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Welcome Speech by Yannis Stournaras, Governor of the Bank of Greece at the lecture by Professor Robert Engle themed “A financial approach on climate change”

30/09/2019 - Speeches

We have the privilege and the honour to have Professor Robert Engle with us today.

Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

He is currently the Director of the NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.

He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.

Today he will talk about climate change and the financial markets. The economic effects of climate change have recently become a relevant issue for the financial system as the impact of this change is starting to directly affect parts of the population. Climate change risk is a very serious and long horizon risk as the worst impacts are far in the future and yet they affect behavior and asset prices today. Faced with this type of risk, it is difficult to diversify and insure. Professor Engle’s work on the economics of climate change examines the implications for financial markets and addresses climate risk with innovative approaches, such as hedging through climate change news and building portfolios that hedge climate shocks.


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