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  Issue 13 | Archive November 2012

New Staff

Ms. Karen Toh joined RMI as a Management Assistant Officer on 19 September 2012. Karen has more than 15 years of experience working in Accounts. Her last job was with Vicom Inspection Centre as an Accounts officer. Karen obtained her diploma certificate in 2012 balancing her ACCA (CAT) studies with work and family commitments. In her free time, she enjoys cycling with her family in the park.

Mr. Dexter Tan joined RMI as a Research Analyst of the Credit Research Initiative’s Market Monitoring Team on 15 October 2012. Dexter earned his Bachelor’s Degree in Engineering with a Minor in Technopreneurship from NUS in 2005, after which he took on various analyst roles in a number of organizations. As an investment analyst at Phillip Securities, Dexter worked with retail clients on improving the performance of their mutual fund portfolios and did macro research on various asset classes. He then moved on to be a hedge fund analyst at Eurekahedge, where he learnt more about alternative investments and their strategies, especially in the Asian hedge fund space. When he is not working or with his family, Dexter enjoys reading, jogging, travelling or having a game of badminton with friends.

Ms. Suan Ng joined RMI as a Senior Manager on 16 October 2012. Most recently, Suan worked as a Club Liaison and Event Manager at INSEAD where she was responsible for the management of student life services for the MBA program including club activities, MBA partner activities, immigration matters and welfare. Suan herself is a graduate of NUS with a Bachelor in Business Administration with a concentration in finance. She enjoys watching musicals and travelling.

Visitors

Prof. Poon Ser-Huang visited RMI from 9 July to 5 September. She graduated from NUS with a degree in Accountancy, and obtained her Masters degree in Accounting and Finance and PhD degree in Finance from Lancaster University. She is currently a Professor of Finance at Manchester Business School, visiting professor at the National University of Singapore and was recently appointed as a distinguished visiting professor at the University of Technology, Sydney. She is also a Board Member of the Numerical Algorithms Group (NAG). Prof. Poon is internationally renowned for her volatility research which was cited as reference readings on the Nobel website. More recently, her interests have extended to derivatives and credit risk, liquidity and quantitative aspects of risk management. She has written three books and published widely in peer reviewed journals including the Review of Financial Studies, Journal of Econometrics, Journal of Economic Literature, Journal of Banking and Finance, Journal of Business Finance and Accounting, Journal of Derivatives, Journal of Futures Markets and Journal of European Financial Management.

Prof. Gurdip Bakshi visited RMI from 11 to 22 July. He is Dean’s Professor of Finance at Department of Finance, Smith School of Business at the University of Maryland. His research interest include stock valuation, option valuation, term structure of interest rates, asset pricing, capital and currency markets, crashes, default risk, density approximations, aging, heterogeneity in beliefs, volatility, and international finance. He has also examined, both empirically and theoretically, the desire to accumulate wealth: his work demonstrates that investors acquire wealth not only for its implied consumption rewards but also for its resulting social status. How demographic factors affect the stock and the bond markets interest him. In a recent publication, he makes precise the link between spanning and valuing derivative securities. Prof. Bakshi serves (or has been) on the editorial boards of Review of Financial Studies, Journal of Financial and Quantitative Analysis, Review of Asset Pricing, Review of Derivatives Research, Journal of International Business Studies, Journal of Financial Econometrics, and Review of Financial Economics, and is a frequent reviewer for several finance and economics journals, and granting agencies.

Prof. Per Mykland is Robert M. Hutchins Distinguished Professor of Statistics and Finance at the University of Chicago, where he is also Scientific Director of the Stevanovich Center for Financial Mathematics. He is an Associate Member of the Oxford-Man Institute at the University of Oxford. He has held appointments at Oxford and Princeton. Prof. Mykland's main research interests are the statistics and econometrics for time dependent processes, including time series and continuous processes. Highlights include the development of likelihood and expansion methods for martingales (fair games), especially in the context of estimating equations. The results have wide application, including the construction of new nonparametric likelihoods in time series and survival analysis. His recent focus is high-frequency data, mainly in finance. Prof. Mykland is Associate Editor for several journals, including the Annals of Statistics, the Annals of Applied Statistics, the Journal of the American Statistical Association, and Journal of Financial Econometrics. He is also a fellow of the Institute of Mathematical Statistics and the American Statistical Association. He visited RMI from 15 to 21 July.

Prof. Lan Zhang also visited RMI during the same period. Prof. Zhang is Professor of Finance at the University of Illinois at Chicago. Her research focuses on market microstructure, statistical arbitrage, and high frequency financial econometrics. Her current work includes the analysis of limit order books observed in real time, robust estimation of high frequency quantities and its application to portfolio management and options trading. Prof. Zhang has published widely in leading journals including Econometrica, Review of Financial Studies, Journal of Econometrics, Journal of American Statistical Association, Bernoulli, and Annals of Statistics. She is Associate Editor for the academic journals Statistics and Its Interface, Annals of Applied Statistics, and Econometric Theory. She was Reader in Finance at the Said Business School and the Oxford Man Institute of Quantitative Finance (OMI) at the University of Oxford between 2009 and 2011, and remains an Associate member of OMI. She has held positions at the University of Illinois at Chicago (2005-present) and Carnegie Mellon University (2001-2004, on leave in 2005). Prof.Zhang got her undergraduate degree from Peking University in China and obtained her master's and PhD degree from the University of Chicago.

Prof. Fan Jianqing visited RMI from 6 August to 7 September. Prof. Fan is Frederick L. Moore Professor of Finance at Bendheim Center for Finance, Chairman of Department of Operations Research and Financial Engineering, and Director of Committee of Statistical Studies at Princeton University, where he also directs both financial econometrics and statistics labs. He was the past president of the Institute of Mathematical Statistics and International Chinese Statistical Association. He is co-editing Journal of Econometrics and Econometrical Journal, and is an associate editor of Econometrica and the Journal of American Statistical Association, and was the co-editor (-in-chief) of the Annals of Statistics and an editor of Probability Theory and Related Fields. After receiving his PhD from the University of California at Berkeley, he has been appointed as assistant, associate, and full professor at the University of North Carolina at Chapel Hill (1989-2003), professor at the University of California at Los Angeles (1997-2000), and professor at Princeton University (2003-present). His published work on statistics, economics and finance has been recognized by the 2000 COPSS Presidents' Award, Morningside Gold Medal of Applied Mathematics, Guggenheim Fellow, and Academia Sinica, American Associations for Advancement of Science, Institute of Mathematical Statistics, American Statistical Association, etc.

Prof. Ruey S. Tsay is H.G.B. Alexander Professor of Econometrics & Statistics, Booth School of Business at the University of Chicago. He earned his PhD from the University of Wisconsin-Madison in 1982 and was with Carnegie Mellon University before joining Chicago in 1989. His research interest is in financial econometrics, forecasting, time-series analysis and Bayesian inference with Markov chain Monte Carlo methods. He served as co-editor of the Journal of Business and Economic Statistics from 1995 to 1997. He is currently a department editor of the Journal of Forecasting and co-editor of the Probability and Statistics Book Series of Wiley. Prof. Tsay has published widely in leading econometric and statistical journals, and his book Analysis of Financial Time Series (3rd edition, 2010, Wiley) is well received. He is an elected member of Academia Sinica, Taiwan, and a fellow of the American Statistical Association and the Institute of Mathematical Statistics. He also serves on advisory committee of several research institutes. He serves as the founding advisor of new Wiley handbook series on financial engineering and econometrics. The series has already published three volumes on high-frequency finance, volatility and exchange rates, respectively. He visited RMI from 6 September to 3 October.

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