Outstanding Article Award for the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards for "Compound Tail Risk."
The Bernstein Fabozzi/Jacobs Levy Awards are selected by members of the Portfolio Managment Research community and highlight the most innovative research published in The Journal of Portfolio Management.
Phil Venables and the PCAST "Strategy for Cyber-Physical Resilience" Report
VRI Advisory Board alumnus, Phil Venables, is on the President’s Council of Advisors on Science and Technology. The council published a report on the "Strategy for Cyber-Physical Resilience"
VRI & IMF co-host "The Rise and Risks of Private Credit" Panel
On Monday, April 8, 2024, the NYU Stern Volatility and Risk Institute and the International Monetary Fund (IMF) co-hosted an event with a presentation and panel discussion on the new IMF April 2024 Global Financial Stability Report, focused on a chapter titled, “The Rise and Risks of Private Credit.” A video of the panel is available on the IMF's website.
Nancy Wallace presents on "Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires"
Nancy Wallace (UC-Berkeley) presented a QFE seminar on her paper "Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires" at the Volatility and Risk Institute on Monday, March 25, 2024. A full video of the seminar is now available.
VRI co-hosts "Catastrophic Cyber Risk and a Potential Federal Insurance Response Conference" with US Treasury Office of Insurance
The Volatility and Risk Institute and U.S. Department of the Treasury’s Federal Insurance Office's held a conference on "Catastrophic Cyber Risk and a Potential Federal Insurance Response" on on Friday, November 17th, 2023 from 8:30am to 12:30pm.
Virtual Talk And Q&A With Maya MacGuineas - Wednesday, 11/15
THE VRI and Center for Global Economy and Business held a talk and Q&A with Maya MacGuineas (President, Committee for a Responsible Federal Budget) on Wednesday, November 15, 4:45pm - 5:45pm.
Richard Berner at Financial Services Forum Summit 2023
Richard Berner discussed Migration of Risk within the Financial Sector on a panel at the 2023 Financial Services Forum Summit Conference on September 26th in Washington, DC. The full panel video is now available.
VRI publishes SVB and Beyond: The Banking Stress of 2023
In SVB and Beyond: The Banking Stress of 2023, NYU Stern Faculty and their collaborators provide a diagnosis and organizing framework to understand the banking stress of 2023, as well as a collection of policy proposals to ensure financial resilience in its wake. The full book is now available!
Robert Engle
Richard Berner
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The Volatility Laboratory (V-Lab) provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets.
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