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November 2010

FEATURE
RMI’s Credit Rating Initiative Gains Momentum

On 4 November, RMI's credit rating initiative (CRI) achieved another milestone: it expanded to cover publicly listed companies in the U.S. and Canada.  The number of individual probability of default (PD) forecasts that will be reported daily is now 1,600 large-cap companies representing the different industrial sectors, with the expanded coverage including 500 firms in the US and 100 firms in Canada.  The number of firms with PD computed for aggregate forecasts is now over 25,000 in 14 economies - Australia, China, Hong Kong, Indonesia, India, Japan, Malaysia, Philippines, Singapore, South Korea, Taiwan, Thailand, U.S. and Canada. Future phases of the initiative will further expand the coverage to include other economies around the globe. 

"This has been a major achievement for us and we have worked on it for the past two months", adds Qianqian Wan, lead of the CRI's Data Collection Team. She shares that the main challenge in this project has been the collection of comprehensive data, which usually requires a lot of resources. However, RMI's team has worked intensively on building the database and has used various sources such as the Bloomberg, Datastream, CRSP and Compustat to make the dataset complete for PD estimation.

The CRI was conceptualized as a constructive response to the recent global financial crisis. Since then, it has come a long way and launched the beta version (http://www.rmi.nus.edu.sg/rmicri/) of the rating system on 15 July this year at RMI's Fourth Annual Risk Management Conference. To aid the research currently carried out by various global teams and RMI's internal team, RMI maintains its own comprehensive database.



OCBC's Kohnke Shares the Risk Management Paradigm Change Post Crisis

On 11 November, RMI invited Mr. Gilbert Kohnke, the Chief Risk Officer (CRO) of OCBC Bank to speak at the public lecture themed The Role of a Chief Risk Officer: Is there a paradigm change post crisis? More than 110 people, both from industry and academia, attended the talk. The topic of discussion is particularly relevant to today's global economic scenario where risk management has taken a new dimension. The talk was followed by a lively Q&A session. 

                                                                                   

RMI's Credit Rating Initiative Attracts Attention at International Conferences

In November, RMI's researchers were invited to speak at two international conferences in Beijing and New York respectively on its not-for-profit credit rating initiative (CRI). An overwhelming response was received and both conferences’ participants, mostly from the financial industry, have expressed great interest and support in this undertaking which inaugurated a new route for developing credit rating methodology.


Asymmetric Information, Adverse Selection and the Pricing of CMBS

A paper by Xudong An (San Diego State University), Yongheng Deng (National University of Singapore), and Stuart Gabriel (University of California, Los Angeles).

In a forthcoming paper to be published in the Journal of Financial Economics, RMI affiliated researcher Prof. Yongheng Deng, with his co-authors, investigated the “lemons problem” in the commercial mortgaged-backed securities (CMBS) market.

The “lemons problem” which arises from the information asymmetry between the seller and buyer, was first highlighted by Akerlof (1970) in his seminal paper: “The Market for 'Lemons': Quality Uncertainty and the Market Mechanism”.


New Staff

Dr. Niu Wei-fang joined as a Research Fellow. Previously, he was an Adjunct Assistant Professor with the Department of Finance at the National Tsing Hua University, Fen Chia University and with the Graduate Institute of Finance at the National Chiao Tung University. Dr. Niu’s research interests include asset allocation and index investment, quantitative trading strategies, derivative valuation and financial econometrics.

Ms. Bharti Bhargava joined the Credit Rating Market Monitoring Team as a Research Analyst. She graduated with a Master of Social Sciences (Applied Economics) from NUS.





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NUS-Waterloo Certification Workshops

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.



RMI’s Research Workshop Series

September - November 2010

RMIí»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.



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.




Call for Research Proposals 2010/11
Deadline: 15 December 2010

Master of Science in Financial Engineering 2011 Intake Registration
29 December 2010 - 18 March 2011

Financial Industry Competency Standards Programs
January - June 2011

> PRMTM Certification Training Program 2011
March - August 2011

more




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