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NYU Stern School of Business Opens New Volatility Institute

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Today, NYU Stern announced the launch of a new research center, the Volatility Institute, created under the leadership of the School’s Nobel Laureate Robert F. Engle, the Michael Armellino Professor of Finance at Stern. What is particularly unique is the innovation of the Institute’s Volatility Lab, called Vlab for short, which measures and forecasts financial volatility and correlations in real-time for a wide spectrum of assets including equities, exchange rates, commodities and bonds. The Vlab currently produces 300 analyses each day over numerous financial series using both classic models as well as some of the latest advances proposed in the financial econometrics literature.

“The economic crisis has put a spotlight on the importance of calculating and managing risk effectively,” said Professor Engle. “The forecasts coming out of our Volatility Lab will provide risk managers and regulators with alternative and independent measures to assess the state of the financial markets on an up-to-the-minute basis.”

The mission of the Volatility Institute is to develop and disseminate cutting-edge research on risks in financial markets and in financial econometrics. The Institute aims to be at the forefront of cultivating new research, and centralizing data sets for practitioners, regulators and academics. It will host its first conference for researchers and the business community at NYU Stern on “Volatilities and Correlations in Stressed Markets” on April 3, 2009.

“The decision to create the Volatility Institute reflects our commitment to cultivating a scholarly community that will advance the field of risk management while having a direct impact on the financial markets,” said Thomas F. Cooley, Dean, NYU Stern. “We are delighted to have Robert Engle, recognized internationally for his innovation and leadership in volatility research, heading this new initiative at the Stern School.”

NYU Stern’s Volatility Institute is being supported by the following: Michael R. Armellino; Center for Study of Auctions, Procurement and Competition Policy at Pennsylvania State; Institute for Financial Studies, Center for Research on International Financial and Energy Security, and Asset Management Company FinEx Plus LLC in Moscow; and The NASDAQ OMX Group, Inc/NASDAQ OMX Educational Foundation. For more information, visit www.stern.nyu.edu/volatility.

New York University Stern School of Business, located in the heart of Greenwich Village, is one of the nation’s premier management education schools and research centers. NYU Stern offers a broad portfolio of academic programs at the graduate and undergraduate levels, all of them informed and enriched by the dynamism, energy and deep resources of the world’s business capital.

To interview Professor Engle, please contact:

Jessica Neville
212-998-0666
jneville@stern.nyu.edu

or

Carolyn Ritter
212-998-0624
critter@stern.nyu.edu

March 3, 2009: http://www.businesswire.com/news/home/20090303005992/en