Academic Lecture: GEOPOLITICALRISK AND CLIMATE RISK
Speaker: Robert F.Engle, Professor, Nobel Laureate
Time: 14:30-15:30 July 16, 2021
Virtual Platform: Tencent Meeting (ID: 899 429 067)
Organizers: School of Finance, Office of International Exchange and Cooperation, Research Office
Robert Engle, American economist and econometrician, the Michael Armellino Professor of Finance at New York University Stern School of Business, won the Prize in Economic Sciences in Memory of Alfred Nobel in 2003 for his research on the theory of autoregressive conditional heteroscedasticity (ARCH) as statistical methods for economic time series. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts in the financial markets.
Prof. Robert Engle will introduce his working paper. The co-author of this paper is Prof. Susana Campos-Martins from Oxford University. In the paper, they purpose an econometric model to construct a new measure of geopolitical risk, i.e. GEOVOL, and verify the validity of this proxy using market data. In addition，Prof. Engle will share the application of GEOVOL in hedging climate risk.