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Robert F. Engle

Robert F. Engle Books

Economist

Robert F. Engle is a renowned economist known for his contributions to time series analysis and financial economics. In the 1970s, he proposed the Autoregressive Conditional Heteroskedasticity (ARCH) model, which had a profound impact on the study of financial market volatility.

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“Risk managers and investment bankers and actually, all kinds of investors took on more risk than they expected. So there was a failure of risk management. There was a failure to recognize how much risk there was in some of these securities that people bought.”

People Kind Risk Security Management Investment Expected All Kinds Managers Investors Bankers Risk Management

Author:Robert F. Engle

“That is, many times we're not risking our own money, we're risking somebody else's money, or maybe that someone is going to back stop or downside, but we still get the upside.”

Author:Robert F. Engle

“There are a lot of ways that investment banking models work, but these risks are not internalized by the people that are taking them.”

People Way Risk Models Investment Banking Investment Banking

Author:Robert F. Engle

“I think that's something that investment banks have worried about for a long time and are continuing to worry about, but it's not an easy solution when you have lots of people betting the company's money, how do you really allocate those risks? How do you make sure that the people that take the risks are feeling the risks in an appropriate kind of fashion?”

People Thinking Kind Long Feelings Easy Company Worry Risk Fashion Long Time Solutions Investment Worried Appropriate Continuing Betting

Author:Robert F. Engle

“I agree with a lot of the points in Taleb's book, but I don't agree with many of his conclusions. It seems to me that he rightly points out that risk managers miss a lot of the risks, but the conclusion is that he draws, is that we should abandon risk management, whereas my conclusion is we should improve it.”

Should Book Seems Risk Missing Draws Management Agree Conclusion Managers Abandon Risk Management

Author:Robert F. Engle

“I don't see what the alternative to risk management is. If it's just getting rid of the models and instead using the smart people who can figure it out? How do you train them? What do you teach them? Do you just put them in a cockpit and let them stumble for 10 years of their life and then after that they're good at it?”

People Ifs Years Teach Risk Figures Models Smart Management Train Alternatives Risk Management Smart People Cockpit

Author:Robert F. Engle

“I mean, we've always had gold bugs, but now we sort of realize that Treasure Bills might be in the same category. And we have derivatives like credit default swaps which are in this category, and we have derivatives like volatilities that are actually an asset class that we can invest in which are now - would out perform if we have another financial crisis.”

Ifs Mean Might Realizing Class Gold Crisis Bills Financial Credit Treasure Assets Categories Bugs Default Financial Crisis Derivatives Volatility Credit Default Swap

Author:Robert F. Engle

“You know, some of the portfolios we might consider buying are portfolios which would do especially well if we have an economy-wide, or I mean, a global climate change that impacts us very negatively there are some companies that will do well, and so it might make sense to hold some of those in your portfolio.”

Ifs Knows Wells Mean Might Company Economy Impact Climate Climate Change Wide Make Sense Buying Portfolios

Author:Robert F. Engle

“Well if you've got information about a company, or you believe that a company is undervalued, you can go out and buy their stock and you can make some profit on it.”

Ifs Believe Wells Company Information Profit Undervalued

Author:Robert F. Engle

“If a lot of people feel like this company is undervalued and go out and buy the stock, the stock price will go up reflecting the higher value of this company. You might have information because you trade with them or because you've done some research on them.”

People Ifs Feels Done Might Values Company Information Higher Research Trade Reflecting Undervalued Stock Price

Author:Robert F. Engle

“If you have information that a company is not as good as its stock market valuation, you don't have a way to sell that stock unless you already own it. And so that information doesn't get incorporated in the company's stock price as fast if you don't allow short selling.”

Ifs Way Company Information Sells Selling Valuation Stock Price

Author:Robert F. Engle

“Allowing short selling is allowing people to sell - instead of having to buy the stock and then sell it, which doesn't do much; allow them to sell it, and then buy it. In which case they can express that information and the idea is that you would get more accurate valuation of companies by letting people express both their positive information and their negative information through either long or short selling.”

People Long Ideas Company Cases Information Negative Sells Selling Allowing Accurate Valuation

Author:Robert F. Engle

“The collateralized debt obligation, the CDO, is a structure which allows you to more or less continuously choose how much risk you want to take in a whole batch of securities. And the reason why they got us into so much trouble is that it's hard to figure out how much risk you really are taking.”

Want Hard Reason Whole Risk Trouble Security Figures Structure Debt Obligation Reason Why

Author:Robert F. Engle

“I think what we need is better understanding of how to do risk analysis of a CDO, but that they still can perform a very valuable function because they can aggregate these risks and pass them around so that mortgages or other kinds of loans can be packaged and sold to investors all over the world, who in most times, would justify a small amount of each one.”

Thinking World Needs Kind Stills Understanding Risk Amount Function Valuable Analysis Justify Investors Loan Mortgage Small Amounts

Author:Robert F. Engle

“Credit default swap gives you something to do. You can buy some credit default swaps from them to protect yourself against the bankruptcy of people who owe you money.”

People Giving Protect Credit Default Bankruptcy Protect Yourself Credit Default Swap

Author:Robert F. Engle

“If you pay attention to where your exposures are, you might tend up buying credit default swaps against a variety of people that you - companies that you deal with.”

People Ifs Might Deals Pay Attention Company Credit Variety Pay Attention Buying Exposure Default Credit Default Swap

Author:Robert F. Engle

“I don't think the idea of requiring these to be only sold to people who have already own the bonds, in other words, this naked position that the Germans have recently put into their financial regulation and has been discussed here. I don't think that makes any sense.”

People Thinking Has Beens Ideas Position Financial Naked Regulation Financial Regulation

Author:Robert F. Engle

“So what is the role that credit default swaps can play in an economy? Well my feeling is that if these things actually will now be traded on either exchanges or some kind of central clearing, they are going to be a very good measure of the credit worthiness of different companies.”

Ifs Wells Kind Different Play Feelings Company Roles Economy Very Good Credit Default Worthiness Clearing Credit Default Swap

Author:Robert F. Engle

“I think the credit default swaps can take the place of the rating agencies who really have missed the ball in this procedure and are quite conflicted by the way the ratings are paid for. So, I would like to see credit default swaps become an evermore important way of understanding credit risk in the economy.”

Thinking Way Important Understanding Economy Risk Balls Paid Credit Agency Procedures Rating Default Evermore Credit Default Swap

Author:Robert F. Engle

“When large companies take on risk, then they impose risks on the rest of the system. And these are systemic risks and these systemic risks we never used to think were really that important, but as soon as we recognize how the financial sector - the risks the financial sector takes on can impact the entire global economy, we realize that those risks needed to be controlled for the social good.”

Thinking Important Used Social Realizing Company Economy Risk Needed Impact Financial Controlled Global Economy Social Good Large Companies

Author:Robert F. Engle

“I think we're fooling ourselves if we think that regulators are going to be able to outsmart the bankers. So, the task of designing regulatory reform is trying to make more or less foolproof regulation and that's one of the advantages of the systemic category.”

Ifs Thinking Trying Able Design Advantage Tasks Reform Categories Regulation Bankers Regulators Foolproof Fooling Ourselves

Author:Robert F. Engle

“A lot of ambitious code has been written into the law for those and we will have to see if it actually works, if we have another example of a big financial institution going bankrupt.”

Ifs Has Beens Bigs Law Written Example Institutions Financial Code Ambitious Financial Institutions

Author:Robert F. Engle

“I think global coordination is tremendously important. I hope we can see this happening through the G20 and through coordination of regulatory regimes around the world. I guess those are the main features of this bill that are important.”

Thinking World Important Happenings Bills Around The World Features Regimes Coordination

Author:Robert F. Engle

“I'd like to see a little more action on the energy side of things. I've been pushing for some kind of a carbon tax for years, and it seems to me we've had lots of opportunities to do it.”

Years Kind Littles Seems Action Opportunity Energy Sides Taxes Pushing Carbon Carbon Tax

Author:Robert F. Engle

“We're talking about should we increase taxes? Why not put a tax on carbon emissions. It would raise a lot of money, it would reduce the environmental damages in the future, it would solve so many problems, and it would be a much more constructive thing to do than to think about raising the income tax.”

About the Author

Born: November 10, 1942
Known for: Economist
Quotes: 25

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