Upcoming Conferences
The Volatility Institute will host its fourth annual Conference on April 27th, 2012 titled, "Comovement of Volatilities, Returns and Tails."
Location:
NYU Stern School of Business
Henry Kaufman Management Center
44 West Fourth Street
New York, NY 10012
Directions to NYU Stern
Registration:
Registration for the fourth annual Volatility Institute Conference on Friday April 27, 2012 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 for the Volatility Institute, at: mmatysik@stern.nyu.edu
Theme:
In the Financial Crisis of 2008-9 and the Sovereign Debt Crisis which is with us today, we see volatilities in all asset classes and all countries rising together. Furthermore, correlations are rising, and tail risks by most measures are high. These characteristics of volatility, returns and tails affect portfolio risk and systemic risk to the real global economy. This conference will aim at understanding and modeling the underlying economic structure of these comovements and its implications for risk, return and regulation. Furthermore, these comovements may imply new features of asset and derivative prices.
Schedule:
NYU Stern School of Business
Henry Kaufman Management Center
44 West Fourth Street
New York, NY 10012
Directions to NYU Stern
Registration:
Registration for the fourth annual Volatility Institute Conference on Friday April 27, 2012 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 for the Volatility Institute, at: mmatysik@stern.nyu.edu
Theme:
In the Financial Crisis of 2008-9 and the Sovereign Debt Crisis which is with us today, we see volatilities in all asset classes and all countries rising together. Furthermore, correlations are rising, and tail risks by most measures are high. These characteristics of volatility, returns and tails affect portfolio risk and systemic risk to the real global economy. This conference will aim at understanding and modeling the underlying economic structure of these comovements and its implications for risk, return and regulation. Furthermore, these comovements may imply new features of asset and derivative prices.
Schedule:
| 8:30am | Registration: KMC Lobby |
| 9:00-9:15am | Welcome Remarks: Professor Ingo Walter, NYU Stern |
| 9:15-10:45am | Session 1 Chair: Professor George Tauchen, Duke University "Modeling the Dynamics of Correlations Among Implied Volatilities" Presented by Professor Stephen Figlewski, NYU Stern Discussant: Professor Gurdip Bakshi, University of Maryland "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence" Presented by Hao Zhou, Federal Reserve Board, Washington, D.C. Discussant: Professor Liuren Wu, Baruch College, CUNY |
| 10:45-11:00am | Refreshment Break |
| 11:00-12:30pm | Session 2 Chair: Professor Rohit Deo, NYU Stern "Modelling Dependence in High Dimensions with Factor Copulas" Presented by Professor Andrew J. Patton, Duke University Discussant: Professor Eric Ghysels, University of North Carolina, Chapel Hill "A Model for Vast Panels of Volatilities" Presented by Professor David Veredas, Solvay Brussels School of Economics and Management Discussant: Professor Torben Andersen, Northwestern University |
| 12:30-2:00pm | Lunch & Luncheon Address: "Managing Risk in a Complex Environment" Bennett W. Golub, Chief Risk Officer of BlackRock, Inc. |
| 2:00-3:30pm | Session 3 Chair: Peter Hooper, Deutsche Bank "Stress Scenario Selection by Empirical Likelihood" Presented by Professor Paul Glasserman, Columbia University Discussant: Til Schuermann, Oliver, Wyman & Company, LLC "Convex Incentives and Tail Risk-Taking" Presented by Jerchern Lin, USC Marshall Discussant: Professor Itamar Drechsler, NYU Stern |
| 3:30-4:15pm | What's New in V-Lab? Implementing the Dynamic Conditional Beta Model for Global Systemic Risk Professor Robert Engle, Director of the Volatility Institute, NYU Stern |
| 4:15-4:45pm | Refreshment Break |
| 4:45-6:00pm | Panel Discussion: Perspectives on Comovements Moderator: Professor Viral Acharya, NYU Stern Panelists: Ken Kroner, BlackRock, Inc. Malcolm Knight, Deutsche Bank Peter Christoffersen, Rotman School of Management Victor Ng, Goldman Sachs |
| 6:00pm | Wine and Cheese Reception |
Mark Watson (center), Keynote Speaker at 2011 Volatility Institute Conference.
