Professor Menachem Brenner is interviewed by Nikkei Asian Review


Volatility index creator seeks to invent new tool to measure 'ambiguity'

- Menachem Brenner discusses why VIX is low in time of uncertainty - KENJI KAWASE, Nikkei deputy editor

(original article Nikkei Asian Review (May 15, 2017)

Excerpt:

"... New York University professor Menachem Brenner, who pioneered the concept of the volatility index, said the role of the VIX is misunderstood even as he seeks to create a new tool to measure the different but relevant concept of "ambiguity," which could provide the missing piece to explain what is going on in the market.

"... What he is now working on is to create a new gauge to measure the complicated concept of ambiguity so it can numerically capture the level of uncertainty that is not reflected in the VIX.

"Volatility alone doesn't explain expected returns. Higher volatility is higher risk, but that is not enough and you also need [to grasp] ambiguity," said Brenner. Just as the VIX acts as an indicator of volatility, "if there is an index, it will tell how ambiguous the market is [and that] will be another piece of information" for market players.

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