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  Issue 20 | Archive August 2014

MFE Dinner 2014
22 May 2014

In the evening of 22 May, over 150 MFE students, alumni, lecturers and guests gathered at the NUSS Kent Ridge Guild House for the MFE Dinner 2014. The inaugural intake of NUS-PKU Double Degree Program (DDP) consisting of 50 students were able to join the dinner as they were in Singapore for part of their NUS study.

The dinner featured a talk given by Dr. Oldrich Vasicek, founding partner of KMV Corporation, a firm pioneering the use of structural models for credit valuation. He shared with the audience his life experiences as a credit expert throughout his over 40 years’ career in the financial industry. The inspiring talk, together with delicious food and joyful reunion, made the dinner memorable for the NUS MFE community.


Symposium on Credit Risk
23 May 2014

On 23 May 2014, over 140 participants attended RMI¡¯s 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. The event featured speakers from both academia and industry, including Dr. Oldrich Vasicek, Co-founder of KMV, Dr. Nathan Dong of Columbia University, A/P Madhu Kalimipalli of Wilfrid Laurier University, Dr. Susan Shan from the Shanghai Advanced Institute of Finance, Prof. Tyler Shumway of the University of Michigan, Zhang Changhao and Dr. Weina Zhang, both from NUS, as well as Bernd Engelmann of Quantsolutions, Samim Ghamami from the Board of Governors of the Federal Reserve System and Yue Yu of China Bond Insurance Co.

A total of four sessions, consisting of 10 talks, gave the participants a comprehensive repository of latest practices and findings in the field of credit risk. The symposium received very positive feedback.


RMI Research Seminar
10 June 2014

On 10 June, Prof. Jack S.K. Chang gave a talk entitled ¡°The Resurgence of Catastrophe Bonds and Fed¡¯s Ultra-Low Interest Rate Policy¨C An Analysis through Optimum Allocation in the Catastrophe Space¡± at the RMI Executive Seminar Room. He and his co-author discussed how the Federal Reserve¡¯s ultra-low interest policy with three phases of quantitative easing has been the driving force behind the resurgence of catastrophe bonds (also known as cat bonds), inducing a new normal in the catastrophe space with decreasing cost of insuring tail peril. They showed that by deriving and implementing a novel optimum allocation model in the space across the tailor-made traditional reinsurance market and the capital market, the Fed¡¯s policy has impacted the allocation toward significantly less traditional reinsurance but more cat bonds, underpinning the rapid growth of the cat bond market and inducing ¡°convergence¡± between the two markets in pricing and reaching equilibrium. Prof. Chang is professor of finance at California State University, Los Angeles who has also taught in NUS from 1996-1998. His research is multi-disciplinary and integrates finance, risk management and insurance, and management science.


RMI CRI¡¯s Actuarial Spread Coverage
1 July 2014

On 1 July 2014, the RMI¡¯s Credit Research Initiative (CRI) officially launched the coverage of the Actuarial Spread, providing an alternative measure using RMI probabilities of default for all listed firms under its CRI coverage. This PD based component of CDS spreads is a measure of default risk that summarizes the information embedded in the term structure of physical PD. It is computed similar to CDS spreads and precisely takes into account all aspects of standard CDS contracts. In short, it is the premium rate that purely reflects the actuarial value of default protection.

The Actuarial Spread covers over 60,000 firms in 106 economies and is updated on a daily basis. The launch of the Actuarial Spread offers a new perspective on credit risk, providing an intuitive communication tool in a metric that market participants are more familiar with.


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