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  Issue 24 | Archive August 2015

RMI Hosts its Ninth Annual Risk Management Conference Jointly with the Second GOSS Private Equity Conference

RMI successfully hosted its Ninth Annual Risk Management Conference from 30 to 31 July at the St. Regis Hotel Singapore. For the first time RMI partnered with GOSS Institute of Research Management, a Hong Kong-based research institute dedicated to decision-making theories and empirical research in the field of financial investment, for its annual conference. The joint conference was attended by more than 200 participants and featured discussions on private equity (PE) along with risk management while bringing together policy makers, leaders from the industry, regulators, and internationally renowned academics.

GOSS President, Mr. Quanjian Gao together with RMI Director, Prof. Steven Kou, opened the conference and welcomed all the speakers and guests. The first day of the conference featured the Policy forum which started with a focus on the nature of private equity investments, especially in Asia, and went on to panel discussions on the evolving paradigm of regulation, and how banks are managing risks in the emerging markets.

The events of the day commenced with a keynote speech by Mr. Yichen Zhang, Chairman and Chief Executive Officer at CITIC Capital Holdings Limited, who shed some light on the development and transformation of buyouts in the Chinese private equity market. Mr. Zhang discussed the changes taking place in the Chinese financial market and their implications on PE investments.


RMI Opens the Risk Management & Quantitative Finance Center in Suzhou

On 15 May 2015, the Risk Management & Quantitative Finance Centre, a collaboration between RMI and the NUS Centre of Quantitative Finance (CQF), was officially opened in NUS (Suzhou) Research Institute.

Prof. Dai Min, RMI Deputy Director (Industry Relations) and CQF Director, was appointed the Director for this Center. ¡°Leveraging on the growing financial market in China, the mandate of this center is to promote international exchange, training, and research on risk management and quantitative finance in China,¡± says Prof. Dai.

Brian Lo of DBS Talks Market Risk Management with MFE Students

On 14 July 2015, RMI hosted a talk by Dr. Brian Lo, Managing Director and Head of Market and Liquidity Risk, Risk Management at DBS, for its students and alumni of the Master of Science in Financial Engineering (MFE) Program. The talk titled, ¡°Market Risk Management for Last Two Decades and New Challenges,¡± kick-started with Dr. Lo giving a brief history of market risk management.


Reducing Risk-Taking by Regulating Bonuses: EU vs US Dodd-Frank

A paper by Esa Jokivuolle (Bank of Finland),Jussi Keppo (National University of Singapore), and Xuchuan Yuan (National University of Singapore)

RMI¡¯s Affiliated Researcher A/P Jussi Keppo and Research Fellow Xuchuan Yuan, in collaboration with their co-author, wrote a paper titled ¡°Reducing Risk-Taking by Regulating Bonuses: EU vs US Dodd-Frank.¡± It is known that in the aftermath of the global financial crisis that started in 2007, bankers' compensation has become a major issue for banks' corporate governance and regulation. Therefore, the EU has legislated a cap on bankers¡¯ variable pay (henceforth simply ¡°bonus¡±) of 100% relative to fixed salary, or at most 200%, subject to shareholder approval, and rules regarding their payment deferrals. The US Dodd-Frank Act includes an option for bonus clawbacks which may be paralleled with bonus deferrals. Recently, the UK has announced plans on extending the potential bonus clawback period until seven to ten years.

Which of the two types of bonus restrictions, caps or deferrals, is more effective in containing risk-taking in banks? The authors have addressed this question by developing a theoretical model which has been calibrated to data on CEO pay of the 78 largest US banks during 2004-2006, reflecting the times just before the financial crisis started.


New Staff

Chua Beng Yan joined RMI as the Senior Associate Director on 2 June 2015. Beng Yan is not new to RMI. She was Senior Associate Director of RMI from 2010 to 2012. Prior to her re-joining, she was the Senior Associate Director at Asia Centre for Social Entrepreneurship and Philanthropy, NUS Business School. Beng Yan graduated from the National University of Singapore and holds professional qualification as a Chartered Accountant. She has more than 25 years of experience in audit, banking, management, and education. Beng Yan will be overseeing finance and human resource portfolios at RMI.

Visitor

Prof. Liu Hong is currently Professor of Finance at Washington University in St. Louis, where he has been Academic Director of the Master of Science in Finance Program since 2008. Prof. Liu¡¯s research areas include optimal consumption and investment with frictions, asset pricing, and market microstructure. He has published in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Economic Theory, and other leading academic journals. Professor Liu is the recipient of Management Science Distinguished Service Award (2013), TCFA Best Paper in Investment (2013), TCW Best Paper Award (2011), among others. He has also been on the editorial board of top international journals, including Review of Finance and Management Science. He visited RMI from 15 to 28 June 2015.



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RMI Research Seminar

5 May 2015

On 5 May 2015, Dr. Luis Goncalves-Pinto, Assistant Professor from the Department of Finance at NUS Business School, held a research seminar on ¡°Informed Trading or Limits to Arbitrage: When Do Option Prices Predict Stock Returns?¡±


RMI Research Seminars

19 June & 22 July 2015

Two visiting professors held research seminars at RMI, in the months of June and July. Prof. Liu Hong hosted a seminar about the uniqueness of the US Dollar, on 19 June 2015. Prof. Liu discussed the characteristic of the US dollar of appreciating against other currencies, even when the US economy is experiencing ¡°crisis¡± or ¡°bad shocks¡±, whereas other currencies actually depreciate against the US dollar if their countries experience crisis.


RMI Research Seminar

28 July 2015

On 28 July 2015, Prof. Arthur P. Dempster, Professor Emeritus in the Harvard University Department of Statistics, held a research seminar at RMI where he discussed two of his old research papers and their future relevance. His talk focused on the evolution of the Dempster-Shafer (DS) system for probabilistic reasoning.


MFE Class of 2015

13 July 2015

On 13 July, RMI hosted a graduation dinner for around 35 Master of Science in Financial Engineering (MFE) graduates of 2015 at the University Club. The students, faculty, and staff enjoyed the dinner table conversation of their MFE journey and shared memories.




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

Workshop in Anti-Money Laundering and Model Risk Management
24 & 25 Aug 2015

Workshop in Consumer Credit Risk Management
17 & 18 Sep 2015

NUS RMI Specialist Diploma in Credit Risk Management - Corporate Banking
12 Oct to 11 Dec 2015

Stanford-NUS Financial Analytics Certificate Program
Dec 2015 to Sep 2016

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