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November 2011

New Faces

Two new Research Analysts joined RMI's Credit Research Initiative (CRI)'s Market Monitoring Team. Mr. James Weston is a recent graduate with a Bachelor of Business in International Banking and Finance from Swinburne University of Technology, Melbourne. His interests include football, Formula 1, and volunteer work at AIDHA, a local not-for-profit organization that helps migrant workers develop business and financial skills.

Also joining the CRI's Market Monitoring Team is Mr. Bennett Lee. He graduated from the National University of Singapore in 2010 with a degree in Arts & Social Science (Economics). For a year, he has worked as a Profit and Loss Analyst for BNP Paribas Investment Bank & Corporate Finance.

Ms. Cheong Lay Chin joined RMI as Senior Executive with the admin team. After graduating with a Bachelor of Business Administration from the NUS Business School, she worked for 5 years in Crimson Logic. She also worked at Stanford University and Philip Morris in Japan. She has lived and worked in the U.S., Japan, Switzerland, the U.K. and Hong Kong.

Visitors

Prof. Alan Wong is Professor of Economics in Department of Economics, Hong Kong Baptist University. He has served as editor and member of advisory boards and editorial boards for several international journals. He has also served as external examiner and joint supervisor for several prestigious universities. He has published several books, books chapters and over one hundred papers in international journals including Annals of Applied Probability, Journal of Business and Economic Statistics, Contemporary Accounting Research, Econometrics Journal, IMA Journal of Management Mathematics and others. Prof. Wong visited RMI from 29 July to 14 August 2011.

Prof. Li Haitao visited RMI from 7 to 12 August 2011. His current research interests are theoretical and empirical asset pricing, term structure of interest rates, hedge funds, and financial econometrics. His recent works have developed econometric methods for analyzing continuous-time finance models driven by jump diffusions and Levy processes using underlying and derivative prices. He has developed and tested multi-factor term structure models for pricing and hedging interest rate derivatives and options embedded in corporate bonds. He has also developed asset pricing tests in absence of arbitrage and applied them to evaluate hedge fund returns. Professor Li has published in the Journal of Finance, the Journal of Financial Economics, the Review of Finance Studies, the Journal of Econometrics, and other finance and economics journals. Professor Li received the Sterling Prize Fellowship from Yale University, the Trefftz Award from the Western Finance Association, and a research grant from the Q-group.

Ms. Malene Tungland is a PhD student in risk management from University of Stavanger, Norway, specializing in operational risk in banking and finance. Her work is part of a Norwegian project seeking to model a bank´s operational risk through a Bayesian network model. The model forms the basis for a risk management framework, which also includes tools for managing operational risk based on experience transfer from risk management in other industries. Currently she is working on a paper about business environment and internal control factors which are one of the four elements required by the Basel II accord for the calculation of regulatory capital for operational risk. Her earlier work and other papers in progress are on  topics including risk identification based on the HAZOP methodology, loss event reporting, the financial crisis from an operational risk point of view, and modeling organizational culture´s exposure on operational risk. She is visiting RMI from September to December 2011.

Mr. Jianfeng Hu is a PhD candidate at Baruch College, the City University of New York. His research focuses on investment, credit rating, and derivative market microstructure. Mr. Hu holds a Master’s degree in economics from National University of Singapore and an undergraduate diploma in world economy from Fudan University in China. Prior to joining the doctoral program, he worked as a credit derivative analyst at Credit Suisse and Citigroup in Singapore. He is visiting RMI from October 2011 to November 2012.

Mr. Mu Wentao is a PhD candidate in Finance at the Nankai University in China. His research interests include credit risk and interest risk management, with focus on credit default models and the pricing of credit derivatives. Wentao obtained his Bachelor’s degree in Mathematics from Zhejiang University in 2008. He had also won the 1st prize in “Chinese National Mathematics Olympic” in 2003. He is visiting RMI from August 2011 to September 2012.

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