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  Issue 23 | Archive May 2015

CRI Coverage Expansion
12 January 2015

Between November 2014 and January 2015, RMI¡¯s Credit Research Initiative (CRI) coverage of credit risk measures has been expanded to 116 economies, as a result of the inclusion of stock exchanges in Oman, Jamaica, Bangladesh, Bosnia and Herzegovina, Montenegro, Serbia, and Tunisia.

In July 2010, CRI first began releasing daily updated probabilities of default (PDs) on about 17,000 exchange-listed firms across 12 Asia-Pacific economies. In July 2012, CRI launched the Corporate Vulnerability Index (CVI), producing bottom-up measures of credit risk economies, regions, and portfolios. In July 2014, CRI started to produce the actuarial spreads (AS) on all listed firms that they produced PDs for. As of April 2015, CRI has covered over 60,000 public firms and has been producing daily updated PDs (1-month to 5-year horizon) and AS (1-year to 5-year contract) on over 30,000 currently active, exchange-listed firms in 116 economies.

RMI & CFA Society Singapore Joint Talk
3 February 2015

On 3 February 2015, Prof. Steven Kou, Director of RMI, held a professional development lecture at the Capital Towers on Robinson Road. Titled ¡°Science of Money¡± the talk focused on three aspects of the way scientific method could be applied to finance: Investments, derivatives, and risk management. The talk, attended by 45 participants, was jointly organized by the CFA Society Singapore and RMI. With the aim of inspiring interest in financial engineering the talk focused on substantial examples for topics like, ¡°Optimal portfolio choice,¡± ¡°The binomial model for option pricing,¡± and ¡°Axioms for risk measures.¡± This is part of RMI's effort to promote its flagship MFE program.

RMI Research Seminars
19 & 24 March 2015

In March 2015, RMI organized two research seminars by professors from NUS and Singapore Management University (SMU). On 19 March, Dr. Zsuzsa Huszar, Assistant Professor at NUS Business School and RMI affiliated researcher, discussed her research and the new empirical evidence which suggests that concentrated short sales convey both industry information and firm-specific information. The topic of the seminar was, ¡°Industry Concentration of Short Sellers: Cash Flow or Distress News?" Also, on 24 March 2015 Prof. Lim Kian Guan, a Professor of Finance at SMU, spoke about ¡°Intraday S&P 500 Index Predictability and Options Trading Profitability.¡± He is engaged in the study of intraday dynamics of E-mini S&P 500 index futures along with options trading strategies using the weekly E-mini S&P 500 index futures options, making a number of contributions to literature in related fields.

Long Service Award
March 2015

Norhayati Kum, RMI's Management Assistant Officer for the MFE Program, received an award from RMI for 15 years of service. The award was presented to Norhayati by Prof. Steven Kou, Director of RMI. ¡°It came as a pleasant surprise. I am honoured and thankful to be receiving this award. I have been with the MFE program for 15 years and I love my job. The most fulfilling part of my job is working closely with my colleagues as well as the students,¡± said Norhayati.

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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)