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  Issue 13 | Archive November 2012

RMI Runs the NUS-Santander Doctorate Workshop

A total of 62 participants attended a week-long workshop held from 16 to 20 July 2012 at RMI. The workshop, entitled “NUS-Santander Doctorate Workshop in Advanced Financial Risk Management,” opened the series of workshops between RMI and Banco Santander, Spain’s biggest bank.

Under the gift agreement signed in September 2011, Banco Santander, as a sponsor, will make an annual donation to RMI to cover the costs of running the Doctorate Workshop for three years. The series of doctorate workshops in advanced financial risk management aim to offer cutting-edge knowledge on selected research topics of interest in risk management to doctoral students, academic researchers and quantitative analysts working in industry.

This year’s theme was on Volatility Models and was led by volatility experts – RMI’s Director Prof. Jin-Chuan Duan, Prof. Gurdip Bakshi of University of Maryland, Prof. Lan Zhang of University of Illinois-Chicago and Prof. Per Mykland of University of Chicago.

Out of the attendees, 35% were NUS students and there were 24 overseas participants from various universities in Canada, China, India, Japan, Korea, Poland, Russia, Spain and Taiwan. RMI also organized a workshop dinner in the middle of the week to encourage interaction and networking. Mr Crispin Hugh Allan Wilson, a managing director at Banco Santander, attended the dinner as well.

Fortress¡¯s Practitioners Share Insights on Volatility Trading

On 19 July 2012, RMI organized a public lecture titled “Volatility and risk – Two guys’ practical view on volatility trading” at its Seminar Room. The special guest speakers were David Dredge and Andrew Wong, Co-Chief Investment Officers of Fortress Convex Asia Fund, an Asia volatility-based fund launched by Fortress Investment Group in May 2012.

During the lecture, the two practitioners looked at the use of volatility across various types of alternative asset management strategies by giving a number of specific trade examples, and compared various forms of trade analysis. They also highlighted the challenges of changing regimes in correlation and skew.

This lecture, attended by more than 80 participants from industry and academia, was held to coincide with the NUS-Santander Doctorate Workshop’s special luncheon industry talk.

 

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