Volatility and Risk Institute

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.

COVID-19 UPDATE: A LETTER FROM OUR DIRECTORS

Dear Supporters of the Volatility and Risk Institute:

In this troubled time, we hope you and your loved ones are well and safe. At the VRI, we are happy to say that we are all home bound and doing well. We want to share with you some news from the Volatility and Risk Institute which remains even more active than usual.

First, we have begun using our tools in V-LAB and posted a page on V-LAB to focus on the financial impact of the COVID-19 virus. This depicts the correlations of the Johns Hopkins daily updates on global confirmed cases and deaths from the virus with our daily measures of financial volatility around the world. V-LAB's COVID page.is updated daily and can be viewed through time

Second, we are actively doing research on the COVID crisis and speaking about it in many forums. The head of our Financial Risk team, Viral Acharya, has organized a NYU Stern lecture series on NYU’s research on the topic; many of our VRI faculty board have contributed. The head of our Geopolitical Risk team, Thomas Philippon, has a paper on the policy options. You can see a list of videos, PowerPoint presentations and papers at V-LAB's COVID page or on Stern's Faculty Insights page.

Third, our annual conference took place virtually on Friday, April 24. The topic was “Cyber Resilience in the Time of COVID-19: Managing the Consequences of Risk Contagion”. It featured panels from industry experts and insurance experts on cyber security, moderated by the head of our Cyber Risk team, Randy Milch, and VRI faculty board member Judi Germano; several papers; and a fireside chat with Jack Freund, a leader in cyber risk who will be interviewed by Goldman’s Cyber expert and VRI board member, Phil Venables. If you would like to view videos and a full program, they are avialable on the event page.

The VRI has a focus on Climate Risk, Geopolitical Risk, Cyber Risk and Financial risk. A key reason we focus on Cyber Risk in our conference is that all of these risks interact with the coronavirus. We hope to continue shedding light on these interactions as the virus subsides and policies endeavor to help the economy to get back toward normal. What are the legacies? What will that normal look like? Are there some good lessons to be learned?

We hope you will join us for our upcoming events. We look forward to continued collaboration as the medical emergency and its economic and financial impact subside. 

Best Regards,

Robert F. Engle and Richard Berner