Volatility and Risk Institute | Financial Risk

The Great Financial Crisis upended the complacency that financial risks were comprehensively well measured, well understood and risk assessment and management competently practiced. The Volatility Institute, predecessor of the VRI, and borne out of the crisis, has for a decade been at the forefront of developing new tools to measure and monitor new risks. However, new challenges for financial risk assessment and management continue to multiply: courtesy of new data and technology, new financial products are emerging, the financial system, business models and policy responses to them are evolving, and with them, new risks are surfacing.

The Volatility and Risk Institute develops cutting-edge tools for financial risk assessment and will broaden its reach with research into the interaction of nonfinancial with financial risks. Research on the financial implications of climate-related, cyber and geopolitical risk appear in VLab.

Our latest research on Financial Risk

• Acharya, Viral V.; Anshuman, V. Ravi; Viswanathan, S. Vish. “Bankruptcy Exemption of Repo Markets: Too Much Today for Too Little Tomorrow?.” Acharya V V, Anshuman V R, Viswanathan S V. Bankruptcy Exemption of Repo Markets: Too Much Today for Too Little Tomorrow? NBER Working Paper No. 32027. 2024.
• Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce. “Where Do Banks End and NBFIs Begin?.” Acharya V V, Cetorelli N, Tuckman B. Where Do Banks End and NBFIs Begin? NBER Working Paper No. 32316. 2024.
• Acharya, Viral V.; Brunnermeier, Markus K.; Pierret, Diane. “Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023.” Acharya V V, Brunnermeier M K, Pierret D. Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023. NBER Working Paper No. 33211. 2024.
• Acharya, Viral V. "Macroprudential Policies for the External Sector: India’s Approach and Experience." Macro-financial Stability Policy In A Globalised World: Lessons From International Experience: Selected Papers from the Asian Monetary Policy Forum 2021 Special Edition and MAS-BIS Conference, pp. 368-398. 2023.
• Acharya, Viral V., Matteo Crosignani, Tim Eisert, and Sascha Steffen. "Zombie lending: Theoretical, international, and historical perspectives." Annual Review of Financial Economics 14 (2022): 21-38.
• Adler, Barry with Vedran Capkun. “Debt-Equity Conflict and the Incidence of Secured Credit.” The Journal of Law and Economics. Volume 62, Number 3 (2020).
• Altman, Edward I. “Forecasting Credit Cycles: The Case of the Leveraged Finance Market in 2024 and Outlook.” Altman E I. Forecasting Credit Cycles: The Case of the Leveraged Finance Market in 2024 and Outlook. Journal of Risk and Financial Management, Vol. 17, No. 8, Article 339. 2024.
• Altman, Edward I., with Marco Balzano, Alessandro Giannozzi, and Stjepan Srhoj. "The Omega Score: An improved tool for SME default predictions."  Journal of the International Council for Small Business, 2023.
• Berner, Richard, with Marco Cipriani, Michael Holscher, Antoine Martin, Patrick E. McCabe. 2023. "Mitigating the Risk of Runs on Uninsured Deposits: the Minimum Balance at Risk," Liberty Street Economics 20230414, Federal Reserve Bank of New York.
• Berner, Richard with Marco Cipriani, Michael Holscher, Patrick McCabe, and Antoine Martin, “Mitigating the Risk of Runs on Uninsured Deposits: the Minimum Balance at Risk,” Federal Reserve Bank of New York Liberty Street Economics, April 14, 2023.
• Berner, Richard and Kathryn Judge, “The Data Standardization Challenge,” in Systemic Risk in the Financial Sector: Ten Years After the Great Crash, edited by Douglas W. Arner, Emilios Avgouleas, Danny Busch and Steven L. Schwarcz (CIGI Press, 2019).
• Berner, Richard, Douglas Elliot and Mahesh Kotecha, “Investor Protection, Market Integrity, and Financial Stability in Digital Finance,” The Digital Finance Project Team of the Bretton Woods Committee's Future of Finance Working Group, October 2022.
• Berner, Richard, “Financial Stability: Still Unfinished Business,” Macroprudential Matters, October 6, 2022.
• Berner, Richard, William Coen and Carolyn Wilkins, “Addressing Governance Issues in the Crypto Ecosystem,” The Digital Finance Project Team of the Bretton Woods Committee's Future of Finance Working Group, April 20, 2023.
• Dhar, Vasant, and Haoyuan Yu, “Model Variance in Machine Learning,” Journal of Investment Management Vol. 18, No. 2, (2020), pp. 9–22.
• Dhar, Vasant, and Weber, B., Digital Finance: Striking the Right Balance between Machine Intelligence and Human Decision-Making, Journal of Digital Banking, to appear.
• Engle, Robert, with Ahmet K. Karagozoglu, Asger Lunde, and Martin Klint Hansen, “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis Journal of Financial Econometrics", Volume 19, Issue 1, Winter 2021, Pages 1–38.
• Engle, Robert, with Cavit Pakel, Neil Shephard, Kevin Sheppard, “Fitting Vast Dimensional Time-Varying Covariance Models,” Journal of Business & Economic Statistics (2020), 1-17.
• Engle, Robert, and Tianyue Ruan. "Measuring the probability of a financial crisis." Proceedings of the National Academy of Sciences 116.37 (2019): 18341-18346.
• Halaburda, Hanna with Bakos, Yannis. "Overcoming the coordination problem in new marketplaces via cryptographic tokens." Information Systems Research 33, no. 4 (2022): 1368-1385.
• Halaburda, Hanna with Tony Haitao Cui, Anindya Ghose, Raghuram Iyengar, Koen Pauwels, S. Sriram, Catherine Tucker and Sriramanwith Venkataraman. "Challenges in Omnichannel Marketing: Remedies and Future Research," Journal of Marketing 85, no. 1 (2021): 103-120
• Halaburda, Hanna with Yannis Bakos and Christoph Mueller-Bloch, "When Permissioned Blockchains Deliver More Decentralization Than Permissionless," Communications of ACM 64 (February 2021): 20-22
• Kolm, Petter.; Westray, Nicholas. “Deep Learning Alpha Signals from Limit Order Books: Practical Insights and Lessons Learned.” Kolm P N, Westray N. Deep Learning Alpha Signals from Limit Order Books: Practical Insights and Lessons Learned. SSRN Working Paper. 2025.
• Kolm, Petter; Yu, Chenyu; Mulvey, John M. “Deep Statistical Jump Models: Towards General Mixture-of-Experts Framework for Time Series Learning.” Yu C, Mulvey J M, Kolm P N. Deep Statistical Jump Models: Towards General Mixture-of-Experts Framework for Time Series Learning. SSRN Working Paper. 2025.
• Kolm, Petter, with Jeremy Turiel, Nicholas Westray. Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book. Mathematical Finance. July 2023.
• Kolm, Petter, with Cortese, F.P., & Lindström, E. What drives cryptocurrency returns? A sparse statistical jump model approach. Digit Finance (2023).
• Kolm, Petter with Nino Antulov-Fantulin. "Advances of Machine Learning Approaches for Financial Decision Making and Time-Series Analysis: A Panel Discussion." The Journal of Financial Data Science (2023).
• Miller, Geoffrey Parsons. "Compliance in Historical Context." Corporate Compliance on a Global Scale: Legitimacy and Effectiveness (2022): 3-24.
• Miller, Geoffrey Parsons, “The Law of Governance, Risk Management, and Compliance” (Wolters Kluwer 3d ed., 2020; 2d., 2017; 1st ed., 2014).
• Philippon, Thomas and Parlatore, Cecilia “Designing Stress Scenarios.” Parlatore C, Philippon T. Designing Stress Scenarios. The Journal of Finance, Vol. 80, No. 2. 2025.
• Philippon, Thomas and German Gutierrez. "How European markets became free: A study of institutional drift." Journal of the European Economic Association 21, no. 1 (2023): 251-292.
• Philippon, Thomas with Olivier Wang, Let the Worst One Fail: A Credible Solution to the Too-Big-To-Fail Conundrum, The Quarterly Journal of Economics, Volume 138, Issue 2, May 2023, Pages 1233–1271.
• Philippon, Thomas with Joseba Martinez, and Markus Sihvonen. “Does a currency union need a capital market union?” Journal of International Economics, Volume 139 (2022)
• Philippon, Thomas, Viral Acharya, Lasse Pedersen, and Matthew Richardson “Measuring Systemic Risk,” Review of Financial Studies, 2017.
• Pinedo, Michael with Xiaojuan Jiang, and Kangbok Lee. "Approximation algorithms for bicriteria scheduling problems on identical parallel machines for makespan and total completion time." European Journal of Operational Research 305, no. 2 (2023): 594-607.
• Pinedo, Michael., with Kim, D., Choi, Y., Moon, K., Lee, M., Lee, K. (2023). Iterated Greedy Constraint Programming for Scheduling Steelmaking Continuous Casting. In: Cire, A.A. (eds) Integration of Constraint Programming, Artificial Intelligence, and Operations Research. CPAIOR 2023. Lecture Notes in Computer Science, vol 13884. Springer, Cham.
• Pinedo, Michael with Weiwei Chen, Siyang Gao, and Lixin Tang. "Modeling and data analytics in manufacturing and supply chain operations." Flexible Services and Manufacturing Journal 34, no. 2 (2022): 235-237.
• Pinedo, Michael with Myungho Lee, and Kangbok Lee. "Tight approximation bounds for the LPT rule applied to identical parallel machines with small jobs." Journal of Scheduling 25, no. 6 (2022): 721-740.
• Pinedo, Michael with Seokjun Youn, and H. Neil Geismar. "Planning and scheduling in healthcare for better care coordination: Current understanding, trending topics, and future opportunities." Production and Operations Management 31, no. 12 (2022): 4407-4423.
• Pinedo, Michael "Flow Shops and Flexible Flow Shops (Deterministic)." In Scheduling: Theory, Algorithms, and Systems, pp. 153-186. Cham: Springer International Publishing, 2022.
• Pinedo, Michael with Baile Lu, Shuai Hao, and Yuqian Xu. (2021) Frontiers in Service Science: Fintech Operations—An Overview of Recent Developments and Future Research Directions. Service Science 13(1):19-35.
• Richardson, Matthew, "Regulating Wall Street: The Dodd-Frank Act," Economic Perspectives, Federal Reserve Bank of Chicago, 2012, 36: 85-97.
• Richardson, Matthew with Jaewon Choi, and Robert F. Whitelaw. "Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models." The Review of Asset Pricing Studies 12, no. 3 (2022): 706-753.
• Schoenholtz, Kermit with Stephen Cecchetti. "Central bank digital currency: Is it really worth the risk?" In Data, Digitalization, Decentralized Finance and Central Bank Digital Currencies, pp. 115-122. De Gruyter, 2023.
• Schoenholtz, Kermit, Stephen Cecchetti, Michael Feroli, Peter Hooper, and Anil Kashyap, "Deflating Inflation Expectations: The Implications of Inflation's Simple Dynamics". Presented at the US Monetary Policy Forum (March 2017).
• Stroebel, Johannes with Sabrina Howell, Theresa Kuchler, David Snitkof, and Jun Wong, “Lender Automation and Racial Disparities in Credit Access” Forthcoming at the Journal of Finance.
• Stroebel, Johannes with Georgij Alekseev, Safaa Amer, Manasa Gopal, Theresa Kuchler, JW Schneider, and Nils Wernerfelt, “The Effects of COVID-19 on U.S. Small Businesses: Evidence from Owners, Managers, and Employees” Management Science 69(1), January 2023.
• Stroebel, Johannes with Stefano Giglio, Matteo Maggiori, and Stephen Utkus. “Five Facts about Beliefs and Portfolios.” American Economic Review, Vol. 111, No. 5, May 2021 (pp. 1481-1522).
• Stroebel, Johannes with Michael Bailey, Drew Johnston, Theresa Kuchler, Dominic Russel, and Bogdan State. “The Determinants of Social Connectedness in Europe,” Social Informatics12th International Conference, Socinfo 2020, Pisa, Italy, October 6–9, 2020, Proceedings, 07 Oct 2020, 12467:1-14.
• Stroebel, Johannes with Michael Bailey, Patrick Farrell, and Theresa Kuchler. “Social Connectedness in Urban Areas,” Journal of Urban Economics, 118 (103264), July 2020.
• Subrahmanyam Marti, with co-authors. Non-Standard Errors (May 31, 2023). Journal of Finance.
• Subrahmanyam Marti, with Pelizzon, Loriana and Riedel, Max and Simon, Zorka, Collateral Eligibility of Corporate Debt in the Eurosystem (July 05, 2023). Journal of Finance Forthcoming.
• Subrahmanyam Marti, with Stine Louise von Rüden, Dragon Yongjun Tang, Sarah Qian Wang, Can Central Banks Boost Corporate Investment? Evidence from ECB Liquidity Injections, The Review of Corporate Finance Studies, Volume 12, Issue 2, May 2023, Pages 402–442.
• Subrahmanyam Marti, with Patrick Augustin, Valeri Sokolovski, and Davide Tomio. "How sovereign is sovereign credit risk? Global prices, local quantities." Journal of Monetary Economics 131 (2022): 92-111.
• Subrahmanyam Marti, with S.M. Bartram, J.Conrad and J. Lee. "Credit Default Swaps around the World: Investment and Financing Effects," Review of Financial Studies, Volume 35, Issue 5, May 2022, Pages 2464–2524.     
• Subrahmanyam Marti, with M. Arnold and M. Pelster. "Attention Triggers and Investors’ Risk-Taking,” Journal of Financial Economics, Volume 143, Issue 2, February 2022, Pages 846-875.
• Subrahmanyam Marti, with R. Jankowitsch and G. Ottonello. "The New Rules of the Rating Game: Market Perception of Corporate Ratings," Review of Corporate Finance Studies, 2022.
• Subrahmanyam Marti, with M. Chan, J. Cherian, Z. Li, and Y. Shao "Clientele Effect in Sovereign Bonds: Evidence from Malaysia," Critical Finance Review, forthcoming, 2022.
• Subrahmanyam Marti, with A. Eisl, C. Ochs and J. Staghøj. "Sovereign Issuers, Incentives and Liquidity: An Event Study of the Danish Sovereign Bond Market," Journal of Banking and Finance, Volume 140, July 2022, 106485.
• Walter, Ingo “Sense and Nonsense In ESG Ratings,” Journal of Law, Finance and Accounting, September 2020.
• Walter, Ingo with Clive Lipshitz. “Seeking Sustainability in American Public Employee Pension Systems,” Journal of Portfolio Management, October 2020.
• White, Lawrence J. "Antitrust policy for the 2020s: Some sensible ways forward." Applied Economic Perspectives and Policy 44, no. 3 (2022): 1293-1312.
• White, Lawrence J. “The Dead Hand of Cellophane and the Federal Google and Facebook Antitrust Cases: Market Delineation Will Be Crucial” The Antitrust Bulletin 2022, Vol. 67(1) 113–129.
• Whitelaw, Robert; Carpenter, Jennifer N.; Lu, Fangzhou. “Government Bond Risk and Return in the US and China.” Carpenter J N, Lu F, Whitelaw R F. Government Bond Risk and Return in the US and China. Journal of Financial Economics, Vol. 176, Article 104224. 2026.
• Whitelaw, Robert, and Carpenter, Jennifer N., Fangzhou Lu, "The real value of China’s stock market." 2021, Journal of Financial Economics, Vol. 139, No. 3, pp. 679-696.
• Whitelaw, Robert, with Choi, Jaewon, Matthew Richardson. "On the interest rate sensitivity of corporate securities." Last revised: 15 Feb 2022, Review of Asset Pricing Studies, forthcoming.
• Zin, Stanley, David K. Backus, and Axelle Ferriere, “Risk and Ambiguity in Models of Business Cycles,” Journal of Monetary Economics, January 2015 (Carnegie Rochester Conference on Public Policy).