Nobel Laureate, Professor Emeritus of Finance, Co-director of the Volatility and Risk Institute (@NYU_VRI)
New York, NY
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Preparing for the Bernoulli Lecture with an evening in Annecy and golf in Chamonix under Mont Blanc
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I'll present my research on "Climate Financial Risk: Portfolios And Stress Tests" at the @CQFInstitute ESG & Climate Risk in Quant Finance Conference on 9/29.
Free registration here: qiconference.com/september-2…
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Consistent with SRISK, short term risk for US banks is declining but long term risk is rising. nyti.ms/2trSTqj
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Spoke about Structural GARCH today at the #SoFiE conference in Aarhus, Denmark! Great conference so far @SoFiE_News
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Korean equity market Kospi is stable at 10% vol on @NYUVlab. However, the options based vol index is now at 16%
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Learn more at vlab.stern.nyu.edu
Shanghai & Shenzhen A share indices hit 70% volatility -highest since '96. Market still above level 1 yr ago @NYUVlab
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First time insurance firm tops SRISK, @NYUStern's systemic risk measure! Learn more @ vlab.stern.nyu.edu @NYUVlab
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