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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.


RMI Publishes the Latest Quarterly Credit Report

On 6 May, RMI published its latest issue of the Quarterly Credit Report (QCR), one of the flagship publications under its Credit Research Initiative (CRI).

In this Volume, namely QCR Volume 3, Issue 4, the first quarter of 2014 is covered. The team discussed the general credit outlook for a selection of economies from around the world, based on relevant indicators, and related this discussion to forecasts provided by RMI’s probability of default (PD) model.


Filling A Gap In Market Data ¨C New CDS-Equivalent Physical Par Spread

In the second half of this year, the Credit Research Initiative (CRI) will be publishing daily updated credit default swap (CDS)-equivalent physical spreads with term structures from one month to five years. These will be available on www.rmicri.org in addition to the daily updated probabilities of default (PD) that have been available since 2010.

To understand what is meant by CDS-equivalent physical spreads, we start from one of the most im-portant financial product innovations in recent decades, the CDS. CDS were created in the 1990s as a way for investors to protect themselves from defaults hitting bonds or loans that they hold in their portfolio.


New Faces @ RMI

Visitors

Mr. Dedy Dwi Prastyo, a PhD student at Humboldt-Universitat zu Berlin, visited RMI for the second time from 20 February to 11 March 2014. His research interest includes risk modeling, econometric time series, computational statistics, machine learning and multivariate analysis. He visited RMI to research on the Project "An Adaptive Forward Intensity Model and Variable Selection" supervised by Prof Wolfgang Hardle. He earned his Bachelor’s and Master’s Degrees, both majored in Statistics, from Institut Teknologi Sepuluh Nopember in 2006 and 2008 respectively.

New Staff

Dr. Eleni Sofokleous joined RMI as a Research Fellow on 5 May 2014. Eleni studied Economics (BSc) in the University of Athens and International Banking and Finance (MSc) in Durham University, UK. She then pursued and earned her PhD in Accounting and Finance from Durham University, UK. Her PhD is titled Motives, Default Risk and Valuation Errors in Corporate Takeovers. For two years, Eleni earned the PhD Dean's Scholarship from Durham Business School and the award for an exceptional doctoral presentation. Her main research interests are Corporate Finance, Credit Risk and Mergers and Acquisitions. Eleni has prior consulting experience with a market research company, working primarily in large data management and analysis. She also worked as a research associate in Cyprus University of Technology. Additionally, Eleni taught several courses in Finance, Econometrics and Economics and served as a lecturer in MBA level for two years.



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RMI Research Seminars
29 January and 7 April 2014


On 7 April, RMI¡¯s visiting professor, Prof. Raja Palani Velu gave a presentation entitled ¡°Market Impact: to Trade Small or to Trade Seldom? Evidence from Algorithmic Execution Data¡± at an RMI Research Seminar. To study factors affecting market impact in the algorithmic trading context, he and his co-author modelled and estimated market impact using a large proprietary dataset containing historical aggregated algorithmic executions.


 

Eighth Annual Risk Management Conference

10 - 11 July
2014
RMI will be hosting its Eighth Annual Risk Management Conference on 10 and 11 July 2014. The overall theme of the conference is ¡°Risk Management Amidst Global Rebalancing.¡± This year¡¯s key note speaker is the Dr K.C. Chakrabarty, the recently retired Deputy Governor of the Reserve Bank of India. The detailed program and confirmed list of speakers are available online at www.rmi.nus.edu.sg/rmc




RMI Research Seminar
10 June 2014

Financial Industry Competency Standards Programs (FICS) 
Jun to Dec 2014

Financial Risk Manager (FRM®) Certification Training Program 2014 June Intake
7 Jun - 25 Oct 2014

NUS-Santander Doctorate Workshop in Advanced Financial Risk Management
14 - 18 Jul 2014

Eighth Annual Risk Management Conference 
10 – 11 Jul 2014

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