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  Issue 18 | Archive ¡¡ February 2014

RMI Trains Korea University’s Finance MBA Students on Credit Risk

From 20 to 24 January, RMI hosted a group of 22 Finance MBA students from Korea University Business School, who travelled to Singapore to attend the overseas module entitled “Credit Risk”. This is the sixth time RMI has conducted a customized training program for the Finance MBA students at the Korea University, one of the country’s oldest, largest and top-ranked universities.

For the one-week training program, RMI lined up faculty consisting of NUS professors and industry practitioners to teach relevant topics. The lecturers included Prof. Duan Jin-Chuan, RMI’s Director and Cycle & Carriage Professor of Finance, RMI’s Associate Professor Keshab Shrestha, Mr. Stan Ho, Global Chief Analyst at Universal Credit Rating Group, and Mr. Tham Ming Soong, RMI’s Adjunct Professor and former Chief Risk Officer of UOB.


RMI Celebrates Holiday Season

On 9 December 2013, RMI staff along with RMI affiliated researchers, trainers and industry partners and their spouses, got together at the European bistro Picotin which is nestled amidst the tropical resort setting of Sentosa Cove for the RMI Christmas Dinner.

A buffet of international cuisine heartily filled the stomachs of those who attended the dinner. RMI's Director, Prof. Duan Jin-Chuan, welcomed all guests and also took the chance to thank them for all their continuous support and contribution to RMI on various projects over the past years.

The guests and staff enjoyed the night of good food and good company with the highlights being the Bingo rounds and a fun-filled straw towers game.


Volume and Volatility in a Common Factor Mixture of Distributions Model

A paper by Xiaojun He (Syracuse University) and Raja Velu (Syracuse University)

RMI’s visiting professor Prof. Raja Velu from Syracuse University’s Whitman School of Management, in collaboration with his PhD student Xiaojun He, has written a research paper entitled “Volume and Volatility in a Common Factor Mixture of Distributions Model.” This paper appeared in the Journal of Financial and Quantitative Analysis in December 2013.

In the paper, the authors argued that the relationship between a security’s return and its trading volume is of great interest to financial economists. In the so-called Mixture Distribution Hypothesis (MDH) model, it is postulated that the return and volume are jointly related to an unobservable dynamic information-flow variable and are equilibrium outcomes of the information impact.


New Staff

Boguslaw Blawat joined RMI as a Research Analyst on 5 November 2013. He obtained his Master's degree in Classical Philology from the University of Gdansk and is currently a PhD candidate with a major in Economics at the Polish Academy of Sciences. His professional background spans from applied linguistics through consultancy services to banking. His research interests include the implementation of the news metrics in finance and risk management, and the application of the formalism of quantum physics to economics and finance.

Dr. Sun Wei joined RMI as a Research Fellow on 20 November 2013. A China native from Shenyang, she obtained her PhD in Economics from the University of California at Santa Barbara. She received her Bachelor of Arts in Risk Management and Insurance from China’s Nankai University. Wei’s research interests include labour and financial markets. She completed three empirical essays, whose topics centred on venture capital, wage, labour mobility and productivity.

Visitors

Josef Korte visited RMI from 4 to13 November 2013. He is a PhD student in Economics and Finance at the House of Finance of Goethe University in Frankfurt, Germany. His research focuses on bank regulation, bank and sovereign risk, as well as its economic implications. In 2013, he was awarded the Lamfalussy Fellowship of the European Central Bank for his research on bank resolution. He studied Economics and Economic Policy at the London School of Economics, University of Paris II, Muenster University, and Twente University. Josef has also been a management consultant with McKinsey & Company since 2009, where he serves clients in the banking sector and works extensively on topics of economic growth in emerging economies.

Jessie Vantieghem, a PhD student from Belgium’s Ghent University is visiting RMI from 6 January to 13 June 2014. She has a Master's Degree in Commercial Sciences from the Ghent University College and a specialised Master's in Banking and Finance from the Ghent University. Her research focuses on banking, credit risk, internal and external credit ratings etc. Next to research, Jessie enjoys playing tennis, she likes to travel and she occasionally likes to grab a (Belgian) beer.



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RMI Research Seminars

12 November 2013

On 12 November 2013, Josef Korte, a PhD student in Economics and Finance at the House of Finance of the Germany¡¯s Goethe University gave a talk entitled ¡°Zero Risk Contagion ¨C Banks' Sovereign Exposure and Sovereign Risk Spillovers¡±. In his research, he and his co-authors identified banks' exposure to non-domestic sovereign debt as a transmission channel for sovereign risk spillovers.


CVI Coverage Expansion

3 December 2013

From 3 December 2013, the Corporate Vulnerability Index (CVI), a set of indicators produced by RMI¡¯s Credit Research Initiative that gauge economic and financial environments in a new dimension, started to include indices for Malaysia, Philippines, Thailand and Vietnam. This added to its coverage across three geographic categories and a special portfolio of the S&P 500 Index (SPP).


MFE Program Briefing

16 January 2013

On 16 January 2014, the Master of Science in Financial Engineering program (MFE) hosted an on-campus program briefing session for its August 2014 cohort admission exercise. A group of over 70 participants attended the session. The MFE Program Director, Prof. Andrew Lim gave a presentation on the program¡¯s curriculum and who the program would benefit.


Eighth Annual Risk Management Conference Sponsorship

RMI will be hosting its Eighth Annual Risk Management Conference from 10 to 11 July 2014. The overall theme of the conference is ¡°Risk Management Amidst Global Rebalancing.¡± As monetary policy amongst global central banks set to diverge in 2014, risk managers and the broader financial industry face a period of economic and operational rebalancing.



Master of Science in Financial Engineering 2014 Admission
Now - 15 March 2014

Professional Risk Manager PRMTM  Certification Training Program
22 March – 2 August 2014

Workshop in Credit Rating and Risk Analysis
14- 15 April 2014

Symposium on Credit Risk
23 May 2014

Eighth Annual Risk Management Conference
10 – 11 July 2014

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