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Past Conferences

The Volatility Institute hosted its fifth annual Conference on April 26th, 2013 titled, "Volatility of Credit Risk."

PROGRAM

Click here for the Fifth Annual Volatility Institute Conference Program. You can view photos from the event here.

Rob and Darrell 13
Darrell Duffie (left), Keynote Speaker at the 2013 Volatility Institute Conference, has a conversation with host Robert Engle.

THEME

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.

SCHEDULE

8:00amRegistration
8:25-8:35amWelcome Remarks by NYU Stern Dean Peter Blair Henry
8:35-10:05amSession 1
Jean-Paul Renne, Banque de France
(co-authored with Alain Monfort)
"Decomposing euro-area sovereign spreads: credit and liquidity risks"
Slides
Discussant: Itamar Drechsler, NYU Stern
Slides

Emrah Sener, Ozyegin University
(co-authored with Andrea Buraschi, Murat Menguturk)
"The dynamics of limits to arbitrage: Evidence from international cross-sectional data"
Discussant: Jakub Jurek, Princeton University
Slides
10:05-10:45amKeynote Speaker: Darrell Duffie, Dean Witter Distinguished Professor of Finance, the Graduate School of Business, Stanford University
10:45-11:00amRefreshment Break
11:00-12:30pmSession 2
Jin-Chuan Duan, National University of Singapore
(co-authored with Andras Fulop)
"Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity"
Slides
Discussant: Sanjiv Das, Santa Clara University
Slides

Peter Christoffersen, University of Toronto
(co-authored with Kris Jacobs, Xisong Jin, Hugues Langlois)
"Dynamic Dependence in Corporate Credit"
Slides
Discussant: Andrew Patton, Duke University
Slides
12:30-2:00pmLunch & Luncheon Address:
Wilfried Paus, Managing Director, Risk Analytics & Living Wills, Deutsche Bank AG
“Measuring & Managing Credit Risk Volatility - a practitioner's view”
Slides
2:00-3:30pmSession 3
Matteo Maggiori, NYU Stern
"The U.S. Dollar Safety Premium"
Slides
Discussant: Richard Clarida, Columbia University
Slides

Lakshithe Wagalath, IESEG School of Management
(co-authored with Rama Cont)
"Fire Sales Forensics: Measuring Endogenous Risk"
Slides
Discussant: George Tauchen, Duke University
Slides
3:30-4:15pmWhat's New in V-Lab: Robert Engle, NYU Stern
Slides
4:15-4:45pmRefreshment Break
4:45-6:00pmPanel: Outlook for Credit Volatility
Moderator: Matthew Richardson, NYU Stern
Steven Abrahams, Deutsche Bank
Jin-Chuan Duan, National University of Singapore
Slides
David Greenberg, BlackRock, Inc.
Slides
Victor Ng, Goldman Sachs
6:00pmWine and Cheese Reception

SPONSORED BY

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