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  Issue 17 | Archive ”” November 2013

RMI Welcomes the First Cohort of NUS-PKU DDP Students

On 29 August 2013, Prof. Andrew Lim, RMI’s Master of Science in Financial Engineering (MFE) Program Director traveled to Peking University (PKU) HSBC Business School (PHBS) in Shenzhen to welcome the first batch of NUS-PKU Double Degree Program (DDP) students at the program’s orientation.

Prof. Lim gave a presentation on the program structure amd the curriculum, and provided a glimpse of life at NUS. The mostly Chinese students were recruited from the top universities across China. Among others, they graduated from the Peking University, Nanjing University and Tsinghua University. The inaugural batch of 50-odd students will be arriving on the NUS campus in Singapore during June 2014.


MFE Holds a Joint Seminar with the CFA Society

On 20 Sept 2013, RMI’s MFE students and alumni had the pleasure of listening to Mr. Nik Gowing at a joint event with the CFA Society of Singapore on the topic “Skyful of Lies and Black Swans: Who Controls Shifting Information Power in Crises”. This talk was an extension of Mr. Gowing’s peer-reviewed study at Oxford University. It predicts and identifies the new vulnerability, fragility and brittleness of institutional power in the new all-pervasive public information space, such as social media platforms.


Cascading Defaults and Systemic Risk of a Banking Network

A paper by Jin-Chuan Duan (National University of Singapore) and Changhao Zhang (National University of Singapore)

In a recent research paper entitled “Cascading Defaults and Systemic Risk of a Banking Network”, Prof. Duan Jin-Chuan, RMI Director, and his PhD student from the Department of Finance, Zhang Changhao, have developed a model to measure systemic risk. Using actual data for 15 UK banks, they investigated interesting characteristics of systemic risk.

Systemic risk has often been confused with systematic risk. The former arises from cascading defaults due to interbank linkages, whereas the latter arises from exposures to common risk factors. By and large, literature on systemic risk is based on correlation studies that are unable to distinguish the two. The authors overcome this limitation by characterising the banking system as a network of banks, of which the interconnectedness is represented by an interbank exposure matrix. The systemic cascade effect can then be analysed when the network is subjected to a systematic shock.


New Staff

Liu Benxu joined RMI’s Credit Research Initiative (CRI) on 12 August as a Research Analyst to pursue his career interests in data analysis, statistics, and finance, after a short stint with Nanyang Technological University (NTU) as a Research Associate. From 2009 to 2013, Benxu was a full-time PhD candidate in NTU’s School of Electrical and Electronic Engineering. He received his bachelor's degree in Automation and a master’s degree in Systems Engineering in 2006 and 2008 respectively from China’s Huazhong University of Science and Technology. Originally from Xiangyang, a historical Chinese city, he likes jogging, singing, playing card games, badminton, travelling and reading in his spare time.

Richard Wu started working on RMI’s CRI as a Research Analyst on 12 August. Before this, he has worked at the Asia Capital Reinsurance as an actuarial pricing analyst, and at Société Générale as a front office IT trainee. Richard obtained his Bachelor’s degree in Computer Science with a second major in Financial Mathematics from the National University of Singapore in 2011. A Sichuan native, he enjoys swimming, badminton, pool and bowling.

Visitors

Dedy Dwi Prastyo, a PhD student at Humboldt-Universitat zu Berlin, who visited RMI in March returned to participate in our NUS-Santander Doctorate Workshop and continued in his research from 14 July to 31 August. His research interest includes Risk Modeling, Econometric Time Series, Computational Statistics, Machine Learning and Multivariate Analysis. He was visiting RMI to research on the project "An Adaptive Forward Intensity Model and Variable Selection" supervised by Prof. Wolfgang Haerdle.

Samet Gunay is a PhD student in Turkey‘s Istanbul University Faculty of Business Administration on Finance program. He is also working in Istanbul Aydin University as a lecturer. He has been an exchange student to further his research in risk management tools and time series analysis methods since 20 July and will stay for two NUS academic semesters.



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RMI Research Seminars

July - August 2013

On 23 July, Jorge Antonio Chan-Lau, a senior fellow at the Fletcher School of the Tufts University and a senior economist at the International Monetary Fund, gave a seminar at RMI. His paper analyses different bank funding practices using contingent claim analysis, and contrary to earlier work builds on the fundamental asset value of the bank rather than on its equity value.


CVI Coverage Expansion

2 August 2013

The coverage of the Corporate Vulnerability Index (CVI) has been expanded to include indices for Denmark, Norway, Sweden, Australia and Taiwan since 2 August. This added to its coverage across three geographic categories and a special portfolio, which already included the United States (USA), Eurozone (EMU), France (FRA), Germany (DEU), United Kingdom (GBR), China (CHN), Japan (JPN), Singapore (SGP) and the S&P 500 Index (SPP).


RMI Joint Seminar

13 & 21 August 2013

On 13 August, Prof. Wolfgang Karl Härdle spoke at a Joint Seminar by RMI and the Department of Statistics and Applied Probability. Together with his co-authors, they analysed functional magnetic resonance imaging (fMRI) data on 17 subjects which were exposed to an investment decision task from Mohr et al. (2010b).



RMI Pedagogical Lectures

23 & 26 August 2013

Prof. Fan Jianqing of Princeton University gave two pedagogical lectures entitled ”°Estimation of Large Volatility Matrix”± on 23 and 26 August respectively. During the two tutorial lectures, each lasting for two hours, he first gave an overview on the estimation of large volatility matrices and associated covariance matrices, which are prominently featured in risk assessment, portfolio allocation as well as financial econometrics.



MFE Program Briefing (Webcast available)
16 January 2014

Master of Science in Financial Engineering 2014 Admission
15 November 2013 - 15 March 2014

Financial Risk Manager (FRM®) Certification Training Program 2014
4January - 24 May 2014

Financial Industry Competency Standards (FICS) January 2014 Intake
January - June 2014

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