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  Issue 22 | Archive ¡¡ February 2015

RMI-CRI to Collaborate with the International Monetary Fund

On 26 January 2015, the International Monetary Fund (IMF) officially confirmed its collaboration with RMI¡¯s Credit Research Initiative (CRI) through its Monetary and Capital Markets Department (MCM) on the advanced stress testing and risk modeling project.

The joint research program will focus on the development and implementation of risk measurement tools useful for financial surveillance and risk management. Specifically, IMF intends to adopt an automated stress testing system into its Financial Sector Assessment Program (FSAP), which involves periodic assessments of systemic stability of its member countries, including the 33 jurisdictions that have been deemed systemically important financial systems.


RMI Mobilizes Its Researchers to Conduct a Series of Seminars

Starting from 11 November 2014, RMI has engaged its own researchers to present their respective research projects in a series of monthly research seminars. This initiative is part of the efforts RMI has put in to enhance the exchange of research ideas, and promote the productivity of the RMI research community.

In the past months, five speakers, consisting of RMI¡¯s affiliated researcher, professor, and research fellows, have presented their ongoing researches to a group of fellow RMI researchers and NUS academia. They include A/P Ajay Jasra on ¡°A Stable Particle Filter in High-Dimensions¡±, Prof. Duan Jin-Chuan on ¡°Predicting Recovery Rate at the Time of Corporate Default¡±, Dr. Wang Wei-Ting, Christine on ¡°Efficient Diversification under Almost Stochastic Dominance¡±, Dr. Eleni Sofokleous on ¡°Diversified Mergers and Default Risk¡±, and Dr. Yuan Xuchuan on ¡°Bonus Caps, Deferrals and Banks' Risk-Taking¡±.


Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure

A paper by Duan Jin-Chuan (National University of Singapore)

RMI¡¯s Prof. Duan Jin-Chuan, also Cycle & Carriage Professor of Finance with NUS Business School, wrote a research paper entitled ¡°Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure.¡±

This paper contributes to the econometric modeling of interest rates and the pricing of debt instruments by proposing a new 3-factor interest rate model. The model hinges on a novel local-momentum autoregression (LM-AR) process that tracks a stochastic central tendency. It is adopted as the global risk driver for interest rates. The LM-AR process proposed by Prof. Duan combines the typical mean-reversion term widely adopted in economics and finance with a new momentum term. The new model with only one extra parameter is parsimonious and can be easily made stationary. In short, stationarity and moment-running go hand-in-hand so that it becomes mean-reverting on a large timescale but shows local momentum on a smaller timescale. Local momentum can also be one of two types ¨C momentum-preserving and momentum-building.


New Staff

Tao Ran joined RMI as a Research Analyst on 15 December 2014. Having received his bachelor¡¯s degree from the Department of Information Technology at Xiamen University, he has recently completed his Master of Science in Quantitative Finance degree from NUS. His interests lie in quantitative finance, including pricing of derivatives and strategies of designing products. During his free time, he enjoys playing basketball and swimming. In addition, he has the ability of programming under different software environment.

Visitors

Dr. Lin Jianwei is visiting RMI as a Research Fellow from 2 January to 6 July 2015. Dr. Lin is an Associate Professor in the Department of Mathematics at Putian University in China. He received his B.S.E. in Mathematics from Fujian Normal University in 2002, M.S. in Mathematics from Huaqiao University in 2005 and PhD in Mathematics and Applied Mathematics from Tongji University in 2009. His research interests are mainly focused on asset pricing, stochastic control, and credit risk modelling and management.



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RMI Publishes PER

10 November 2014

RMI, in collaboration with Hong Kong-based GOSS Institute of Research Management, published its inaugural issue of the Private Equity Review (PER) on 10 November 2014. A biannually publication, PER aims to update the latest views and ideas about private equity from both the academic, researchers and industry people. This magazine will hopefully promote interactive private equity innovations both in research and practice.


RMI Trains on Credit Risk

November and December 2014

In November and December 2014, RMI conducted the workshop on Credit Rating and Risk Analysis, and Consumer Credit Risk Management respectively to train the banking professionals to enhance their practical domain knowledge.


MFE Year-end Dinner

6 December 2014

In the evening of 6 December 2014, over 70 MFE lecturers, students and alumni gathered at the NUS Bukit Timah Guild House for a year-end dinner to celebrate the festive season. One of the pioneering MFE students, Shaji Chandrasenan, now Director of Financial Risk Supervision Division at the Monetary Authority of Singapore, spoke as a special guest. He shared with the students his MFE experiences and provided some insightful advice to their career advancement.




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

Professional Risk Manager (PRMTM) Certification Training Program 2015
21 Mar to 1 Aug 2015

Financial Risk Manager (FRM®) Certification Training Program 2015
30 May to 17 Oct 2015

Workshop in Consumer Credit Risk Management
25 May to 26 May 2015

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