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  Issue 14 | Archive Feb 2013

RMI Joint Seminars
November – December 2012

RMI jointly organized two research seminars with the Department of Finance and the Department of Accounting at NUS Business School, on 20 November and 7 December 2012 respectively.

On 20 November, Prof. Federico M. Bandi, a Professor of Economics and Finance at Carey Business School, Johns Hopkins University, introduced attendees to a novel stochastic quantity, named excess idle time, to measure the extent of sluggishness in observed high-frequency financial data.

The joint seminar on 7 December saw two speakers presenting their papers. The first speaker, Dr. Mark G. Maffett, Assistant Professor of Accounting and Neubauer Family Faculty Fellow at University of Chicago, discussed his paper entitled “Default Prediction Around the World: International Evidence on the Role of Corporate Transparency and Market Frictions”. The second speaker was Dr. Edward Owens, Assistant Professor of Accounting at University of Rochester. He and his co-authors provided evidence that a prevalent discretionary accounting action, income smoothing, affects private debt contract design in a manner that is fundamentally distinct from the effects of other accounting attributes.

RMI Research Seminars
November – December 2012

On 25 November 2012, Prof. Takeaki Kariya of the Graduate School of Global Business, Meiji University gave his research seminar entitled “Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities”. Prof. Kariya and his co-authors proposed a measure of credit risk price spread for each corporate bond (CB) relative to a government bond equivalent CB price. They derived the term structures of default probabilities for some cluster groups and Fixed Interval Rating groups and some individual firms via the Kariya (2012) model, where the industry factor was also considered.

Separately, on 28 December 2012, Prof. Thomas Langer at the Germany’s University of Muenster presented his paper “Business Credit Information Sharing and Default Risk of Private Firms”. He and his collaborators investigated whether and how business credit information sharing helps better assess the default risk of private firms. Based on a representative panel dataset that comprises private firms from all major industries, they found that business credit information sharing substantially improves the quality of default predictions.

RMI Launches FRM® Certification Training Program
January 2013

In response to the educational needs of industry professionals who are planning to take the FRM® exam, RMI launched a specially designed training program in January 2013.

The course, closely mapped to the comprehensive FRM® two-part exam curriculum, consists of four modules. It started from 4 January and will end on 11 May 2013, making the course timely for the upcoming examinees who will sit for the exam on 18 May. Targeting working professionals, the classes are held on Saturday mornings and can be taken on a modular basis. For more information to sign up for later modules, please visit: http://rmi.nus.edu.sg/frm

This certification is globally recognized and is administered by the Global Association of Risk Professionals (GARP).

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