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  Issue 12 | Archive August 2012

New Staff

Dr. Wu Jing joined RMI on 2 July as a research fellow. She received her BA degree in Economics from Xiamen University in 1995. Her working experience in China’s Futures Exchange market during its rapid growth periods in late 1990s motivated her interests to gain a deeper understanding of financial market activities. She applied to graduate school at the University of Western Ontario in Canada and received her MA and PhD degree in Economics. Her research interests lie in the areas of financial econometrics and time series analysis. Her doctoral thesis focuses on modelling and forecasting of financial asset return volatility. She is very interested in risk management and excited to start her work at RMI.

Ms. Li Pei joined on 10 July as a research analyst. She received her BS degree in Finance from Wuhan University and BA degree in English from Zhongnan University of Economics & Law in 2011, after which she came to Singapore to study for the Master of Science in Financial Engineering (MFE) Degree in NUS RMI. Her research interests lie in the areas of risk management and derivatives pricing and her master thesis focuses on term structure of interest rates and fixed income pricing in China.

Dr. Abdolreza Nazemi joined RMI on 16 July as Research Fellow. He earned his B.Sc. and M.Sc. in statistics from Shahid Beheshti and Ferdowsi University in 2002 and 2004. He completed his PhD in mathematical and quantitative finance from Karlsruhe institute of technology (KIT) under Professor Svetlozar T. Rachev’s supervision in December 2011. Dr. Nazemi worked in particular on recovery rate modelling of Consumer Credit for large German consumer credit datasets. His papers have appeared in international credit risk and financial engineering conferences. His research interests are credit risk, financial data mining, financial econometrics and mathematical finance.

Mr. Piara Singh joined RMI on 18 July as a research analyst. He is currently working towards a MFE Degree from NUS and has recently joined RMI as a full time staff. He received his Bachelor’s Degree in Electrical Engineering from IIT Delhi and worked at India’s largest power company as an engineer for some time. His interests lie in the areas of derivative pricing and algorithmic trading. He is also interested in quantitative techniques used in risk management and is excited to be a part of the RMI team.

Ms. Catherine Tan joined RMI as a Management Assistance Officer on 1 August. She has over 16 years of secretarial and HR experience. She was the Executive Secretary to Vice President/ Regional Chief Financial Officer of General Motors Asia Pacific Pte Ltd for 9 years. She is an avid gardener who also loves to bake.

Mr. Arpan Roy also joined RMI on 1 August as a Research Analyst. He received his BSc (Hons) degree in Applied Physics and minor in Mathematics from NUS in 2007. Since 2007, Arpan has been a Ph.D. student at the Centre for Quantum Technologies (CQT) at NUS and his dissertation topic is related to Atom-Photon interfaces for Quantum Information Applications. He is expected to defend his dissertation towards the end of this year. He is also the principal author of articles published in Applied Physics Letters and New Journal of Physics.

Visitors

Prof. Eric Ghysels visited RMI from 4 to 15 June. He is the Bernstein Distinguished Professor of Economics at the University of North Carolina - Chapel Hill and Professor of Finance at the Kenan-Flagler Business School. His main research interests are time series econometrics and finance. He obtained his Ph.D. from the Kellogg Graduate School of Management at Northwestern University. He has been a visiting professor or scholar at several major U.S., European and Asian universities. He has given invited lectures, including at the World Congress of the Econometric Society, the American Statistical Association Meetings, and several (EC)2 Conferences, among many others. He serves on the editorial boards of several academic journals and was co-editor of the Journal of Business and Economic Statistics (2000-2003) and is currently co-editor of the Journal of Financial Econometrics. He has published in the leading economics, finance and statistics journals and has published several books. He is a fellow of the American Statistical Association and The Journal of Econometrics. He is also the Founding Co-President of the Society for Financial Econometrics (SoFiE).

Prof. Paul Embrechts visited RMI from 11 to 15 June. Since 1989, he is the Professor of Mathematics at the ETH Zurich specializing in actuarial/financial mathematics and quantitative risk management. He is a founding member and the current director of RiskLab. His previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting appointments including at Paris 1 – La Sorbonne, ESSEC Paris, the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance) and has an Honorary Doctorate from the University of Waterloo, Canada, Heriot-Watt University, Edinburgh, UK, and Université Catholique de Louvain, Belgium. He is an Elected Fellow of the Institute of Mathematical Statistics, Honorary Fellow of the Institute and the Faculty of Actuaries, Corresponding Member of the Italian Institute of Actuaries and is on the editorial board of numerous scientific journals. He belongs to various national and international research and academic advisory committees. He co-authored the influential books "Modeling of Extremal Events for Insurance and Finance", Springer, 1997 and "Quantitative Risk Management: Concepts, Techniques and Tools", Princeton UP, 2005. Dr. Embrechts consults for a number of leading financial and regulatory institutions.

Prof. Li Haitao is the Jack D. Sparks-Whirlpool Corporation Research Professor of Business Administration and Professor of Finance at Stephen M. Ross School of Business, University of Michigan. Professor Li's current research interests are in theoretical and empirical asset pricing, term structure of interest rates, hedge funds, and financial econometrics. His recent works have developed econometric methods for analyzing continuous-time finance models driven by jump diffusions and Levy processes using underlying and derivative prices. He has developed and tested multi-factor term structure models for pricing and hedging interest rate derivatives and options embedded in corporate bonds. He has also developed asset pricing tests in absence of arbitrage and applied them to evaluate hedge fund returns. Professor Li has published in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Econometrics, and other finance and economics journals. Professor Li received the Sterling Prize Fellowship from Yale University, the Trefftz Award from the Western Finance Association, and a research grant from the Q-group. He visited RMI from 8 to 12 June.

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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)