Robert Engle Wins the Cheng Siwei Global Research Prize for His Contributions to Fictitious Economy

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Dec 16 2021

Robert Engle, the 2003 Nobel Laureate in Economics and co-director of the Volatility Institute at NYU Shanghai, has been named one of two 2021 recipients of the Cheng Siwei Global Research Prize for his work SRISK: A Conditional Capital Shortfall Measure of Systemic Risk.

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The 2021 Cheng Siwei Global Research Prize aims at “rewarding outstanding research on the theory, methods and practice of fictitious economy in China and abroad.” As stated by the Prize Committee, Professor Engle “made great contributions in econometrics and financial policymaking. His paper proposed a new measure of systemic risk, which is a useful supplement to the fictitious economy theories and methods, and has important practical significance for China's financial risk prevention.” The award for the Chinese research went to Professor Yong Shi, counselor of the State Council of China and Director for the Research Centre on Fictitious Economy and Data Science, Chinese Academy of Sciences, to honor the National Credit Scoring System of the People's Bank of China developed by the team he led.

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Granted by the Chinese Academy of Sciences and the World Academy of Sciences, the Cheng Siwei Global Research Prize was created by the Cheng Siwei Fund, which was established in 2016 to promote innovative research in economics and management especially in the fictitious economy field. Known as the “Father of Chinese Venture Capital,” Cheng Siwei (1935-2015), the late Dean of School of Management at University of the Chinese Academy of Sciences and Director for the Research Centre on Fictitious Economy and Data Science, Chinese Academy of Sciences, was a visionary leader in pioneering research on venture capital, fictitious economy and management. His work has had a profound impact on both the Chinese and global economy.

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The RMB 400,000 Cheng Siwei Global Research Prize is presented every two years to two scholars (one Chinese, one international) to encourage innovative research and practice. In 2018, the first international recipient of the Global Research Prize was Josh Lerner, Professor of Investment Banking at Harvard Business School, for his contribution to venture capital research.?

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“It is a great honor to receive the Cheng Siwei Global Research Prize. I am pleased that I knew Professor Cheng. He was a great scholar and economist. I was associated with his fictitious economy project at the Chinese Academy of Sciences” Engle said at the award ceremony. In his keynote speech, Engle discussed fictitious capital, financial stability measurement and the relations between climate change and financial stability.

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Since 2019, Engle has served as Co-Director of the Volatility Institute at NYU Shanghai with Wang Jianye, NYU Shanghai Professor of Economics. He is the Professor Emeritus of Finance at NYU Stern School of Business. He 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.?

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This November, Engle was the final keynote speaker at the seventh annual VINS conference at NYU Shanghai, discussing the emissions pledges countries made at the recent UN climate change conference and the economic impact of carbon neutrality.?

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