Second Annual Volatility and Risk Institute Conference
"A Financial Risk Framework For Climate Change: Portfolio Construction, Stress Testing, and Risk Transfer"Friday, April 30, 2021
Registration is now open for the Second Annual Volatility and Risk Institute Conference, "A Financial Risk Framework For Climate Change: Portfolio Construction, Stress Testing, and Risk Transfer," which will take place via Zoom on Friday, April 30, 2021 from 9:00am to 3:00pm EDT.
The full conference program and theme can be found below. The conference is free and open to the public, but please note that you must register in advance. Register now.
Conference Program
9:00am – 9:05am - Opening remarks from
Robert Engle and Richard Berner, Co-Directors, Volatility and Risk Institute, NYU Stern
Session I: Portfolio Construction
9:05am – 9:25am - Johannes Stroebel, David S. Loeb Professor of Finance, NYU Stern – “Climate Finance” (co-authored with Stefano Giglio and Bryan Kelly)
9:25am – 9:45am - Robert Engle, Co-Director, Volatility and Risk Institute, NYU Stern – “What’s New in V-LAB”
9:45am – 10:05am - Marcin Kacperczyk, Professor of Finance, Imperial College London – “Do Investors Care about Carbon – both Physical and Transition – Risk?” (co-authored with Patrick Bolton)
10:05am – 10:15am: Break
Session II: Disclosure
10:15am – 10:25am: Remarks from Allison Herren Lee (Acting Chair, SEC)
10:25am – 10:45am: Monica Billio, Professor of Econometrics, Università Ca' Foscari Venezia, – “Inside the ESG Ratings: (Dis)agreement and performance” (co-authored with Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon)
10:45am – 11:25am: Panel: Disclosure
Tensie Whelan, Director, Center for Sustainable Business, NYU Stern (Moderator)
Annette Nazareth, Senior Counsel, Davis Polk & Wardwell
Ilya Khaykin, Partner, Financial Services, Oliver Wyman
Jon Hale, Global Head of Sustainability Research, Morningstar
11:25am – 11:30am: Break
Session III: Stress Testing
11:30am – 11:50am: Hyeyoon Jung, PhD Candidate, NYU Stern – Climate Stress Testing (co-authored with Robert Engle)
11:50am – 12:30pm: Panel: Stress Testing
Richard Berner, Co-Director, Volatility and Risk Institute, NYU Stern (Moderator)
Alex Brazier, Former Executive Director for Financial Stability Strategy and Risk, Bank of England
Fabio Natalucci, Deputy Director of the Monetary and Capital Markets Department, International Monetary Fund
Kevin Stiroh, Senior Advisor, Federal Reserve Board
12:30pm – 1:00pm: Lunch Break
Session IV: Risk Transfer and Insurance
1:00pm – 1:10pm: Remarks from Rostin Behnam, Acting Chair, CFTC
1:10pm – 1:30pm: Nancy Wallace, Professor and Chair of the Real Estate Group, UC Berkeley – “Mortgage Markets with Climate-Change Risk: Evidence from Wildfires in California” (co-authored with Paulo Issler, Richard Stanton, and Carles Vergara-Alert)
1:30pm – 2:10pm: Panel: "Implications for Derivatives, Risk Transfer Markets and Insurance"
Marti Subramanyam, Charles E. Merrill Professor of Finance, Economics and International Business, NYU Stern (Moderator)
Madelyn Antoncic, Managing Partner, Global AI Corp
Jerome Haegeli, Group Chief Economist, Swiss Re
Mike Kreidler, Insurance Commissioner, State of Washington
2:10pm – 2:20pm: Break
Session V: Is It Enough?
2:20pm – 3:00pm Panel: Is It Enough?
Robert Engle, Co-Director, Volatility and Risk Institute, NYU Stern (Moderator)
Robert Litterman, Chairman of the Risk Committee and Founding Partner, Kepos Capital
Richard Newell, President and CEO, Resources for the Future
William Nordhaus, Sterling Professor of Economics, Professor of Forestry and Environmental Studies, Yale University
Conference Theme
Climate risks are forcing repricing of financial assets. This conference will seek to address and possibly answer several questions that arise from those changes:
- What are the implications for portfolio construction and investment management?
- What risks can be detected by climate stress tests of financial institutions?
- What is the role for disclosure regulation?
- Can we launch financial instruments and markets in which to trade them to facilitate price discovery and risk transfer?
- Are these changes in asset prices sufficient to internalize the externalities of GHG emissions and lead us to net zero emissions? If not, what policy actions are needed or possible?
Inaugural Volatility and Risk Institute Conference - Cyber Resilience in the Time of COVID-19: Managing the Consequences of Risk Contagion
The Volatility and Risk Institute held our inaugural conference on "Cyber Resilience in the Time of COVID-19: Managing the Consequences of Risk Contagion" on Friday, April 24, 2020. Video recordings of the conference and a full program can be found here.
For more information on past Volatility and Risk Institute conferences, you can visit our past conference page.