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  Issue 25 | Archive November 2015

OCBC¡¯s CRO Vincent Choo Speaks to MFE Students

On 9 October 2015, Mr. Vincent Choo, Overseas-Chinese Banking Corporation¡¯s (OCBC) Executive Vice President and Head of Group Risk Management gave a talk to a group of over 40 Master of Science in Financial Engineering (MFE) students on building sustainable risk management capabilities.

Mr. Vincent Choo¡¯s session provided the students with insights into some major changes that have taken place since the financial crisis. Mr. Choo especially focused on the changing role of professionals working in the field of financial risk management. He also shared his take on the key success factors in building a robust and sustainable risk management framework. He explained that these key factors were determined in view of OCBC¡¯s continuous strategic expansion and the market uncertainties in the region.

After sharing the key success factors in building an all-round risk management framework, Mr. Choo also discussed the qualities necessary for a risk manager in today¡¯s financial environment, with the audience consisting of future risk managers. He specifically discussed the skillsets that are critical to a competent risk manager, the importance for a risk manager to understand business, and touched upon restrictions of a siloed approach to risk management.


RMI¡¯s Suzhou Centre gets its First Research Grant from the National Natural Science Foundation of China

On 17 August 2015, the National Natural Science Foundation of China approved a grant of over 493,000 yuan (approximately S$110,000) to the Risk Management and Quantitative Finance Centre at NUS Research Institute (NUSRI), Suzhou. The grant is for research conducted by RMI¡¯s Director Prof. Steven Kou, as the Principal Investigator, in collaboration with Associate Professor Yingda Song from the University of Science and Technology of China and two PhD students from NUSRI, Yang Chen and Jiang Wei.

RMI Hosts its First Anti-Money Laundering Training Workshop

On 24 and 25 August 2015, RMI conducted a two-day training workshop in Anti-Money Laundering (AML) for the first time. Leveraging on RMI¡¯s domain expertise, the course was conducted by two invited experts from the field; Ms. Yvette Cheak, Managing Director of ACE Compliance and Dr. Yimin Yang, Director of Protiviti Inc. USA.

This unique training program offers participants insights into the AML environment in Singapore. As the Singapore economy becomes increasingly international and open, money laundering issues and risks management have received increased attention from the regulators, with amendments to the legislation made to strengthen the AML levers in Singapore.


Jumps in Equity Returns Before and During the Recent Financial Crisis: A Bayesian Analysis

A paper by Steven Kou (National University of Singapore), Cindy Yu (Iowa State University), and Haowen Zhong (Columbia University)

RMI's Director Prof. Steven Kou, who is also the Provost's Chair Professor of Mathematics at NUS, wrote a paper with his co-authors Associate Professor Cindy Yu and Dr. Haowen Zhong titled, " Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis." The paper is set to appear in Management Science in 2016.

The paper attempts to answer two questions: (i) How did jumps in equity returns change after the 2008-2009 financial crisis; in particular, were there significant changes in jump rates or in jump sizes, or both? And (ii) Can the performance of affine jump-diffusion models be improved if jump sizes are larger, i.e. jumps with tails heavier than those of the normal distribution?


New Staff

Eve Liew joined RMI on 2 November 2015 as a Manager. Eve was previously from Singapore Management University (SMU), Office of Advancement, where her role was to strategize and implement the stewardship programme to create a pleasant and positive philanthropic experience for the donors and thereafter develop sustainable giving. Prior to that, she was with Nanyang Technological University (NTU) where she held various main portfolios such as special projects and undergraduate related matters throughout her three years in College of Science. She has also gained invaluable experience as a full-time mother caring for her two kids for about a year before she joined SMU. Outside of work, she enjoys spending quality time with her family.

Visitor

Prof. Wang Neng visited RMI from 5 to 9 October 2015. Prof. Wang is Chong Khoon Lin Professor of Real Estate and Finance at Columbia Business School and a Research Associate at the National Bureau of Economic Research. He is also the Honorary Dean at the School of Finance at Shanghai University of Finance and Economics. He is a recipient of the ¡°Thousand Talents¡± Program, one of the most prestigious awards granted by the Chinese government. He has won a Smith-Breeden Distinguished Paper Prize awarded by the Journal of Finance, and the Bettis Distinguished Scholar Award from Carey School of Business, Arizona State University.



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Joint Research Seminar

5 October 2015

On 5 October 2015, Prof. Wang Neng, Chong Khoon Lin Professor from Department of Real Estate at Columbia Business School, spoke about his paper on ¡°Investment under Uncertainty and the Value of Real and Financial Flexibility.¡± Prof. Wang discussed the model, developed by him and his fellow researchers, that features investment timing under uncertainty for a financially constrained firm and their findings on research related to this model.


RMI Research Seminars

August 2015

RMI conducted three research seminars in the month of August. Prof. Matthias Fengler of University of St. Gallen held a seminar on 11 August 2015. Entitled ¡°Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments?


MFE Orientation

25 July & 1 September 2015

RMI¡¯s two Master¡¯s programs the MFE and PKU DDP welcomed a new batch of students on 25 July and 1 September 2015 respectively. The orientation sessions were organized to get students familiar with the courses they have undertaken as well as a student¡¯s life at NUS. Incoming students learned about the various academic and other resources available to them on campus.


PE Review Issue 2

November 2015

RMI will launch the second issue of the Private Equity Review (PER), a collaborative publication with the Hong-Kong based GOSS Institute of Research Management, by the end of this year. The PER aims to update its readers on the latest views and ideas about private equity and other current happenings in the financial sector.




Application for Master of Science in Financial Engineering (MFE) 2016 Intake
1 Oct 2015 to 15 Mar 2016

Jan to Mar 2016

Financial Risk Manager (FRM®) Certification Training Program 2016
9 Jan to 14 May 2016

Workshop in Commodity Markets
18 & 19 Jan 2016

Workshop on Algorithmic Trading
21 & 22 Mar 2016

First PKU-NUS Annual International Conference on Quantitative Finance and Economics
Call For Paper Due on 15 January 2016
7 & 8 May 2016

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