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  Issue 28 | Archive August 2016

RMI Hosts Its Tenth Annual Risk Management Conference

The Tenth Annual Risk Management Conference took place from 26 to 27 July 2016, marking a decade of RMI successfully hosting such an international forum. The first day of the conference was held at Conrad Centennial Singapore before moving to its home ground NUSS Kent Ridge Guild House. The conference was attended by more than 150 participants and featured discussions on some practical and regulatory challenges in risk management as well as latest scientific researches. The conference brought together policy makers, leaders from the industry, regulators, and internationally renowned academics.

RMI¡¯s Director and Class of ¡¯62 Professor of Mathematics, Prof. Steven Kou, opened the conference and welcomed all the speakers and guests. The morning of the first day of conference featured the Policy Forum, an industry focused part of the conference with panel discussions and this was followed by a one and a half-day of Scientific Program which focused on academic research presentations on recent theoretical developments, analytical techniques, and empirical findings in the field of risk management.

The agenda for the first day on Tuesday 26 July 2016 commenced with the regulatory panel, which discussed ¡°The Evolution of the Basel Regulatory Landscape: Are We Back to Where We Started?¡± Chaired by Mr. Frankie Phua, Managing Director and Head of Credit & Country Risk Management at UOB, the panel invited a mix of bankers and regulators to provide a more holistic view on the Basel landscape. The panelists included Mr. Noel D¡¯Cruz, Head of Risk Portfolio Management at OCBC, Mr. Lim Tuang Lee, Executive Director, Prudential Policy Department at the Monetary Authority of Singapore (MAS), Dr. Brian Lo, Managing Director and Head of Markets & Liquidity Risk at DBS, and Dr. Ilhyock Shim, Principal Economist at the Bank of International Settlements (BIS). The panel mulled over issues of fundamental review of the trading book, RWA compatibility and variability, and the future of internal risk models and modelers among others.


Prof. Liu Hong of Washington University in St. Louis Talks at RMI

In the month of June Prof. Liu Hong, Professor of Finance at Washington University in St. Louis (WUSTL) conducted two research seminars at RMI for an audience that consisted of researchers and industry professionals.

The first seminar titled, ¡°A Portfolio Rebalancing Theory of Disposition Effect¡± was held on 3 June 2016. In this seminar Prof. Liu discussed the disposition effect, which is the tendency of investors to sell winners while holding on to losers. He mentioned that although this effect has been extensively documented, mostly behavioral explanations of the disposition effect dominate the literature. Given this his joint work with Prof. Min Dai of National University of Singapore and Dr. Jing Xu of Renmin University of China, develops a portfolio rebalancing model with transaction costs to explain the disposition effect.


New Research Initiatives:

A Pricing and Risk Management System for Chinese Bonds

Based on the research led by Min Dai and Steven Kou at National University of Singapore

Starting from 2016, RMI has embarked on three new research initiatives and this issue of the newsletter will discuss the second research initiative on developing a pricing and risk management system for Chinese bonds.

In China, 99% of bond trading takes place in the National Interbank Funding Center, among 9642 institutional investors such as commercial banks, insurance companies, public/private offering funds, overseas central banks, sovereign wealth funds, etc., whereas only one percent of bonds are traded over Stock Exchanges by institutional and individual investors. Although the total daily volume of bond trading in China is over two trillion RMB, the market is still in the development stage where no pricing or risk management system is currently in place to regulate the bond trading in China. This could lead to serious problems in terms of fair trading. This new research initiative at RMI will focus on using big data from Chinese markets and studying interesting financial models tailored to unique financial situations in China.


New Staff

Lynn Ang joined RMI as an Executive on 27 June 2016. Lynn was previously with NUS Business School as a programme coordinator for its Executive Education. She graduated from the Royal Melbourne Institute of Technology (RMIT) with a Bachelor in Business (Marketing).

Visitors

Prof. Gunter Löffler visited RMI from 16 May to 10 June 2016. Prof. Löffler is Professor of Finance at the University of Ulm in Germany. His current research interests are on risk management and empirical finance. Prof.Löffler is co-author of the book Credit Risk Modeling using Excel and VBA. His research is published in journals such as the Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Intermediation, and the Journal of Risk. His PhD in finance is from the University of Mannheim.



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RMI Research Seminars

April & May 2016

RMI conducted two research seminars in April and May 2016.

On 28 April 2016, A/P Jussi Keppo gave a seminar on ¡°Opaque Bank Assets and Optimal Equity Capital.¡± The seminar was based on A/P Keppo¡¯s joint work with Prof. Min Dai and Dr. Shan Huang, in which they model the accounting asset values as partially observed variables that have a static uncertainty term for the opaque bank assets.


FRM® Certification Training Program ¨C May Intake

May 2016

On 28 May 2016 RMI welcomed the second cohort of the year to join 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.


MFE Class of 2016

9 July 2016

On 9 July 2016, RMI hosted a graduation luncheon for around 90 Master of Science in Financial Engineering (MFE) graduates of 2016 at the University Club. The students, faculty, and staff enjoyed a scrumptious lunch along with sharing conversation of their MFE journey and shared memories.




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

Q-Kolleg mini conference - Digital Economy & Decision Analytics
22 Aug 2016
Jointly hosted by Humboldt University of Berlin & NUS Statistics Department; Supported by NUS-RMI

Workshop in Anti-Money Laundering and Model Risk Management
22 & 23 Aug 2016

Specialist Diploma in Operational Risk Management
Oct to Nov 2016

more




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