Risk Management When We Don’t Know the Risks | Robert Engle | ADIA Lab Symposium 2026

Value of the Information & Strength of the Argument

The lecture provides a compelling argument for volatility-based risk management. Engle combines theoretical models with empirical evidence, demonstrating that volatility targeting improves risk-adjusted returns, especially during high volatility periods. The introduction of a novel spline GARCH-M model adds an original contribution, and the discussion of the price of risk offers a nuanced view of market efficiency. The argumentation is rigorous, supported by statistical tests and real-world data, and clearly explains the economic rationale behind the findings. While the speaker acknowledges potential conflicts of interest (e.g., financial ties to volatility indices), he transparently discloses them, enhancing credibility.

Scientific Rigor, Source Quality, Title Accuracy

The talk references established research (e.g., Moreira and Muir’s volatility-managed portfolios) and presents new empirical results. The sources cited within the talk are primarily from the speaker’s own work and V-Lab, which is a reputable academic resource. However, the lecture does not provide extensive external citations, relying instead on the audience’s familiarity with the field. The title accurately captures the core theme: managing risks when they are not yet known. Overall, the scientific rigor is high due to the speaker’s expertise and the empirical nature of the presentation.

Le titre reflète précisément le contenu : la gestion des risques lorsque ceux-ci ne sont pas encore connus, via l'analyse de la volatilité et des stratégies de ciblage.

9/10

Exposé par un économiste lauréat du prix Nobel, fondé sur des modèles statistiques éprouvés et des données empiriques récentes, avec une transparence sur les conflits d'intérêts potentiels.

Markers derived by PSI from the transcript: the creator did not define chapters.

• 00:00Introduction of the keynote speaker, Professor Robert Engle, by the host.
• 03:00Engle begins his talk, introducing the concept of volatility maps and the importance of forecasting for risk management.
• 08:00Discussion of common volatility (COVOL) and its impact on diversification across countries and asset classes.
• 15:00Introduction to volatility targeting strategies, referencing the work of Moreira and Muir, and the idea of reducing exposure when volatility is high.
• 25:00Exploration of the price of risk, including GARCH-in-mean models and the question of whether expected returns compensate for high volatility.
• 35:00Presentation of a new spline GARCH-M model that allows the price of risk to vary non-linearly with volatility, and empirical results showing it declines at high volatility levels.
• 45:00Comparison of volatility target indices with the S&P 500, showing superior Sharpe ratios and other risk-adjusted metrics, especially during COVAL days, and concluding remarks on applications in insurance annuities.

• ADIA Lab Symposium 2026 — Lien fourni dans la description de la vidéo, donnant des informations sur le symposium et la conférence.