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Upcoming Conferences

Spring 2016

The Volatility Institute invites registration for the Eighth Annual Volatility Institute Conference at New York University Stern School of Business on April 29th, 2016:

"Commodities and Emerging Market Risks"

Hosted by Robert F. Engle, Director of the Volatility Institute
April 29th, 2016

The collapse of commodity prices has dramatically affected many emerging market economies. We see falling exchange rates, equity indices and GDP. Patterns of asset correlations and volatilities reflect these risks. However, financial institutions appear to be adequately capitalized in many cases.  What are the causes and consequences of these events? Slowing growth in China is a key driver but slow growth in other developed economies including Japan, Europe and the US has also affected both commodity prices and emerging economies. The collapse of the carry trade and exit of “hot money” may be part of the story. Both private and sovereign borrowing are important factors in other countries.  This conference will focus on the global risks, both now and in the future, pertaining to commodity prices and emerging market economies.

8:00am Registration
8:20-8:30am Welcome Remarks: Dean Peter Blair Henry, NYU Stern School of Business
8:30-9:50am Session 1:
Chair: Viral Acharya, NYU Stern School of Business
Michael SiemerBoard of Governors of the Federal Reserve System "Uncertainty and International Capital Flows"
(co-authored with Francois Gourio and Adrien Verdelhan)
Discussant: Robert Richmond, UCLA Anderson School of Management

Rui C. Mano, International Monetary Fund "Unveiling the Effects of Foreign Exchange Intervention: A Panel Approach"
(co-authored with Gustavo Adler and Noemie Lisack)
Discussant: Takatoshi Ito, School of International and Public Affairs, Columbia University
9:50-10:35am Keynote Speaker: Felipe Larraín B., Professor of Economics and Director of Latin American Center for Economic and Social Policies, Pontificia Universidad Catolica de Chile. Former Minister of Finance of Chile (2010-2014) "Managing Public Finances in Natural Resource Abundant Economies"
10:35-11:00am Coffee Break
11:00-12:20pm Session 2:
Chair: Peter Hooper, Deutsche Bank
Reinhard Ellwanger, Bank of Canada "Driven By Fear? The Tail Risk Premium in the Crude Oil Futures Market"
Discussant: Emil Siriwardane, Harvard Business School

Lutz Kilian, University of Michigan "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil"
(co-authored with Christiane Baumeister)
Discussant: Jing Cynthia Wu, Chicago Booth and NBER
12:20-2:00pm Lunch & Luncheon Address:
Ryan LaFond, Managing Director, Research Head, Asia Pacific and Emerging Markets Equity Group, BlackRock Inc.
"EM Equity, What is it and Why this Matters for Risk"
2:00-4:00pm Session 3:
Chair: Eric Ghysels, University of North Carolina, Chapel Hill
Presenter: Benjamin Hood, AQR Capital Management "Risk Everywhere: Modeling and Managing Volatility"
(co-authors Tim Bollerslev, John Huss, and Lasse Heje Pedersen)
Discussant: Liuren Wu, Zicklin School of Business, Baruch College, City University of New York

Presenter: Peter Christoffersen, Rotman School of Management, University of Toronto "Factor Structure in Commodity Futures Return and Volatility"
(co-authors Asger Lunde and Kasper V. Olesen)
Discussant: Stephen Figlewski, NYU Stern School of Business

Asger LundeAarhus University & CREATES "Realizing Commodity Correlations"
(co-authored with Niels S. Grønborg, Kasper V. Olesen and Harry Vander Elst)
Discussant: Andrew Patton, NYU Stern School of Business
4:00-4:20pm Coffee 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: Kim Schoenholtz, NYU Stern School of Business
Ken Kroner
Felipe Larraín B.
Xin Zhou, Volatility Institute at NYU Shanghai
6:00pm Wine and Cheese Reception

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, Assistant Director of the Volatility Institute <> 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
Bingxu Chen, BlackRock, Inc.
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC
Andrew Patton, Stern School of Business New York University
Matt Richardson, Stern School of Business New York University

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

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 Seventh 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."