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Upcoming Conferences

The Sixth Annual Volatility Institute Conference at New York University Stern School of Business, Friday April 25th, 2014

"Market Liquidity and Funding Liquidity: Implications for Economic Risk"
The Sixth Annual Volatility Conference at New York University Stern School of Business
Hosted by Robert F. Engle, Director of the Volatility Institute
Friday April 25th, 2014
 
REGISTRATION
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 at mmatysik@stern.nyu.edu with your full name and affiliation: company, university or institution name.

SCHEDULE
8:00amRegistration
8:25-8:35amWelcome Remarks
8:35-10:50amSession 1:
René Garcia, EDHEC Business School
(co authored with Jean-Sébastien Fontaine and Sermin Gungor)
"Funding Liquidity Risk and the Cross-Section of Stock Returns"
Discussant: Ruslan Goyenko, McGill University and University of Toronto


Diane Pierret, NYU Stern School of Business
“Systemic risk and the solvency-liquidity nexus of banks”
Discussant: Stephen Cecchetti, Brandeis International Business School

Dale Rosenthal, UIC Business
(co-authored with Kris Boudt and Ellen Paulus)
“Funding liquidity, market liquidity and TED spread: A two-regime model”
Discussant: Tobias Adrian, Federal Reserve Bank of New York
10:50-11:20amRefreshment Break
11:20-12:00pmKeynote Speaker: Lasse H. Pedersen, John A. Paulson Professor of Finance and Alternative Investments, NYU Stern School of Business
12:00-1:30pmLunch & Luncheon Address, Speaker TBD
1:30-3:00pmSession 2:
Jeffrey Russell, The University of Chicago Booth School of Business
“Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to the Financial Crisis”
Discussant: Eric Jondeau, Université de Lausanne

Loriana Pelizzon, Ca'Foscari University of Venice
(co-authored with  Marti Subrahmanyam, Davide Tomio, and Jun Uno)
“Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?”
Discussant: Eric Ghysels,University of North Carolina, Chapel Hill
3:00-3:30pmRefreshment Break
3:30-5:00pmSession 3:
Alejandro Bernales, Universidad de Chile
(co-authored with Joseph Daoud)
“Algorithmic and High Frequency Trading in Dynamic Limit Order Markets”
Discussant: Albert Menkveld, VU University Amsterdam

What's New In V-Lab: Robert F. Engle, NYU Stern School of Business
5:00-6:00pmPanel Discussion:
Robert Almgren, Courant Institute of Mathematical Sciences, NYU; Quantitative Brokers
Yakov Amihud, NYU Stern
Richard Ferguson, Deutsche Bank
Joel Hasbrouck, Moderator, NYU Stern
David Sayles, BlackRock Inc.
6:00pmWine and Cheese Reception

THEME
Financial markets are generally very good at providing liquidity so that assets can be purchased or funds can be borrowed quickly and at fair prices. However, when conditions deteriorate, liquidity disappears and selling prices can spiral downward in a “fire sale”. Firms manage their portfolios and economic investments in ways that control the risks of these liquidity spirals. The link between episodes of illiquidity and high volatility further complicates the portfolio problem. When illiquidity becomes severe, the aggregate consequences can be very damaging.

This conference will feature papers that focus on measuring and modeling the dynamics of illiquidity in both asset and funding markets and the economic consequences of such episodes. The conference will bring together academics, practitioners and regulators to discuss the latest research and ideas on liquidity and volatility.

SPONSORED BY

The Volatility Institute, 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
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
 
PAST 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 2013 Volatility Institute Conference, has a conversation with host Robert Engle.

Volatility Institute's Annual Conference

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View our Program or Photo Gallery from our fifth annual Conference, "Volatility of Credit Risk."