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Volatility and Risk Institute

An interdisciplinary center for research on financial, geopolitical, cyber, and climate risks by scholars, practitioners, and policymakers


OUR MISSION

The Volatility and Risk Institute is an interdisciplinary center for research and analysis of financial and nonfinancial risks. It serves as a designated hub to support risk-related research and collaboration among scholars, practitioners, and policymakers. It supports, promotes, and facilitates risk analysis, assessment, and measurement, and creates a bridge between faculty research and a specialized group of practitioners and market participants on the cutting-edge of real-world risk issues. To assess and analyze these risks, we are employing new data and analytical tools including those from data science and a wide range of machine learning technologies. Our Faculty Board is composed of members from the Tandon School of Engineering, the Courant Institute of Mathematical Sciences, the Wilf Family Department of Politics in the Faculty of Arts & Science, the Wagner Graduate School of Public Service, the School of Global Public Health, the Law School, and the Stern School of Business. Our focus is on newly emerging forms of risk including climate risk, geopolitical risk, cyber risk, more recently pandemic risk, as well as new topics in financial risk.


VOLATILITY AND RISK INSTITUTE UPDATES

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Remarks and Q&A with Mary Daly (President & CEO, Federal Reserve Bank of San Francisco) - Tuesday, 10/15

Join us for Remarks and Q&A with Mary Daly (President & CEO, Federal Reserve Bank of San Francisco) on Tuesday, 10/15 at 11:30am. 

Registration is required for in-person attendance. Please see event page for registration details.

You can also join remotely via the livestream broadcast

Event Details & Registration Information
Bretton Woods Logo

Bretton Woods Publishes Richard Berner's co-authored article on "Fragile Global Liquidity: Sources and Policy Implications”

The Bretton Woods Committee released Richard Berner and Michael Granito's publication “Fragile Global Liquidity: Sources and Policy Implications” which explores the sources and consequences of vulnerabilities affecting global liquidity and recommends actionable steps for central banks to improve its resilience.

Read Here
Review of Financial Studies Cover

Engle and Acharya's "Why did bank stocks crash during COVID-19?” featured as Editor’s choice in the latest issue of the Review of Financial Studies

VRI Professors Viral V Acharya and Robert Engle's article, "Why did bank stocks crash during COVID-19?” (co-authored with Maximilian Jager and Sascha Steffen) is featured as Lead Article and was selected as Editor’s choice in the latest issue of the Review of Financial Studies

Read the article
Volatility and Risk Institute Logo

Symposium on Market Microstructure and Financial Stability - July 8th

The VRI co-hosted a symposium on Market Microstructure and Financial Stability with the Jain Family Institute (JFI) and the Yale Program for Financial Stability (YPFS) on Monday, July 8, 2024 from 9:00am to 4:30pm.

More information

Fifth Annual VRI Conference on "Insurance and Rising Climate-Related Risks" - April 26, 2024

The Volatility and Risk Institute hosted its annual conference on Friday, April 26, 2024 from 8:15am - 5:30pm. The topic was "Insurance and Rising Climate-Related Risks" Videos from the event are available on our conference website.

Watch Here
Portfolio Managment Research

Professor Engle receives an Bernstein Fabozzi/Jacobs Levy Award for his article "Compound Tail Risk"

Professor Robert Engle's was awarded an Outstanding Article Award for the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards for "Compound Tail Risk."

The Bernstein Fabozzi/Jacobs Levy Awards are selected by members of the Portfolio Managment Research community  and highlight the most innovative research published in The Journal of Portfolio Management.

Read More
Washington, DC Capitol Hill

Phil Venables and the PCAST "Strategy for Cyber-Physical Resilience" Report

VRI Advisory Board alumnus, Phil Venables, is on the President’s Council of Advisors on Science and Technology. The council published a report on the "Strategy for Cyber-Physical Resilience"

Read the full report
IMF and VRI Panel

VRI & IMF co-host "The Rise and Risks of Private Credit" Panel

On Monday, April 8, 2024, the NYU Stern Volatility and Risk Institute and the International Monetary Fund (IMF) co-hosted an event with a presentation and panel discussion on the new IMF April 2024 Global Financial Stability Report, focused on a chapter titled, “The Rise and Risks of Private Credit.” A video of the panel is available on the IMF's website.

WATCH THE PANEL
Volatility and Risk Institute Logo

Nancy Wallace presents on "Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires"

Nancy Wallace (UC-Berkeley) presented a QFE seminar on her paper "Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires" at the Volatility and Risk Institute on Monday, March 25, 2024. A full video of the seminar is now available.

WATCH HERE
US Department of Treasury Logo

VRI co-hosts "Catastrophic Cyber Risk and a Potential Federal Insurance Response Conference" with US Treasury Office of Insurance

The Volatility and Risk Institute and U.S. Department of the Treasury’s Federal Insurance Office's held a conference on "Catastrophic Cyber Risk and a Potential Federal Insurance Response" on on Friday, November 17th, 2023 from 8:30am to 12:30pm. 

Robert Engle portrait

Robert Engle

Co-Director
Robert Engle is Professor Emeritus of Finance at NYU Stern and was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH).
Richard Berner portrait 2019

Richard Berner

Co-Director
Professor Berner is a Clinical Professor of Management Practice in Finance at NYU Stern and served as the first director of the Office of Financial Research (OFR) from 2013 until 2017.

OUR RESEARCH AND PROGRAMS

Financial data on screen

Initiatives

Our research focuses on emerging forms of risk including climate risk, geopolitical risk, cyber risk as well as new topics in financial risk.

Research

Our research focuses on emerging forms of risk including climate risk, geopolitical risk, cyber risk as well as new topics in financial risk.
Screenshot of VLab's Global Volatility analysis page

V-Lab

The Volatility Laboratory (V-Lab) provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets. 

 
Bryan Kelly at VI Conference (Crop)

Events

The Volatility and Risk Institute hosts Quantitative Finance and Econometrics seminars (QFE) and conferences

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