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Upcoming Conferences

Spring 2015

The Volatility Institute presents the Seventh Annual Volatility Institute Conference at New York University Stern School of Business on April 24th, 2015:

"Fixed Income Risk: Measurement, Modeling and Management"

Hosted by Robert F. Engle, Director of the Volatility Institute

After six years of essentially zero short rates and three rounds of Quantitative Easing, it is challenging to predict the risks facing fixed income portfolios and businesses. This conference will focus on research that will measure, model and manage these risks. Topics include the zero lower bound on rates, monetary policy after QE, volatility models of the term structure, European policy, policy uncertainty, fixed income microstructure, macro risks, and the overall implications for financial stability. There will be a keynote address and a practitioner panel.

8:00am Registration
8:20-8:30am Welcome Remarks: Dean Peter Henry, NYU Stern School of Business
8:30-10:30am Session 1:
Ram Yamarthy, The Wharton School, University of Pennsylvania
"Monetary Policy Risks in the Bond Markets and Macroeconomy"
(co-authored with Ivan Shaliastovich)
Discussant: George Tauchen, Duke University

Jin-Chuan Duan, NUS Business School and National University of Singapore
"Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure"
Discussant: Andrew Patton, Duke University

Guillaume Roussellet, Banque de France
"Staying at Zero with Affine Processes: A New Dynamic Term Structure Model"
(co-authored with Alain Monfort, Fulvio Pegoraro, and Jean-Paul Renne)
Discussant: Francis X. Diebold, The Wharton School, University of Pennsylvania
10:30-11:00am Refreshment Break
11:00-11:40am Session 2:
Jing Cynthia Wu, Chicago Booth and NBER
"Interest Rate Uncertainty and Economic Fluctuations"
(co-authored with Drew Creal)
Discussant: Michael Bauer, Federal Reserve Bank of San Francisco
11:40-12:25pm Keynote Speaker: James D. Hamilton, Professor of Economics, UC San Diego
"Robust Bond Risk Premia"
12:30-2:00pm Lunch & Luncheon Address:
Peter Hooper, Managing Director, Chief Economist for Deutsche Bank Securities; co-head of Deutsche Bank Global Economics team
"Is the US Economy Vulnerable to a Volatility Shock?"
2:00-4:00pm Session 3:
Jose A. Lopez, Federal Reserve Bank of San Francisco
"A Probability-Based Stress Test of Federal Reserve Assets and Income"
(co-authored with Jens H. E. Christensen and Glenn D. Rudebusch)
Discussant: Paul Glasserman, Columbia Business School

Turan G. Bali, Georgetown University McDonough School of Business
"Do Distributional Characteristics of Corporate Bonds Predict Their Future Returns?"
(co-authored with Jennie Bai and Quan Wen)
Discussant: David Greenberg, BlackRock, Inc.

Erik Vogt, Federal Reserve Bank of New York
"Flight-to-Safety in the Nonlinear Risk-Return Tradeoff for Stocks and Bonds"
(co-authored with Tobias Adrian and Richard Crump)
Discussant: Itamar Drechsler, NYU Stern School of Business
4:00-4:20pm Refreshment Break
4:20-5:00pm What's New In V-Lab:
Robert F. Engle, NYU Stern School of Business
5:00-6:00pm Panel Discussion:
Moderator: Matt Richardson, NYU Stern School of Business
Mustafa Chowdhury, Voya Investment Management
Paul Harrison, BlackRock, Inc.
Charles Himmelberg, Goldman Sachs
Kim Schoenholtz, NYU Stern School of Business
6:00pm Wine and Cheese Reception

The Volatility Institute, BlackRock, Deutsche Bank, Nasdaq OMX, The Alfred P. Sloan Foundation, SoFiE, and the AIG-NYU Collaborative Research Initiative

Registration for the event is now open. Registration is free and open to the public. However please note that you must register in advance. To register, please email Matt Matysik ( with your full name and affiliation: company, university or institution name.


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
Eric Ghysels, University of North Carolina – Chapel Hill
David Greenberg, Managing Director, BlackRock, Inc.
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC
Matt Richardson, Stern School of Business New York University

Matt Matysik, Assistant Director of the Volatility Institute
Tel: 212-998-0826

For more information, including a program, full schedule, photos and video from the event, please visit our past conference page.

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

Dhar and Figlewski
Vasant Dhar (left), Luncheon Speaker at 2014 Volatility Institute Conference, has a conversation with conference chair Stephen Figlewski.

Volatility Institute's Annual Conference

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View our Program or Photo Gallery from our seventh annual Conference, "Fixed Income Risk: Measuring, Modeling and Management."