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  Issue 27 | Archive May 2016

NUS RMI Co-hosts Conference with Peking University HSBC Business School

The Risk Management Institute (RMI) at National University of Singapore (NUS) and Peking University HSBC Business School (PHBS) co-organized the First PKU-NUS Annual International Conference on Quantitative Finance and Economics at PHBS in Shenzhen, China, on 7 and 8 May 2016. Attended by more than 50 delegates globally, this conference provided a platform for researchers to discuss a series of current quantitative finance and economics topics. Such discussions also offered insights for industry practitioners in view of the global economy¡¯s uncertainty especially China¡¯s slowdown.

A total of 23 original and unpublished research papers were selected for presentation and discussion at the two-day conference. The conference consisted of a plenary talk and six sessions highlighting themes such as asset pricing, risk management, return prediction, corporate finance, quantitative finance, and macro finance. Each session featured presentations and discussions of relevant research papers followed by their discussion and Q&A sessions.

The conference kicked off on 7 May with opening remarks delivered by RMI Director Prof. Steven Kou and PHBS Dean Prof. Wen Hai. Following this, Prof. Deng Yongheng, Provost`s Chair Professor of Real Estate and Finance at NUS, discussed ¡°Default Option Exercise over the Financial Crisis and Beyond¡± as the invited plenary speaker. ¡°I hope my research can help shed some light on our understanding of the Chinese real estate market today,¡± shared Prof. Deng, who is also the Head of Department of Real Estate and Director of the Institute of Real Estate Studies (IRES) at NUS.


RMI Conducts Workshops in Algorithmic Trading and Commodity Markets

In the months of March and April, RMI conducted two training programs to address current issues in the financial industry. The first was a two-day Workshop on Algorithmic Trading, on 21 and 22 March. RMI collaborated with Quantopian, a crowd-sourced quantitative investment firm that provides a platform to build, test, and execute trading algorithms, for the first time. Topics such as pair trading, overfitting, development lifecycle: research, backtest, statistical validation, linear regression, beta hedging, risk factor exposure, and ranking universes by factors, and long-short equity were discussed. Each of the lecture topics was complimented by hands-on exercises in the computer lab.

The Algorithmic Workshop was the first all interactive workshop conducted by RMI and all the teaching materials were accessible online. The participants were encouraged to think of various aspect of quantitative trading while learning to code and backtest their models. The workshop, taught by Quintopian Lead, Mr. Delaney Granizo-Mackenzie, was received with a positive response by the participants, who appreciated the interactive nature of the workshop.


New Research Initiatives:

An Encrypted System for Sensitive Data - Recovering Statistical Histograms Exactly While Preserving Privacy

By Steven Kou (National University of Singapore)

Starting in 2016, RMI will be embarking on three new research initiatives: (1) An encrypted system for sensitive data; (2) A pricing and risk management system for Chinese bonds; (3) Forward-looking return and volatility. Starting from this newsletter, we will introduce these initiatives sequentially with each new issue.

In the era of big data, collecting and analyzing data while still preserving people¡¯s privacy needs is an important issue. In finance people may not want to share their sensitive data, such as salary information and trading positions. However, the summary statistics of the data, e.g. histograms, perhaps not the original data, may be useful for regulators and for other people in the peer group.


New Staff

Cheng Shantian joined RMI as a Research Associate on 21 March 2016. He is currently working towards his PhD in Mathematical Sciences from Nanyang Technological University (NTU). Prior to that, he obtained his Master¡¯s Degree in Natural Science from University of Chinese Academy of Sciences. He also gained valuable experience from his days as a project officer/manager at his graduate school¡¯s student club. In his spare time, he likes jogging and hiking.

Visitors

Dr. Marius Hofert visited RMI from 18 January to 1 March 2016. Dr. Hofert, an Assistant Professor at Department of Statistics and Actuarial Science, University of Waterloo, taught an MFE module titled ¡°Risk Analyses and Management¡±. Dr. Hofert obtained his PhD in Mathematics from University of Ulm in 2010. His research interests include development of mathematical, statistical, and computational tools in copula modeling.



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RMI Research Seminars

March & April 2016

RMI conducted a total of seven research seminars in the months of March and April 2016.

On 1 March 2016, Dr. Marius Hofert, visiting from the University of Waterloo, gave a seminar on ¡°Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm.¡± This was followed by two seminars by Prof. Michael Sobel of Columbia University, first one on 4 March titled, ¡°An Introduction to Causal Inference¡± and the second on 22 March titled, ¡°Causal Inference for fMRI Time Series Data with Systematic Errors of Measurement in a Balanced On/Off Study of Social Evaluative Threat.¡±


Joint Research Seminars

25 January & 13 April 2016

RMI hosted two joint seminars in January and April 2016 separately. On 25 January, jointly with the Centre for Asset Management Research and Investments (CAMRI), RMI conducted a seminar by Prof. Yacine Ait-Sahalia, a Professor of Finance and Economics at Princeton University, on ¡°A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data.¡±


Pedagogical Lectures

January to April 2016

Along with research seminars RMI also regularly hosts Pedagogical talks for its staff and students. From the month of January to April 2016 RMI organized six pedagogical lectures by three visiting scholars. The first two were conducted by Prof. Halil Soner of ETH Zurich, on 20 and 21 January 2016. His lectures focused on ¡°Optimal Dividend Policies¡±, specifically the classical problem of designing an optimal dividend payment scheme that maximized the expected discounted dividend payments until bankruptcy.




Financial Risk Manager (FRM®) Certification Training Program 2016
28 May to 15 Oct 2016

NUS RMI Specialist Diploma in Credit Risk Management ¨C Corporate Banking
6 June to 25 July 2016

NUS RMI Small Business Fundamentals Workshop
14 & 15 July 2016

Tenth Annual Risk Management Conference
25 to 27 July 2016

Workshop in Anti-Money Laundering and Model Risk Management
Aug 2016

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