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  Issue 20 | Archive ¡¡ August 2014

RMI Hosts its Eighth Annual Risk Management Conference

The RMI¡¯s eighth Annual Risk Management Conference attracted close to 300 participants. The annual international event brought together leading international academicians, top industry practitioners, policy makers and regulators, and was held at the Pan Pacific Singapore from the 10 to 11 July. ¡°Risk Management Amidst Global Rebalancing¡± was the theme for this year¡¯s conference as risk managers face operational rebalancing with interest rates expected to return to more normal levels in the long term.

Opened by RMI Director, Prof. Steven Kou,. the policy forum on the first day focused on the challenges of handling and assessing risk together with a panel of Chief Risk Officers discussing the increasing importance of regulatory compliance policy that they must abide.

Dr. K.C. Chakrabarty, recently the Deputy Governor of the Reserve Bank of India, was the keynote speaker and he discussed the importance of lessons that we learnt from the crisis driving his message on the essence of risk. He also shared his experience of handling risk while he was a central banker. During the question and answer session, Dr Chakrabarty engaged with the audience in a lively discussion on the developments of the financial sector.


RMI Welcomes Prof. Steven Kou as New Director and Thanks Prof. Duan Jin-Chuan

From 1 July 2014, Prof. Steven Kou has assumed Directorship of the RMI. Formerly from Columbia University¡¯s Department of Industrial Engineering and Operations Research, Prof. Kou joined NUS as a Professor in Mathematics and Provost¡¯s Chair in 2013. He also acted as the Director of the Centre for Quantitative Finance, Faculty of Science from 2013 to 2014.

RMI Collaborates with Banco Santander on Doctorate Workshop

The third annual workshop in Advanced Financial Risk Management was conducted from 14 to 18 July. This completes the series of three workshops financially supported by Banco Santander, Spain¡¯s largest lender.


U.S. Banks' Risk Targeting after Volcker

A paper by Jussi Keppo (National University of Singapore) and Josef Korte (Goethe University Frankfurt)

In a recently released working paper, RMI¡¯s affiliated researcher A/P Jussi Keppo (National University of Singapore) and Josef Korte (Goethe University Frankfurt) present early evidence on the Volcker Rule's preliminary effects on U.S. Bank Holding Companies.

In line with banks' public compliance announcements, the authors find that those Bank Holding Companies that are presumably most affected by the Volcker Rule already reduced their trading books relative to their total assets almost 3% more than other Bank Holding Companies. However, the Volcker Rule seems to have unintended consequences since they do not find corresponding effects on overall risk-taking. To keep their risk targets, the affected banks seem to use the remaining trading assets in speculation, not in the hedging of the banking business.


New Faces @ RMI

VISITORS

Prof. Thomas Langer, a professor of Finance at the University of Muenster, Germany visited RMI from 3 to 9 July. Prof. Langer studied mathematics and computer sciences at the University of Kiel and received his PhD (1998) as well as his habilitation (2004) in business administration from the University of Mannheim. His current research is mostly in the field of experimental and behavioural finance with a strong emphasis on decision making in the context of retirement provisions. Other current research projects deal with prediction markets and business credit information sharing. He was a visiting scholar at Duke University¡¯s Fuqua School of Business (2000/2001) and at California Institute of Technology (2008/2009) and is a co-author of the textbook ¡°Rational Decision Making¡±.

NEW STAFF

Xiao Jiajun joined RMI as a Research Analyst on 23 June. He received his Master of Science degree majoring in Quantitative Finance from NUS in 2014. He graduated from South China University of Technology in 2012, with a Bachelor degree majoring in Mathematics & Applied Mathematics. Jiajun is originally from Guangdong, China. He enjoys football, movies and Formula 1 racing.



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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.



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.


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.


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.





RMI Research Seminars
18 & 19 August 2014

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

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