Press Releases
Nobel Laureate Robert Engle Advises Federal Agencies on Regulatory Issues
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Nobel Laureate and Professor of Finance Robert Engle was selected to be a member of a Securities and Exchange Commission (SEC) and Commodities Futures Trading Commission (CFTC) joint committee to address emerging regulatory issues. The Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues is responsible for developing recommendations relating to both agencies. The Committee will examine the May 6 stock market fall and the market forces that contributed to the volatility of that trading day.
SEC Chairman Mary Shapiro and CFTC Chairman Gary Gensler will serve as co-chairs of the Joint Committee. Other members of the Committee include: Brooksley Born, Former Chair of the CFTC, Jack Brennan, Former Chief Executive Officer and Chairman, Vanguard; Richard Ketchum, Chairman and Chief Executive Officer, FINRA; Maureen O'Hara, Professor of Management, Professor of Finance, Cornell University; Susan Phillips, Dean and Professor of Finance, The George Washington University School of Business; and David Ruder, Former Chair of the SEC.
Professor Engle heads the Stern Volatility Lab and this past April, he, along with his Stern colleagues, created the Systemic Risk Ranking, a weekly rating and ordering by level of risk that the largest U.S. financial institutions bring to the financial system. The rankings use stock quotations and other market data, from 1990 to the present, and provide an early warning that will help regulators identify threats to the overall health of the financial system.
Robert Engle is the Michael Armellino Professor of Finance at NYU Stern. He is a Fellow of the American Academy of Arts and Sciences, the Econometric Society, the American Statistical Association and the American Finance Association. He is a member of the U.S. National Academy of Sciences. In 2003, Professor Engle was honored with the Nobel Prize in Economic Sciences for his work in methods of analyzing economic time series with time-varying volatility (ARCH). In addition to ARCH, his research has introduced some of the most influential concepts in modern econometrics - GARCH models, Cointegration, Weak Exogeneity, Band Spectrum Regression, Common Features, Autoregressive Conditional Duration (ACD), and, most recently, the CAViaR model.
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SEC Chairman Mary Shapiro and CFTC Chairman Gary Gensler will serve as co-chairs of the Joint Committee. Other members of the Committee include: Brooksley Born, Former Chair of the CFTC, Jack Brennan, Former Chief Executive Officer and Chairman, Vanguard; Richard Ketchum, Chairman and Chief Executive Officer, FINRA; Maureen O'Hara, Professor of Management, Professor of Finance, Cornell University; Susan Phillips, Dean and Professor of Finance, The George Washington University School of Business; and David Ruder, Former Chair of the SEC.
Professor Engle heads the Stern Volatility Lab and this past April, he, along with his Stern colleagues, created the Systemic Risk Ranking, a weekly rating and ordering by level of risk that the largest U.S. financial institutions bring to the financial system. The rankings use stock quotations and other market data, from 1990 to the present, and provide an early warning that will help regulators identify threats to the overall health of the financial system.
Robert Engle is the Michael Armellino Professor of Finance at NYU Stern. He is a Fellow of the American Academy of Arts and Sciences, the Econometric Society, the American Statistical Association and the American Finance Association. He is a member of the U.S. National Academy of Sciences. In 2003, Professor Engle was honored with the Nobel Prize in Economic Sciences for his work in methods of analyzing economic time series with time-varying volatility (ARCH). In addition to ARCH, his research has introduced some of the most influential concepts in modern econometrics - GARCH models, Cointegration, Weak Exogeneity, Band Spectrum Regression, Common Features, Autoregressive Conditional Duration (ACD), and, most recently, the CAViaR model.
Read the Press Release