SoFiE Financial Econometrics Summer School
July 10-July 14, 2023
Volatility Institute, NYU Shanghai
The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels. Since 2017, The SoFiE Financial Econometrics Summer School took place in North America, Asia and Europe. In the past five years, the Summer School in Asia has been hosted at the Volatility Institute of NYU Shanghai. The upcoming 2023 Summer School will also be held at the same location.
The editorial board for these annual series is made up of professors as follows:
Torben G. Andersen (Northwestern University)
Francis X. Diebold (University of Pennsylvania, past President of SoFiE)
Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE)
Ravi Jagannathan (Northwestern and past President of SoFiE)
Per Mykland (University of Chicago and past President of SoFiE)
Eric Renault (University of Warwick and past President of SoFiE)
Neil Shephard (Harvard University)
Viktor Todorov (Northwestern University)
The course is designed for Ph.D. students and junior faculty who apply and are accepted to the Summer School, providing an overview of the growing literature in climate finance. In addition to a comprehensive discussion of the existing literature, this course will explore future research directions. Participants will have the opportunity to present their current research and receive constructive feedback from instructors and other attendees. Applicants who wish to present their work should indicate their interest in their application and include the paper they plan to present. Admission decisions will include notification for those selected to present.
Professor Johannes Stroebel (The New York University Stern School of Business)
Professor Johannes Stroebel is the David S. Loeb Professor of Finance at the New York University Stern School of Business. He conducts research in climate finance, household finance, social network analysis, macroeconomics, and real estate economics.
Professor Stroebel was awarded the 2023 Fischer Black Prize by the American Finance Association, given every two years to the top financial economist under the age of 40. He has won numerous other awards, including the AQR Asset Management Institute Young Researcher Prize and the Brattle Award for the best paper published in the Journal of Finance. He has also earned an Andrew Carnegie fellowship and an Alfred P. Sloan Research Fellowship in Economics. Professor Stroebel holds or has held editorial positions at the Journal of Political Economy, the Review of Economic Studies, the Journal of Finance, and Econometrica.
Professor Stroebel teaches classes on climate finance at the undergraduate, MBA, and executive education levels. He regularly provides advice to governments and firms on managing their financial risks from climate change. Among other roles, he was a member of the Climate-Related Market Risk Subcommittee at the Commodities and Futures Trading Commission (CFTC), as well as a member of a Working Group on Extreme Weather and Financial Risks at the President’s Council of Advisors on Science and Technology (PCAST). He is the Chair of the Academic Advisory Council of the Center on Regulation and Markets at the Brookings Institution.
Professor Stroebel read Philosophy, Politics, and Economics at Merton College, Oxford, where he won the Hicks and Webb Medley Prize for the best performance in Economics. In 2012, he earned a Ph.D. in Economics at Stanford University, where he held the Bradley and Kohlhagen Fellowships at the Stanford Institute for Economic Policy Research. Before joining NYU in 2013, Professor Stroebel was the Neubauer Family Assistant Professor of Economics at the University of Chicago Booth School of Business.
Professor Stefano Giglio (Yale University)
Professor Stefano Giglio is a Professor of Finance at the Yale School of Management. Giglio’s research interests span several topics, including asset pricing, macroeconomics, and real estate, with a particular focus on hedging macroeconomic risks using different financial instruments: crash risk, uncertainty risk, and climate risk.
Before joining Yale, Professor Giglio was an Associate Professor of Finance at the University of Chicago Booth School of Business. He has been awarded several prizes, including the AQR Insight Award, the Fama-DFA Prize for the Best Paper in the Journal of Financial Economics, and the UBS Global Asset Management Award for Research in Investments, and his work has been featured in several news outlets, including the Economist and the New York Times. He currently serves as an editor for the Review of Financial Studies.
Feedback loops between climate change and the broader economy;
The pricing of climate risk across asset markets;
Approaches to hedging climate risk in portfolios;
Approaches to conducting climate stress tests;
Investor motivations for ESG investing;
The appropriate discount rate for investments that mitigate the effects of climate change;
The effects of climate change on energy markets
Applicants should register and submit electronical materials through the following registration website: https://research.shanghai.nyu.edu/vins/sofie_summer_school_registration. The applications should include a full CV and motivation letter (half-page length) explaining why attending this course would be helpful to the applicant’s research work. All materials should be in pdf version. The application deadline is 15 May, 2023. Decisions will be emailed out by 1 June, 2023.
NOTE: The application is now closed.
Applicants are encouraged to present some of their thesis work during evening sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.
$350 for Ph. D. students and faculty members attending this course.
$700 for Ph.D. level colleagues from other institutions.
Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).
To receive an invoice, please fill the information in this link
All accepted participants will be expected to be members of the Society for Financial Econometrics or join before their place is confirmed.
See http://sofie.stern.nyu.edu/membership on how to join the society (where a student membership option is available).
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