Mumbai, November 26, 2019: The National Stock Exchange (NSE), as part of its Silver Jubilee celebrations, invited Prof Robert Engle, a Nobel Laureate in Economics, as the Keynote Speaker for this year’s Dr. R H Patil Memorial Lecture.
By aggregating SRISK (systematic risk) across a country’s economy, Robert Engle, a Nobel Prize winner at NYU, believes one can estimate the relationship between projected capital shortfalls and the likelihood of a financial crisis. His work shines a spotlight on the interconnected nature of the economy, reminding investors that potential danger is rarely isolated in a single country. Indeed, the risk of a domestic financial crisis depends, in large part, on the financial position of the rest of the world.
“Our approach is motivated by the observation that excessive credit growth, a main cause of financial crises, is reflected in the undercapitalization of the financial sector,” his study said.
Speaking on the occasion, Mr. Vikram Limaye, MD & CEO, NSE, said “We are very fortunate and honored to have with us Prof Robert Engle as our key note speaker for this year’s Dr. R H Patil Memorial lecture given the issues facing the Indian financial services landscape, and the importance of risk management as a focus area for banking and capital markets players’.
Prof Engle won the Nobel Prize in 2003 for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He is presently 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.
Prof 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.
The ‘Dr. R H Patil Memorial Lecture’ is organized in the honor of NSE’s founding Managing Director, Dr. R H Patil, who played a pivotal role in transforming India’s capital markets, thereby paving the way for both domestic and global investors to be part of the India growth story. This is the second year of the lecture, which is an annual event and brings insights from high quality domestic or international speakers of repute.
During the inaugural Dr R H Patil Memorial lecture last year, Prof Robert C Merton, a Nobel Laureate in Economics was invited to be the Keynote Speaker. Prof Merton won the Nobel Prize in 1997 for a new methodology to value derivatives (Black-Scholes-Merton model).