The Credit Risk and Credit Volatility Conference, hosted by the Volatility Institute at NYU Stern School of Business, brought together leading scholars and industry experts to explore the dynamics of credit markets and the measurement of credit risk. Held in New York City, the conference focused on understanding how credit risk evolves across sovereign, corporate, and financial institutions, and how it impacts broader financial stability.

The program featured research presentations on sovereign credit risk and liquidity, arbitrage-free pricing of credit derivatives, default prediction models, and corporate credit dynamics. Sessions examined both theoretical frameworks and empirical approaches, offering insights into how credit risk is priced, transmitted, and managed in global financial markets.

Keynote and practitioner sessions highlighted real-world applications, including the analysis of bond liquidity drivers, the role of fire-sale externalities, and practical approaches to measuring and managing credit risk volatility. A dedicated panel discussion further explored the outlook for credit volatility, bringing together perspectives from academia and industry.

By combining rigorous research with practical insights, the conference provided a comprehensive view of credit risk modeling and emphasized the importance of advanced quantitative tools in navigating uncertainty within modern financial systems.

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