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
Professor Engle's Speech at SoFiE 2025: "Mirror, mirror on the wall, who's the greenest of us all?"
Professor Engle presented "Mirror, mirror on the wall, who's the greenest of us all?" at the 17th Annual SoFiE Conference June 11, 2025 at ESSEC Business School. You can watch full video on the conference website.
Discussion from VRI Conference featured on Risk.net
A panel discussion from our Sixth Annual Conference was covered in the Risk.net article, "BoE plans to link system-wide and individual stress tests"
Professor Berner moderates panel on "Liquidity risk in the Financial System" at Bank of England Watchers' Conference
Professor Berner moderated panel on "Liquidity risk in the Financial System" at Bank of England Watchers' Conference on November 25, 2024 in London. You can watch the full panel on YouTube via the link below.
QFE Seminar with Andrew Lo (MIT) on Monday, 12/9 at 12:30pm
Professor Andrew Lo (MIT) presented a QFE Seminar on "Financing Deep Tech" on Monday, 12/9 at the Volatility and Risk Institute.
Robert Engle's Keynote Speech on "Termination Risk and Sustainability" at the 2024 ECGI Summit
Robert Engle presented his paper, "Termination Risk and Sustainability" at d the 2024 ECGI Responsible Capitalism Summit, "A Decade After Paris: Accelerating Progress Towards Net-Zero", hosted by the French Embassy in Berlin on 10 September 2024.
Remarks and Q&A with Mary Daly (President & CEO, Federal Reserve Bank of San Francisco) - Tuesday, 10/15
Mary Daly (President & CEO, Federal Reserve Bank of San Francisco) joined us for Remarks and Q&A on Tuesday, 10/15 from 11:30am - 12:30pm ET.
You can watch a full video of the event here.
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.
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
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.
Robert Engle
Richard Berner
OUR RESEARCH AND PROGRAMS
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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.
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