NYU Stern’s Volatility Institute Expands into China: MBA News

By Tim Dhoul Updated Dec 01, 2014

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Introduction
Nobel laureate, Robert Engle, leads institute’s research

NYU Stern extends Volatility Institute into Shanghai

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An extension of the NYU Stern’s financial research center, the Volatility Institute, has been launched in Shanghai.

The Volatility Institute is focused on analyzing and assessing risk in global financial markets with the aim of influencing international financial policy. The NYU Shanghai extension into China and Shanghai’s financial district of Liujiazui is intended to provide a platform facilitating research into Chinese financial markets.

The new center was launched at NYU Shanghai – a campus formed between NYU and East China Normal University to provide undergraduate education with a nod to both the eastern and western worlds.

Nobel laureate, Robert Engle, leads institute’s research

The original Volatility Institute was established in 2009 and has since been led by Robert Engle, finance professor at NYU Stern. The recipient of a Nobel Prize in economics in 2003 for his work in the field of econometrics, Robert Engle was at the launch event held at NYU Shanghai to give a keynote address.

Identifying risks as a means of avoiding them and maximizing rewards is the basis of Robert Engle’s award-winning ARCH modeling technique, which uses regression analysis to formulate methods of clarifying and understanding market fluctuations.

This kind of statistical analysis is provided by one of the tools at the disposal of NYU Stern’s finance center - the Volatility Lab (V-Lab), which models and forecasts financial ‘volatility’ and subsequent risks across a wide spectrum of assets. In so doing, NYU Stern says that the V-Lab runs 28,900 analyses on 6,053 datasets, producing a total of 63,766 series each day.

In addition, the research center led by Robert Engle compiles a weekly ranking of the risks large financial institutions pose to the global economy and, as China’s influence in this regard continues to grow, having a base of operations for the Volatility Institute’s work at NYU Shanghai could yield some useful information for academics as well as both practitioners and policy makers.

Written by

Tim Dhoul

Tim is a writer with a background in consumer journalism and charity communications. He trained as a journalist in the UK and holds degrees in history (BA) and Latin American studies (MA).