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  Issue 26 | Archive February 2016

ETH Zurich¡¯s Professor Halil Soner Talks about Impact of Trading on the Market

On 15 January 2016, Prof. Halil Soner, Professor of Mathematics at ETH Zurich, Senior Chair at Swiss Finance Institute, and a visiting professor at NUS RMI, gave a seminar on ¡°Trading with Market Impact.¡± The seminar was attended by over 50 participants which included a mix of NUS researchers, professionals from various banks and financial institutions, and students and alumni from RMI¡¯s Master of Science in Financial Engineering (MFE) program.

Prof. Soner began the seminar by giving a brief introduction to his background and acknowledging some of his research collaborators over the years, such as Prof. Nizar Touzi, Prof. Johannes Muhle-Karbe, and Prof. Albert Altarovici, among several others. His discussion featured several research papers, published and forthcoming, with fellow researchers. Their research studies the financial markets in which trading causes price impact and portfolio optimization in those markets, by proposing several models for such markets using resilience. He went on to elaborate that they study these models using stochastic optimization techniques. In particular, the classical dynamic programming equation approach provides equations that they analyze in several different asymptotic regimes.

Having shared four research papers, two published and two forthcoming, with the audience prior to the seminar, he discussed the overarching framework of his research, highlighting three of those papers. Diving into a discussion of his current research, Prof. Soner briefly stated the three things one would model to study the impact of trade on current value of the stock: market impact, dynamics of this impact, and impact on investment decisions.


Dr. Slava Obraztsov Talks about Risk Management at Nomura

On 13 November 2015, Dr. Slava Obraztsov, Managing Director of Risk Management at Nomura Group, gave a talk on ¡°Quantitative Risk Management at Nomura.¡± The talk was organized for the students and alumni of RMI¡¯s Master of Science in Financial Engineering (MFE) program, with the aim to provide them with an in-depth knowledge of the rising importance of quantitative risk management. Over 30 participants were present to hear Dr. Obraztsov talk about what role they might be expected to play as future risk managers with a quantitative background.

RMI Welcomes the January 2016 Intake of its Financial Risk Manager (FRM®) Certification Training Program

On 9 January 2016 RMI welcomed the January batch of the Financial Risk Manager (FRM®) Certification Training Program. This program helps prepare professionals from the financial industry for the rigorous examinations to obtain the FRM® certification.

With rapid and consequential changes happening in the financial services industry globally, professionals in related fields are seeing the growing need to demonstrate a globally standardized level of up-to-date industry knowledge, which is the foundation of the two part practice-oriented FRM® examination.


Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

A paper by Min Dai (National University of Singapore), Hong Liu (Washington University in St. Louis),Chen Yang (National University of Singapore), and Yifei Zhong (University of Oxford)

RMI¡¯s Deputy Director (Industry Relations) and affiliated researcher, Prof. Min Dai and his co-authors wrote the paper ¡°Optimal tax-timing with asymmetric long-term/short-term capital gains tax¡± which was published in 2015 in the Review of Financial Studies. They develop an optimal tax timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long-term but also defer large long-term capital gains and losses.


New Staff

Dr. Liu Xuyuan joined RMI as a Research Fellow on 9 November 2015. Xuyuan completed her PhD in Economics at National University of Singapore (NUS) in October 2014. Prior to that, she obtained her Master¡¯s Degree in Economics from York University and Bachelor¡¯s Degree in Finance from Xi¡¯an Jiaotong University. Her research focuses on microeconomics, including game theory, mechanism design, and behavioral economics. Currently, she is interested in financial economics, and wants to explore topics related to credit risk management. She likes swimming, jogging, and cooking.

Visitor

Prof. Halil Soner visited RMI from 4 January to 28 January 2016. He is currently a Professor at the Swiss Federal Institute of Technology in Zurich, ETH Z¨¹rich (ETH-Z) and holds a senior chair position at the Swiss Finance Institute. His research focuses on nonlinear analysis with emphasis on optimal stochastic control, partial differential equations, stochastic processes, and mathematical finance.



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RMI Research Seminars

27 October & 9 November 2015

On 27 October 2015, Dr. Neale O¡¯Connor, Visiting Associate Professor at NUS Business School, gave a research seminar at RMI on ¡°Evidence Regarding the Internal Controls of Chinese U.S.-Listed Firms.¡± His research studies the internal controls underlying the purportedly weaker financial reporting of Chinese U.S.-listed firms.


MFE Information Session

21 January 2016

On 21 January 2016, the Master of Science in Financial Engineering (MFE) Program hosted an on-campus program briefing session for its August 2016 admissions. The information session was attended by over 50 participants. RMI and MFE Program Director, Prof. Steven Kou, addressed the audience in a talk on the ¡°Science of Money¡±, in which he discussed three aspects of the application of scientific methods to finance: investment, derivatives, and risk management.


Long Service Awards

January 2016

In January 2016 RMI presented the Long Service Award to two members of its staff, Ms. Chris Long, RMI¡¯s Management Assistant Officer with the MFE Program and Mr. Dexter Tan, a Research Analyst with the Credit Research Initiative. The award was to recognize their five years of continued service at the university.




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

NUS RMI Specialist Diploma in Operational Risk Management
Jan to Mar 2016

Workshop on Algorithmic Trading
21 & 22 Mar 2016

Workshop in Commodity Markets
25 & 26 Apr 2016

First PKU-NUS Annual International Conference on Quantitative Finance and Economics
7 & 8 May 2016

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