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  Issue 12 | Archive August 2012

Team RMI Participates in JP Morgan Chase Corporate Challenge
14 April 2012

RMI staff go the extra mile not only at their work – seven enthusiastic runners formed a team to participate in the Singapore JP Morgan Chase Corporate Challenge on 14 April 2012. They were: Oliver Chen, Hou Li, Tan Swee Koon, Elisabeth Van Laere, James Weston, Yang Kun and Zheng Wangwei.

The on-going championship is an annual international 3.5-mile run in which companies compete against each other in 13 cities. RMI’s team scored the 34th place out of 282 men’s teams, with the first four runners having a combined time of 1:45:29. Well done, Team, we are proud of you!

Joint Credit Risk Workshop with National Taiwan University
20 April 2012

On 20 April, the RMI co-organized a one-day workshop on credit risk with the College of Management at National Taiwan University (NTU) in Taipei. Targeting relevant academic researchers, students and industry practitioners in the financial risk management area, the event featured speakers invited by both organizers, including RMI’s Prof. Jin-Chuan Duan, NTU’s Prof. Chung-Huan Shen, Prof. Hsien-Hsin Liao and Goldman Sachs’ Dr. Shang-Chan Chiou.

Following their speeches in the morning was the RMI Credit Risk Modeling and Applications Workshop presented by RMI’s research analyst Gao Jun and research fellow Dr. Ye Xiaoxia. They demonstrated the Credit Research Initiative (CRI) website and PD model and its applications before helping the participants try out to build their own PD models in the computer lab’s hands-on session.

RMI Research Seminar
13 June 2012

Prof. Paul Embrechts from the ETH Zurich gave a research seminar on “Sharp Value-at-Risk Bounds for Sums of Dependent Risks” on 13 June at RMI. In the talk, he summarized recent work on the calculation of Value-at-Risk (VaR) for aggregated positions (like sums) of risks where we only have partial information on the interdependencies between the underlying risks. He first discussed the case where no interdependence information is available and derived sharp upper and lower bounds on the VaR of the aggregation (sum) of the underlying risks. Both analytic and numerical bounds were examined and concerning the latter, Prof. Embrechts presented the new, so-called Rearrangement Algorithm (RA) for VaR bound calculation. The results obtained have consequences for VaR-based model uncertainty in quantitative risk management.

The talk is based on joint work with Giovanni Puccetti and Ludger Rueschendorf. The underlying mathematical problem has a long history going back to A.N Kolmogorov, and only very recently major progress has been made for high-dimensional portfolios.

 

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