Eleventh Annual Risk Management Conference

Scientific Program Proceedings

RMC 2017 Scientific Program Co-Chairs: Prof. Robert L. Kimmel (National University of Singapore), Prof. Min Dai (National University of Singapore), Prof. Steven Kou (National University of Singapore), Prof. Chenxu Li ( Peking University)


Plenary Talk 1
Topic: Firm-Wide Risk Management Analytic Framework and Implementation
Plenary Talk 2
Topic: Firm-Wide Risk Management Analytic Framework and Implementation
Session 1 Track A – Credit Risk, Liquidity, and Risk Premia Session 2 Track B – Investment Strategies and Expected Returns

Plenary Talk 1

Dr. David Li (Investment Senior Vice President and Head of Enterprise Risk Methodology & Analytics)

Firm-Wide Risk Management Analytic Framework and Implementation
Dr. David Li (Prudential Financial Company)


Plenary Talks 2

Prof. Steven E. Shreve (Orion Hoch Professor of Mathematical Sciences)

Should Banks Escrow Traders’ Bonuses?
Prof. Steven E. Shreve (Carnegie Mellon University )


Session 1 – Credit Risk, Liquidity, and Risk Premia

Monetary Policy Uncertainty and Bond Risk Premium

Fuwei Jiang (Central University of Finance and Economics)
Guoshi Tong
Discussant: Weina Zhang (National University of Singapore)

Parameter Learning, Sequential Model Selection, and Bond Return Predictability

Andras Fulop
Junye Li
Runqing Wan (ESSEC Business School)
Discussant: Xianhua Peng (Hong Kong University of Science and Technology)

A Multi-Curve Random Field LIBOR Market Model
Tao Wu (Illinois Institute of Technology)
S.Q. Xu
Discussant: Robert L. Kimmel (National University of Singapore)

Discussant: Weina Zhang (National University of Singapore)

Trades, Quotes and the Cost of Capital

Ioanid Rosu
Elvira Sojli
Wing-Wah Tham (University of New South Wales)
Discussant: Dashan Huang (Singapore Management University)

Investment Decisions and Falling Cost of Data Analytics
Jussi Keppo (National University of Singapore)
Hong Ming Tan
Chao Zhou
Discussant: Steven Kou (National University of Singapore)


Track B Session 2 – Investment Strategies and Expected Returns

Center of Volume Mass: Does Aggregate Options Market Opinion Predict Future Equity Returns?

Gennaro Bernile
Fei Gao (Singapore Management University)
Jianfeng Hu
Marti Subrahmanyam
Discussant: Sungjune Pyun (National University of Singapore)

Industry Competition, Credit Spreads, and Levered Equity Returns

Alexandre Corhay (University of Toronto)
Discussant: Ben Charoenwong (National University of Singapore)

Volatility and Expected Option Returns

Guanglian Hu (University of Houston)
Kris Jacobs
Discussant: Chenxu Li (Peking University)

How Do Smart Beta ETFs Affect the Asset Management Industry? Evidence from Mutual Fund Flows

Jie Cao
Jason Hsu
Zhanbing Xiao
Xintong Zhan (Erasmus University Rotterdam)
Discussant: Johan Sulaeman (National University of Singapore)

Investing in the Long Run

Dietmar Leisen (University of Mainz)
Eckhard Platen
Discussant: Robert L. Kimmel (National University of Singapore)