Given his new book is out, I dug up this 2013 interview by former Fed Governor Donald L. Kohn with former Fed Chairman Paul Volcker:

Source: George Washington University Law School

Previously:
Writing a Book With Paul Volcker (November 1, 2018)

Paul Volcker on Charlie Rose (November 2008)

Donald L. Kohn, Senior Fellow, Brookings Institution & Former Vice Chairman, The Board of Governors of the Federal Reserve, interviews Honorable Paul A. Volcker, Twelfth Chairman, Board of Governors of the Federal Reserve System, as part of the Paul Volcker Scholarship Award ceremony.