"VOLATILITY AND SYSTEMIC RISK"
A conference on “Volatility and Systemic Risk” to be held at NYU in New York on April 16th, 2010. This is a Volatility Institute Conference under the auspices of SoFiE (Society for Financial Econometrics), and will be jointly sponsored by the The Center for the Study of Auctions, Procurements and Competition Policy (CAPCP), the Center for Research on International Financial Energy Security (CRIFES) at Pennsylvania State University, and FinEx Plus LLC. This conference follows the very successful inaugural conference on "Volatilities and Correlations in Stressed Markets" held last spring.
The focus of the conference is to understand both economically and statistically the dramatic movements in volatilities and correlations experienced in global financial markets since Sept 2008. Some of these financial market risks we now know were systemic and the conference will showcase new research on both statistical and economic measures of systemic risk. Such measures are potentially important inputs to the new regulatory environment. The conference will emphasize academic, regulatory and practitioner points of view.