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  Issue 21 | Archive ¡¡ November 2014

UOB¡¯s CRO Talks about the Evolving Role of an Effective Risk Manager

On 19 September, Mr. Chan Kok Seong, the Chief Risk Officer of United Overseas Bank (UOB) gave a talk to a group of more than 60 Master of Science in Financial Engineering (MFE) students and alumni on the evolving role of an effective risk manager.

As part of a series of talks RMI has organized to deepen its MFE students¡¯ understanding of the financial services industry, Mr. Chan¡¯s session has provided insights into the risk manager¡¯s role in the post crisis era. He shared that the global financial crisis exposed weakness in risk management and forced banks to take a critical look at how they manage risk. ¡°It has catalyzed the strengthened role for risk management, with far greater focus on areas such as risk culture, risk governance, role of CRO, risk appetite and stress testing,¡± noted Mr. Chan, a senior banker with more than 25 years of banking experience.


Prof. Steven Shreve Discusses Diffusion Scaling of a Limit-order Book Model

On 11 September, Prof. Steven Shreve, Orion Hoch University Professor of Mathematics at Carnegie Mellon University (CMU), gave a talk entitled ¡°Diffusion Scaling of a Limit-order Book Model¡± to more than 120 participants.

Against the backdrop of trading away from the trading floor onto electronic exchanges ¨C and the accompanying rise in the volume of order submission ¨C has come an increase in the need for tractable mathematical models of the whole limit order book, Prof. Shreve noted. He found the problem is inherently high-dimensional and the most natural description of the dynamics of the order flows has them depend on the state of the book in a discontinuous way.


Portfolio Choice with Market Closure and Implications for Liquidity Premia

A paper by Min Dai (National University of Singapore), Peifan Li (NUS), Hong Liu (Washington University in St. Louis), and Yajun Wang (University of Maryland)

RMI¡¯s Deputy Director (Industry Relations) and affiliated researcher, Prof. Min Dai and his co-authors wrote the paper ¡°Portfolio Choice with Market Closure and Implications for Liquidity Premia¡± (Management Science, forthcoming). They find that market closure and the volatility difference across trading and nontrading periods significantly change optimal trading strategies. In addition, they numerically demonstrate that transaction costs can have a first order effect on liquidity premia that is largely comparable to empirical findings. Moreover, this effect on liquidity premia increases in the volatility difference, which is supported by empirical analysis.


New Staff

RMI welcomed two new Deputy Directors, A/P Robert L. Kimmel (Deputy Director, Research) of Finance and Prof. Dai Min of Mathematics (Deputy Director, Industry Relations) on 16 August and 10 November, respectively. A/P Kimmel received his B.S.E. in Computer Science and Engineering from University of Pennsylvania, M.S. in Computer Science from Columbia University, MBA and PhD in finance from the University of Chicago. Separately, Prof. Dai, who is also the Director of the Centre for Quantitative Finance and the Director of the Master Program in Quantitative Finance, received his PhD degree from Fudan University in 2000. Prof Dai would also lead RMI¡¯s efforts to set up an office in NUS (Suzhou) Research Institute.

Visitors

Dr. Xuedong He of Columbia University¡¯s Department of Industrial Engineering and Operations Research visited RMI from 17 to 25 August 2014. Dr. He received his Bachelor¡¯s Degree in Mathematics and Applied Mathematics from Peking University in 2005. He joined the Chinese University of Hong Kong as a PhD student in 2005 and in 2008 moved to the University of Oxford where he received his PhD degree in Mathematical Finance. His research interests include portfolio selection and asset pricing in behavioural finance and risk management.



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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.


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.


CRI CVI Coverage Expansion

2 October 2014

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




Master of Science in Financial Engineering 2015 Admission
15 Nov 2014 - 15 Mar 2015

Workshop in Consumer Credit Risk Management
15 Dec to 16 Dec 2014

Financial Risk Manager (FRM®) Certification Training Program 2015
10 Jan - 9 May 2015

MFE Program Briefing (Webcast available)
22 Jan 2014

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