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  Issue 19 | Archive May 2014

RMI¡¯s Upcoming Credit Risk Symposium

On 23 May 2014, RMI will be organizing a one-day Symposium on Credit Risk, aiming to provide a platform for researchers from academia and industry to share their latest findings in the field of credit risk.

With increasing capital requirements, effective credit risk management is not only prudent, but can be used as a key competitive advantage in driving returns. In light of the paramount importance of credit risk management, RMI has invited a series of speakers from both academia and industry to speak at the event. The featured speaker of the symposium will be Dr. Oldrich Vasicek, who will speak on the distribution of loan portfolio value. In his talk, he will zero in on topics including ¡°How can structural models of credit valuation account for asset correlations and be extended to the portfolio level?¡±, ¡°What is the distribution of portfolio market value due to credit migration?¡± and ¡°How do we obtain the risk neutral probability distribution of the portfolio value in order to price portfolio derivatives?¡± A native of the Czech Republic, Dr. Vasicek was a founding partner of KMV Corporation, a firm that had pioneered the use of structural models for credit valuation and was subsequently acquired by Moody¡¯s Corporation.

Prof. Tyler Shumway of the Ross School of Business at University of Michigan, and A/P Madhu Kalimipalli of School of Business and Economics at Wilfrid Laurier University will also be invited speakers for the symposium.

From industry, the symposium will also see speakers such as Samim Ghamami, Board of Governors of the U.S. Federal Reserve System, Bernd Engelmann of Germany¡¯s Quantsolutions, and Yu Yue from the China Bond Insurance Company.

The event, offered on a complimentary basis and as RMI¡¯s contribution to the community, has received overwhelming response with more than 200 participants having signed up as of early May. Should you be interested in attending, please find more details and register yourself at http://www.rmi.nus.edu.sg/events/symposia/sym2014/index.php

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