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November 2010

NUS-Waterloo Certification Workshops in Financial Risk Management
September 2010

On 20 to 23 September 2010, RMI collaborated with the Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ) to conduct two workshops for finance professionals on Stress Testing and Credit Portfolio Management respectively. The workshops, each lasting two days, attracted a total of 37 participants mainly from the financial industry. The trainers, Prof. David Saunders from the Department of Statistics and Actuarial Science at the University of Waterloo and A/P Keshab Shrestha from NUS-RMI, shared with students the fundamental knowledge in the subject areas as well as latest industry developments.

RMI's Research Workshop Series
September - November 2010

RMI's Monthly Research Workshop Series featured six speakers from September to November. They include Prof. Takeaki Kariya of the Graduate School of Global Business from Meiji University, and Prof. Frank M. Song, Director of Centre for China Financial Research and Professor of Economics and Finance at The University of Hong Kong, speaking in September, Prof. Van Son Lai, Professor of Finance and co-Director of the Laboratory of Financial Engineering at the Business School of Canada's Laval University, and Prof. Yu Min-Teh, Professor of Finance at National Taiwan University in October, and Prof. Yu Jun, Professor in the School of Economics at Singapore Management University and Prof. Fan Jianqing, Frederick L. Moore'18 Professor of Finance and Director of Committee of Statistical Studies at Princeton University in November.

On 12 November, Prof. Fan presented his paper "Testing and Detecting Jumps Based on a Discretely Observed Process". In the paper, he and his co-author proposed a new nonparametric test for detecting the presence of jumps in asset prices using discretely observed data. Compared with the test statistic in Ait-Sahalia and Jacod (2007), their new test statistic enjoyed the same asymptotic properties but has smaller variance. These results were justified both theoretically and numerically. Thanks to the reduction of the variance, they also proposed a new test procedure to identify the locations of jumps, which helped reduce the problem of jump identification to a multiple comparison problem.

Constrained Factor Models with Applications in Finance
October 2010

RMI and the Department of Economics invited Prof. Ruey S. Tsay, H.G.B. Alexander Professor of Econometrics & Statistics, University of Chicago’s Booth School of Business, to speak on Constrained Factor Models with Applications in Finance at a joint seminar held on 18 October 2010. Prof. Tsay presented a paper which considered constrained and partially constrained factor models when the dimension of explanatory variables is high. He showed that the least squares estimation was based on constrained principal component analysis and provided consistent estimates for the model under certain conditions. Prof. Tsay also discussed the applications of constrained factor models in finance with some illustrative examples.

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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)