Volatility and Risk Institute | Pandemic Risk

Real-time Analysis on V-Lab

Our faculty and staff have been examining the effects of COVID-19 as it continues to spread across the world. Notably, we've added a real-time analysis to V-Lab and have also conducted research on the economic impact of the pandemic from using our multiple lenses of risk.  

The COVID-19 analysis page to V-Lab considers the financial market impact of the global pandemic and tracks the status of the spread along with financial stress indicators. The analysis shows spread of confirmed cases throughout the globe, as well as the relative stock market volatility of countries around the world.

Papers on the impact of COVID-19 from VRI Faculty

• Acharya, Viral and Sascha Steffen, "The risk of being a fallen angel and the corporate dash for cash in the midst of COVID," forthcoming in Review of Corporate Financial Studies
• Acharya, Viral, Yang Liu, and Yunhui Zhoa, "COVID-19 containment measures and expected stock volatility: High-frequency evidence from selected advanced economies," COVID Economics, CEPR, Issue 79 
• Acharya, Viral and Sascha Steffen, "'Stress Test' for Banks as Liquidity Providers in a time of COVID," VoxEu, March 22, 2020.
• Acharya, Viral, Robert Engle, and Sascha Steffen, "Why Did Bank Stocks Crash during COVID-19?" Working Paper
• ​​​​​Altman, Edward, "COVID-19 And The Credit Cycle," Journal of Credit Risk, 16(2): 1-28
• Engle, Robert, Nazli Sila Alan, and Ahmet K Karagozoglu. "Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets." Volatility and Risk Institute Working Paper, New York University, 2020.
• Epstein, Joshua, and Cedeno-Mieles, V., Hu, Z., Ren, Y. et al. Networked experiments and modeling for producing collective identity in a group of human subjects using an iterative abduction framework. Soc. Netw. Anal. Min. 10, 11 (2020)
• Epstein, Joshua, and Probst, C., Vu, T. M., Nielsen, A. E., Buckley, C., Brennan, A., ... & Purshouse, R. C. (2020). The normative underpinnings of population-level alcohol use: an individual-level simulation model. Health Education & Behavior, 47(2), 224-234.
• Philippon, Thomas, Callum Jones, and Venky Venkateswaran, "Optimal mitigation policies in a pandemic: Social distancing and working from home," National Bureau of Economic Research, 2020.
• Philippon, Thomas, Olivier Blanchard, and Jean Pisani-Ferry. "A new policy toolkit is needed as countries exit COVID-19 lockdowns," Peterson Institute for International Economics Policy Brief, 2020.
• Subrahmanyam Marti with A. Boot, E. Carletti, H-H. Kotz, J-P. Krahnen, and L. Pelizzon "Coronavirus and Financial Stability 3.0: Try Equity – Risk Sharing for Companies, Large and Small," in Europe in the Time of Covid-19, A. Bénassy-Quéré and B. Weder di Mauro (eds.), A VoxEU.org Book, CEPR Press, May 2020.
• Subrahmanyam Marti with A. Boot, E. Carletti, H-H. Kotz, J-P. Krahnen, and L. Pelizzon. "Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund," in Europe in the Time of Covid-19, A. Bénassy-Quéré and B. Weder di Mauro (eds.), A VoxEU.org Book, CEPR Press, May 2020.
• Subrahmanyam Marti with E. Carletti, T. Oliviero, M. Pagano, and L. Pelizzon. "The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy," Review of Corporate Financial Studies, forthcoming.
• Subrahmanyam Marti with S. Basak, D. Makarov, and A. Shapiro. "Security Design with Status Concerns," Journal of Economic Dynamics and Control, forthcoming.
• Tucker, Joshua and Van Bavel, Jay J., Katherine Baicker, Paulo S. Boggio, Valerio Capraro, Aleksandra Cichocka, Mina Cikara, Molly J. Crockett, et al. "Using social and behavioural science to support COVID-19 pandemic response." Nature Human Behaviour (2020): 1-12.

 

VRI Faculty's COVID-19 Research in the Media

• Professor Viral Acharya's co-authored op-ed on "3 ways to ensure SBA aid for small businesses helps those who need it most" in MarketWatch
• Professor Edward Altman’s research is featured in the Financial Times: “How Covid-19 Sparked a Dividend Drought for Investors.”
• Professor Edward Amoroso’s panel discussion on the role of CISOs in the response to the pandemic was featured in InfoSecurity Magazine
• Professors Richard Berner and Kim Schoenholtz discuss the Fed’s response to COVID-19 in The Economist.
• Professor Robert Engle argues that the coronavirus pandemic could be a "dress rehearsal" for the climate crisis in China Daily.
• Professor Joshua Epstein warns Risk.net of the potential for a virus resurgence akin to 1918 Spanish flu.
• Professor Thomas Philippon agures in the New York Times that the COVID-19 pandemic has provided Big Tech companies unprecedented reach into our lives.
• Professor Kim Schoenholtz discusses "COVID-19 Stress Test" on his blog, Money and Banking.