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NYU Stern's Volatility Institute Hosts 5th Annual Conference on "Volatility of Credit Risk"

NYU Stern's Fifth Annual Volatility Conference convened academics, practitioners and regulators to discuss the latest research and ideas on this year's theme, "Volatility of Credit Risk." Hosted by Nobel Laureate Professor Robert Engle, this year's conference was sponsored by Stern's Volatility Institute, The Alfred P. Sloan Foundation, BlackRock, Deutsche Bank and SoFiE.

Conference highlights included:
  • Nobel Laureate Professor Robert Engle, director of Stern’s Volatility Institute, shared an update from V-lab, explaining the volatility of credit default swaps and how it’s measured and forecasted. He also shared recent data from the Global Systemic Risk Rankings.
  • Keynote remarks from Darrell Duffie of Stanford University on “How do default risk premia vary over time and across firms? Disentangling a decade of evidence from the credit default swap market”
  • Wilfried Paus of Deutsche Bank AG shared a practitioner’s view on measuring and managing credit risk volatility.
  • Research presentations from leading academics and practitioners at NYU Stern, Banque de France, Duke University, IÉSEG School of Management, National University of Singapore, Özyeğin University and the University of Toronto
  • A panel discussion on the “Outlook for Credit Volatility,” with speakers from Deutsche Bank, BlackRock, Inc., Goldman Sachs and the National University of Singapore, and moderated by Stern Professor Matthew Richardson, Sidney Homer Director of Stern’s Salomon Center for Research in Financial Institutions and Markets


For more information on this year’s conference, please visit the Volatility Institute website.