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NEWSLETTER
ISSUE 31 | May 2017
FEATURE

MFE Hosts Two Talks for its Master of Science in Financial Engineering (MFE) Students

On 15 February 2017, RMI hosted a talk for its MFE students by Dr. Suiunbek Ibraev, Head of Market Risk Quants at OCBC Bank. His talk titled, “Black 76: 40 Years Later,” discussed the evolution of the Black 76 model, a variant of the Black-Scholes model of option pricing. He began his talk with a brief overview of the financial markets and introduced the audience to the Bank of International Settlement’s (BIS) Triennial Central Bank Survey, which is believed to be the most comprehensive source of information for foreign exchange and over-the-counter (OTC) derivatives markets.

He shared results from the latest BIS survey done in 2016 showing the OTC FX and interest rates derivatives (IRD) turnover by countries including Singapore. He also shared results from the survey that showed the total market share of each country and compared Singapore’s OTC FX and IRD market growth with the global market growth. He then went into details of empirical distribution, the log-normal approximation, and its industrial and practical uses. In conclusion he argued that although new models are introduced, such as the displaced diffusion by Mark Rubinstein, local volatility by Bruno Dupire, and stochastic volatility by Heston, which go beyond the log-normal approximation, the Black-Scholes-Merton model using log-normal approximation is still very relevant to today’s market.

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EVENT BRIEFINGS

RMI Co-organizes a Joint Forum in Hong Kong Discussing the OBOR Initiative

On 8 May 2017, RMI co-organized a joint Forum in Hong Kong titled “The One Belt One Road (OBOR) Initiative: Our Benefits Our Risks”, with the GOSS Institute of Research Management Limited, College of Business at City University of Hong Kong and Eurasian System Science Research Association. The Forum took a focused look at financial investment under the OBOR Initiative and discussed topics such as the legal, investment, and other potential risks from a cultural and religious perspective as well as policies under the OBOR Initiative.

RMI co-hosts the 2nd NUS-USPC Workshop on New Challenges in Financial Risk Control

On 11 and 12 April 2017 RMI in collaboration with Paris Diderot University and NUS Centre for Quantitative Finance (CQF) hosted the 2nd NUS-USPC Workshop on New Challenges in Financial Risk Control. This workshop was also supported by NUS Institute of Mathematical Sciences (IMS). The aim of this workshop was to provide a forum for researchers and practitioners to present and discuss on topics related to financial risk control.

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IN FOCUS

What Has Changed for Risk Managers? by Lutfey Siddiqi

This column will be hosted by RMI's Adjunct Professor Lutfey Siddiqi, every May and November starting with this issue. Prof. Siddiqi will discuss industry perspectives and interview practitioners to keep us updated on the latest developments.

The context of risk management and risk preparedness has changed in recent years:

  1. Structural Disruption: We are living through a period of multi-dimensional disruption that is often dubbed as the fourth industrial revolution. Developments in extreme connectivity and extreme automation have consequences beyond the world of technology: business models, industries, markets, regulatory, and governance regimes have been thrown into a flux. New dimensions such as cyber-risk have entered the fray. It is increasingly difficult to differentiate between structural change and cyclical change. What used to be considered as structural and institutional constants – the concept of a non-negative risk-free rate for example – have turned into variables. It is harder to differentiate risk from uncertainty. Are we wasting time trying to estimate ‘standard deviation’ when the underlying distribution may be far from normal and bear no resemblance to its own historical series?

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NEW FACES @ RMI

New Staff

Jiang Yuhan, joined CRI’s IT & Data Management Team as a Research Analyst on 15 February 2017. Yuhan Jiang is currently studying the NUS MFE Program at RMI. She also holds an Honour’s Degree in Engineering from University of Michigan. She has previous work experience as Engineering Consultant in Norway and internship experience in financial sale-leaseback project.

Visitors

A/P Jin Hanqing visited RMI as a Senior Research Fellow from 14 March to 13 April 2017. A/P Jin Hanqing is currently an Associate Professor at the Mathematics Institute of University of Oxford. He obtained his PhD in System Engineering and Engineering Management, from the Chinese University of Hong Kong in 2004. His research interests include mathematical finance, behavioral finance, operation research, and applied stochastic analysis.

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SNAPSHOTS

Research Seminar
7 February 2017

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Research Seminars
14 February and 1 March 2017

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Acing in Interview Skills: MFE Workshop
7 March 2017

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EVENTS

3 May to 3 June 2017
NUS RMI Specialist Diploma in Operational Risk Management
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20 & 21 May 2017
Second PKU-NUS Annual International Conference on Quantitative Finance and Economics
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23 - 24 & 26 - 27 May 2017
Second Paris-Asia Conference in Quantitative Finance
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27 May to 7 October 2017
Financial Risk Manager (FRM®) Certification Training Program 2017 May Intake
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6 July 2017
Eleventh Annual Risk Management Conference
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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)