The Volatility Institute hosted its fifth annual Conference on April 26th, 2013 titled, "Volatility of Credit Risk."
Click here for the Fifth Annual Volatility Institute Conference Program. You can view photos from the event here.
Darrell Duffie (left), Keynote Speaker at the 2013 Volatility Institute Conference, has a conversation with host Robert Engle.
The prices of credit sensitive financial products have become far more volatile since the financial crisis. This presents a challenge to risk managers, central clearing parties, ratings agencies and regulators who must evaluate both short and long run risks of credit positions and the solvency of private institutions and sovereigns. Changes in the credit outlook for individual firms fluctuate with broad market indices as well as idiosyncratic shocks. These comovements may reveal systemic risk. Changes in credit are often reflected in changes in equity prices which can be used in measuring the volatility of credit.
Econometric issues such as jumps and non-stationarity are potentially important challenges. Measures of tail risk are often reflected in credit derivative prices. Liquidity in these markets is also important and may be an independent driver of volatility. This conference will bring together academics, practitioners and regulators to discuss the latest research and ideas on the Volatility of Credit Risk. There will be a panel as well as a collection of papers with discussants.
The Volatility Institute, The Alfred P. Sloan Foundation, BlackRock, Inc., Deutsche Bank, and SoFiE
VOLATILITY INSTITUTE SCIENTIFIC COMMITTEE
Viral Acharya, Stern School of Business New York University
Robert Engle, Stern School of Business New York University
Stephen Figlewski, Stern School of Business New York University
Matt Richardson, Stern School of Business New York University
Eric Ghysels, University of North Carolina - Chapel Hill
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC