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  Issue 21 | Archive November 2014

RMI Research Seminars
July ¨C October 2014

From 29 July to 7 October, RMI has organized four research seminars. On 29 July, A/P Madhu Kalimipalli of Wilfrid Laurier University in Canada presented ¡°Choice and Timing of Private Versus Public Debt: Evidence from International Bond Market¡±. On 1 August, Prof. Shen Chung-Hua of the National Taiwan University discussed how he and his co-authors used individual and issuer ratings of Moody¡¯s as proxies for bank operation and default risk, and examined how Moody¡¯s reflects the effects of ownership structure on these two risks. On 2 and 22 September, A/P Jussi Keppo of NUS and Prof. Thomas Coleman of University of Waterloo presented their researches respectively. While A/P Keppo discussed the documentation of significant persistence in the ability of individual investors to time stock market bubbles, Prof. Coleman covered the efficient application of automatic differentiation for computing gradients in financial applications.

RMI Joint Research Seminars
August and October 2014

In collaboration with Department of Mathematics, RMI organized four joint research seminars, which took place in August and October, and featured speakers including the Hong Kong University of Science and Technology¡¯s Dr. Peng Xianhua, Dr. He Xuedong of Columbia University, Prof. Robert M. Anderson of UC Berkeley, and Prof. Alexander Novikov from the University of Technology, Sydney. They discussed a variety of topics such as ¡°EM Algorithm and Stochastic Control¡±, ¡°A Processing-Consistent Non-Bayesian Inference Model¡±, ¡°Nonstandard Probability Theory¡±, and ¡°Bounds for Asian-type Options via Fourier Methods¡±.

CRI CVI Coverage Expansion
2 October 2014

Starting from 2 October, the coverage of the Corporate Vulnerability Index (CVI) suite, which is produced by RMI's Credit Research Initiative (CRI), expanded to include indices for Indonesia, Israel, Finland, Greece, Switzerland and Turkey.

The first set of nine CVIs was launched in July 2012 and the coverage has been further expanded in August, December 2013, and October 2014 respectively. The CVI is meant to produce bottom-up measures of credit risk in economies, regions and portfolios of special interest.

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