VRI Seminars
The Volatility and Risk Institute hosts lectures, fireside chats, and the Quantitative Finance and Econometrics (QFE) Seminar series, which showcases top research in financial econometrics.
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Our seminars are held at 44 W 4th Street, New York, NY in KMC 2-70
Spring 2024
- March 4th, 12:30pm - 1:30pm: Rama Cont and Samim Ghamami - Skin in the Game: Risk Analysis of Central Counterparties (Video)
- March 25th, 12:30pm - 1:30pm: Nancy Wallace - Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires (KMC 2-70 and simulcast via Zoom)
Fall 2023
- November 15th, 4:45pm - 5:45pm: Talk and Q&A with Maya MacGuineas (Video)
Fall 2022
- October 17th, 12:30pm - 1:30pm: Viral Acharya (NYU Stern) - "Liquidity Dependence: Why Shrinking Central Bank Balance Sheets is an Uphill Task"
- November 28th, 12:30pm - 1:30pm: Richard Berner (NYU Stern) - "Financial Stability: Still Unfinished Business" (Video)
- December 5th, 12:30pm - 1:30pm: Lars Peter Hansen (University of Chicago) - "Uncertainty Quantification, Decision Theory, and the Economics of Climate Change" (Video)
Spring 2022
- February 2nd: Fireside Chat with Petter Kolm (NYU Courrant)
- February 17th, 5:00 pm - 6:00pm: Loretta J. Mester (President and CEO, Federal Reserve Bank of Cleveland) - Speech and Q&A (Video)
- March 2nd, 4:30 pm - 5:30pm: Lorie K. Logan (Executive Vice President, Federal Reserve Bank of New York) - "Fed Asset Purchases: The Pandemic Response and Considerations Ahead" (Video)
- March 7th, 12:30 pm. - 1:30 pm ET: Darius Palia (Rutgers Business School) - “Impact of Dodd-Frank on CEO Pay and Bank Risk”
Fall 2021
- November 15th: Tuomas Tomunen (Boston College) - Pricing physical climate risk (co-authored with Viral Acharya, Tim Johnson, and Suresh Sundaresan) (Video)
- November 22nd: Spyridon Alogoskoufis (Financial Stability Expert, Stress Test Modelling Division, ECB), Katarzyna Budnik (Adviser, Stress Test Modelling Division, ECB), & Paul Hiebert (Head of Systemic Risk and Financial Institutions Division, ECB) - Climate scenario analysis for the European financial system (Video)
Fall 2020
- October 5th: Edward Altman (NYU Stern) - COVID-19 and the Credit Cycle
- October 26th: Viral Acharya (NYU Stern) - The Value of a Cure: An Asset Pricing Perspective (Video)
- November 16th: Matthew Richardson (NYU Stern) - The Systematic Risk of Global Asset Returns in Times of Crisis: (How) Is COVID-19 Different? (Video)
- December 7th: Gernot Wagner (NYU Wagner) - Carbon Prices, Preferences, and the Timing of Uncertainty (Video)
Spring 2020
- February 10th: Judith Germano (NYU Law) - Cybersecurity Risk & Responsibility [1] [2]
- May 4th: Richard L. Revesz (NYU Law) - Destabilizing Environmental Regulation: The Trump Administration’s Concerted Attack on Regulatory Analysis (video)
Fall 2019
- September 16th: Peter Carr (NYU Tandon) - Just-in-Time Portfolio Insurance
- October 28th: Nicholas Bloom (Stanford) - What Triggers Stock Market Jumps?
- November 18th: Matteo Iacoviello and Dario Caldara (Federal Reserve) - Measuring Geopolitical Risk
Spring 2019
- April 8th: Robert Engle (NYU Stern) - Hedging Geopolitical Risk based on a Multiplicative Volatility Factor Model
- April 22nd: Dacheng Xiu (The University of Chicago Booth School of Business) - Predicting Returns with Text Data
Fall 2018
- September 24th: Raffaella Giacomini (University College London) - Uncertain identification
- October 22nd: Jun Yu (Singapore Management University) - Estimation and Inference in Fractional Ornstein-Uhlenbeck Model with Discrete-Sampled Data
Spring 2018
- March 5th: Robert Engle (NYU Stern) - How Much SRISK is Too Much?
- April 23rd: Michael Wolf (University of Zurich) - Efficient Weighting: A More Powerful Test for Cross-Sectional Anomalies
- May 7th: Guillaume Roussellet (McGill University) - Variance Risk Premia
Fall 2017
- September 11th: Jin-Chuan Duan (National University of Singapore) - Proxy CDS Curves for Individual Corporates Globally
- November 13th: Yingying Li (Hong Kong University of Science and Technology) - Approaching Mean-Variance Efficiency for Large Portfolios
- November 27th: Robert Litterman (Kepos Capital) - Applying Asset Pricing Theory to Calibrate The Price of Climate Risk
Spring 2017
- March 27th: Francis Longstaff (UCLA) - Asset Mispricing
- April 3rd: Peter Van Tassel (Federal Reserve Bank of NY) - Global Variance Term Premia and Intermediary Risk Appetite
- May 1st: Ravi Bansal (Duke University) - Price of Long-Run Temperature Shifts in Capital Markets
Fall 2016
- October 10th: Harrison Hong (Columbia University) - Climate Risks and Market Efficiency
- October 17th: Glenn Rudebusch (Federal Reserve Bank of San Francisco) - Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
- November 7th: Dror Kenett (Office of Financial Research) - Monitoring Asset Price Correlation Patterns: Theory and Applications [1] [2]
- November 28th: Jianqing Fan (Princeton University) - Robust Statistical Learning from Large Volatility Matrix [Fan Paper 1] [Fan Paper 2]
- December 5th: Bryan Kelly (The University of Chicago Booth School of Business) - The Distribution of Option Returns
Spring 2016
- February 29th: Robert Stambaugh (University of Pennsylvania) - Mispricing Factors
- March 28th: Guillaume Roussellet (NYU Stern Volatility Institute) - Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound
- May 2nd: Richard Roll (Caltech) - Agnostic Tests of Stochastic Discount Factor Theory
Fall 2015
- December 14th: Eric Renault (Brown University) - Affine Option Pricing Model in Discrete Time
- December 7th: Andrew Patton (NYU Stern) - Dynamic Models for Expected Shortfall and Value at Risk
- October 26th: Kris Jacobs (Bauer College of Business, University of Houston) - Leverage And The Value Premium
- October 19th: Robert Engle (NYU Stern) - Long Run Risk Management: Scenario Generation for the Term Structure
- October 5th: Serena Ng (Columbia University) - Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data
Spring 2015
- April 20th: Jin-Chuan Duan (National University of Singapore) - "Default Correlations and Large-Portfolio Credit Analysis"
- April 13th: Fany Declerk (Toulouse School of Economics)
- March 2nd: Laura Veldkamp (NYU Stern) - Understanding Uncertainty Shocks and the Role of Black Swans
- February 2nd: Andrew Patton (Duke University) - High-Dimensional Copula-Based Distributions with Mixed Frequency Data
Fall 2014
- November 17th: Antonio Mele, Swiss Finance Institute "Pricing Options and Futures on a Government Bond Volatility Index"
- November 10th: Mark Flood, John Liechty, and Thomas Piontek (Office of Financial Research, US Department of the Treasury) - "Macroeconomic Patterns in System-Wide Liquidity Regimes"
- October 27th: J. Huston McCulloch (Ohio State University) - "The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty"
- September 22nd: Mark Gertler (NYU Department of Economics) - "Monetary Policy Surprises, Credit Costs and Economic Activity"
- September 16th: Andrew Caminschi (University of Western Australia) "Any Silver Linings? The London Silver Fixings' impact on public silver markets before and after the introduction of contemporaneous futures trading."
- September 15th: Andrei Shleifer (Harvard University) "Banks as Patient Fixed-Income Investors"
Spring 2014
- May 12th: Arvind Krishnamurthy (Kellogg School of Management, Northwestern University) - "Measuring Liquidity Mismatch in the Banking Sector"
- February 24th: Thomas Eisenbach (Federal Reserve Bank of New York) - “Fire-Sale Spillovers and Systemic Risk”
Fall 2013
- December 2nd: Neil Shephard (Harvard University) - "Martingale unobserved component models"
- November 11th: Tim Bollerslev (Duke University) "Stock Return Predictability and Tail Risk Premia"
- November 4th: Dan Galai The Jerusalem School of Business Administration, The Hebrew University of Jerusalem "The impact of dividend policy on the valuation of equity, debt and credit risk"
- October 28th: Bryan Kelly (University of Chicago Booth School of Business) - "Firm Volatility in Granular Networks"
- September 30th: Keith Godfrey (The University of Western Australia) - "Empirical inference of related trading between two securities: Detecting pairs trading, merger arbitrage, and strategy rules"
- September 23rd: David Hendry (University of Oxford) "Semi-automatic Non-linear Model Selection"
- September 16th: Robert Engle (NYU Stern) with Emil Siriwardane - "Structural GARCH - the volatility-leverage connection"