He is the father of Wall Street's fear gauge: the VIX. NYU Stern School of Business Professor Menachem Brenner co-invented the volatility index based on the prices of traded index options together with Dan Galai in 1986, now known as the Chicago Board Options Exchange's (CBOE) Volatility Index, or simply the VIX.
Brenner is now developing a new tool to measure uncertainty: ambiguity.
The VIX is indicating that investors expect the wild market swings and high volatility due to coronavirus to continue throughout the year.
Dr. Shirley Yu and Martina Fuchs started by asking him about how deep the current recession will be and the lessons learnt from the 2008 global financial crisis.
• «Guys, get ready for a long-haul year»
• «We should look at both measures: the VIX and ambiguity»
• «The Fed buying junk bonds crossed a red line»
• «We don’t learn enough from history... What causes crashes is leverage»
• «I have a problem with behavioral economics, because it talks about the behavior of an individual and not the collectivity»
• «If we privatize China’s banking system, then China can move ahead much faster»
• «China should not kill the messenger»
7. Mai 2020