Letter from our Directors - Fall 2021

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We are deeply appreciative of your support for the Volatility and Risk Institute. 

Since last spring, there have been many positive developments for the VRI. The most dramatic is the demand for our research on climate risk, kicked off by our acclaimed climate risk conference. Our excellent PhD student Hyeyoon Jung finished her degree in the spring including a chapter on climate stress tests. She is now an economist at the Federal Reserve Bank of New York and in that role has continued to speak, publish and work on this research. With the interest by central banks in climate scenario analyses of large banks and the Network for Greening the Financial System (NGFS) there are many research teams seeking ideas about how to do this analysis and practitioners in financial services seeking to understand its implications. Hyeyoon has given many talks this fall, and Dick and Rob have also been repeatedly asked to present these results. With Zoom we have gone around the world with these ideas.

Similarly, Johannes Stroebel has been very busy finishing a paper on the response of fund managers to local extreme weather events. He has also written a survey paper of academic climate finance research and teamed up with Jeff Wurgler to conduct an opinion survey of climate finance participants from the private, government and academic sectors. Highlights of this survey included a clear opinion that climate risks were underpriced in the market and that the role of the financial sector was likely to be critical to climate risk mitigation.

In addition, we collaborated with many organizations to carry the message of VRI into new settings. We did a podcast on climate risk with the Chicago Fed, and teamed up with the Ross Institute to examine crypto asset accounting and regulation. We did a podcast on cyber risk and the ransomware epidemic.

One of your recommendations was to make the incredible resources of VLAB more accessible. We have been creating short YouTube videos to embed in VLAB so that a simple description of the current view and the options available can be easily grasped. We have also added many new features to VLAB including an analysis of the most impactful events in the US over the last decade where the metric is that these events make the volatility of all assets and asset classes more volatile than expected.

A particular strength of the team we have assembled is that we take our work to the classroom: We are teaching undergraduates, MBAs and PhD students about the range of risks that face our businesses and our countries and how to manage them.

Again, thank you for your support. We look forward to all that is ahead of us.

Best Regards,

Robert F. Engle
Co-director, Volatility and Risk Institute
Professor Emeritus of Finance, 2003 Nobel Laureate in Economics
NYU Stern School of Business

Richard Berner
Co-director, Volatility and Risk Institute
Professor of Management Practice in Finance
NYU Stern School of Business