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  Issue 12 | Archive   August 2012

FEATURE
RMI Holds its Sixth Annual Risk Management Conference

The NUS Risk Management Institute successfully hosted its Sixth Annual Risk Management Conference from 12 to 13 July 2012 at Shangri-La Hotel, Singapore. The one-day policy forum, followed by a one-day scientific program, themed “Risk Management Responses to Rising Systematic and Systemic Risks”, attracted about 300 participants from financial institutions, central banks, regulatory agencies, academia, and think tanks.

Opened by RMI Director, Professor Jin-Chuan Duan, the first session of the conference was “Setting the Scene”. The session, chaired by Mr. Lutfey Siddiqi, Managing Director at UBS and RMI’s Adjunct Professor, consisted of speakers Mr. Russell Kincaid, Director in the Office of Internal Audit and Inspection at the International Monetary Fund (IMF), and Mr. Matthew Yiu, Senior Economist at AMRO. They gave their views on recent developments in the financial markets, including key risks and growth outlooks. This set the stage for the discussions that followed.


Public Lecture on Global Macro Strategies

About 70 participants from both industry and academia attended the NUS RMI Public Lecture on 8 May 2012. The talk on “Managing Global Macro Strategies in a Changing Market” was delivered by Mr. Jonathan H. Clark, Vice Chairman of FX Concepts LLC, a New York-based research advisory and investment management firm.

Mr. Clark started by introducing the FX markets as being the most efficient globally, operating on a 24-hour-basis, and having low transaction costs that allow strategies which would otherwise not be feasible in other markets. Of late, he observed that the focus on similar underlying macro-economic factors and government intervention in currencies have resulted in increased correlations between asset classes, neutralizing the benefits of diversification. To meet such a challenge, he suggested combining some un-correlated strategies, including carry, monetary policy, value, intra-day trend, and volatility prediction strategies.


A Lead-Lag Investigation of RMI PD and CRA Ratings

An RMI staff article

In a recent article appearing in the second issue of RMI’s Global Credit Review, RMI staff present the results of an investigation into the timing differences between outputs from RMI’s probability of default (PD) model and corporate credit ratings from credit rating agencies (CRAs).

The article covers three well known default cases: MF Global, Lehman Brothers and Enron. Each of these companies was rated investment-grade by the Big Three CRAs until each firm declared bankruptcy. In the aftermath of these default events, CRAs received significant criticism from many financial professionals, politicians and commentators, with a majority expressing doubt about the accuracy of CRA ratings, and CRAs’ ability to complete rating actions in a timely manner. These three default events, and other CRA failings, provide a strong justification for market participants to make use of alternative indicators of credit risk, such as RMI’s PD model.


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.



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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.


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.


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.




Financial Industry Competency Standards (FICS) June Intake
June - November 2012

Global Credit Review
Second volume published

more




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