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NEWSLETTER
ISSUE 33 | November 2017
FEATURE

RMI Co-Hosts the 1st Singapore-Munich Conference on Innovation in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation

On 19 & 20 September 2017, RMI along with German’s Technical University of Munich (TU Munich) and NUS Centre for Quantitative Finance hosted the 1st Singapore-Munich Conference on Innovations in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation. The first day of the conference took place at Standard Chartered Bank and was attended by over 70 participants. Day two of the conference was held at NUS Shaw Foundation Alumni House with over 60 participants in attendance.

The conference was kicked off by welcome remarks from Prof. Steven Kou, RMI’s Director and Class of ’62 Professor of Mathematics at NUS and Prof. Rudi Zagst, Head of the Chair of Mathematical Finance, TU Munich. The first day of the conference consisted of a full day of events and featured an industry panel, a plenary talk, and six scientific research presentations. Session 1, preceded by the introductory remarks, featured scientific talks by Prof. Wolfgang Runggaldier from University of Padova, Max Wong and Patrick Ge from SGX, and Prof. Min Dai from NUS. This session discussed topics such as reinsurance and investments, performance testing of margin models, and dynamic mean-variance portfolio selection.

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EVENT BRIEFINGS

RMI’s Director Prof. Steven Kou Gives a Talk on a Theory of Fintech

Prof. Steven Kou, RMI’s Director and Class of ’62 Professor of Mathematics at NUS gave a talk on “A Theory of Fintech” on 30 August 2017 at RMI. This talk was attended by an audience of over 70 participants from industry and academia as well as students studying in the fields of quantitative finance and mathematics.

In this talk, Prof. Kou gave a brief overview of the current academic research on fintech by using tools from operations research, and covered five topics, all based on his current working papers:

  1. Data privacy preservation: how to do statistical inference, based on the encrypted data while still preserving privacy.
  2. P2P equity financing: how to design contracts suitable for a P2P equity financing platform with information asymmetry.

Senior Banker Talks to RMI's Master of Science in Financial Engineering (MFE) Students

On 22 September 2017, RMI invited Lionel Xavier, Global Head of Capital and Liquidity Management at Standard Chartered Bank, to talk to its students about “New Trends for Quantitative Finance in Banking – Broader Prospects for MFE Students.” He firstly gave the students an insight into the banking environment post the financial crisis by introducing the new competitive dynamic and regulatory landscape. He noted that the importance of risk management has risen further in the latest organizational trends in the industry. “There is a shift in performance metrics, from income-driven to resource-driven. We are now treating capital as a form of resource and allocating capital into areas where profitability is higher,” he added.

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IN FOCUS

Interview with Dr. Hyun-Song Shin of Bank for International Settlements (BIS) by Lutfey Siddiqi

As I joined the annual meeting of the IMF & World Bank in Washington DC last month, I felt a sense of dissonance. There was clearly no sense of crisis, hence no sense of urgency. Economic and financial indicators look sequententially better and extraordinary monetary stimulus may soon be pared back. Banks and regulators catalogued the series of measures taken over the past decade that should’ve rendered the financial system more robust. At the same time, there was nervousness about a relapse or worse, brought about by a cocktail of incomplete reforms, continuing imbalances, tech disruption, political uncertainty and divergent positions on global interaction.

On that backdrop, the challenge of risk identification, assessment and sequencing of action becomes all the more daunting. To help us with that, I asked a few questions to Dr. Hyun-Song Shin, whom I met just after his panel on “Systemic Risk and Macroprudential Stress Testing”.

Dr. Hyun-Song Shin is a member of the Executive Committee, Chief Economic Advisor and Head of Research at BIS. Prior to that, he was a Professor of Economics at Princeton and Professor of Finance at London School of Economics (LSE). In 2010, he served as Senior Adviser to the Korean president, formulating stability policy and developing the G20 agenda during Korea's presidency.

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NEW FACES @ RMI

New Staff

Dr. Zheng Huanhuan joined RMI as a Research Associate on 1 November 2017. Huanhuan completed her PhD in Electrical and Computer Engineering at National University of Singapore (NUS) in June 2017. Her research focuses on algorithm designing, convex optimization, and communication system modeling. Prior to that, she obtained her Bachelor's Degree in Information and Communication Engineering from Zhejiang University in China. Currently, her interest lies in credit risk modeling, quantitative finance, and topics related to financial risk management. In her free time she enjoys painting, dancing, and playing tennis.

Visitors

Prof. Yang Ruicheng is visiting RMI’s Credit Research Initiative (CRI) from 12 September 2017 to 31 August 2018. Prof. Yang is a Professor of the School of Finance, Inner Mongolia University of Finance and Economics in China. He is also a PhD Supervisor in Mongolia Graduate University in Mongolia. He received his PhD from Beijing Jiaotong University in 2004, and worked as post-doc in Dalian University of Technology from 2005-2007. His current research interests include credit derivative pricing, finance risk management, and financial information processing.

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SNAPSHOTS

NUS RMI Specialist Diploma in Operational Risk Management
30 September 2017 to 4 November 2017

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CRI Coverage Expansion
October 2017

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EVENTS

29 to 30 November 2017
5th NUS-USPC Workshop on Machine Learning and Fintech
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6 January to 5 May 2018
Financial Risk Manager (FRM®) Certification Training Program 2018 January Intake
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12 March to 10 May 2018
NUS RMI Specialist Diploma in Credit Risk Management – Corporate Banking
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24 to 25 April 2018
NUS RMI Workshop on Practical Applications of Options Risk Management Strategies
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10 May to 16 June 2018
NUS RMI Specialist Diploma in Operational Risk Management
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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)