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  Issue 11 | Archive May 2012

RMI holds Workshop on Credit Risk and CVA

As an education and training aspect of its non-profit Credit Research Initiative (CRI), RMI conducted a two-day workshop on "Credit Risk and CVA in Practice" from 9 to 10 April. Recently, counterparty credit risk (CCR) has been drawing a significant level of attention from regulators, financial institutions, and academics after the global financial crisis. Many have realized that no counterparty is default-free, even in the case where the counterparty is a sovereign government or a multinational economic union. This highlights the importance of CCR management. However, it is a complex challenge to measure, hedge and monitor CCR for the financial institutions whose counterparty portfolios consists of thousands of trades driven by hundreds of market factors. It is also a great challenge for the regulators to effectively monitor the macro-level counterparty risk in the financial system, especially risk concentration.

With Basel III to start taking effect from 1 January 2013 in quite a number of jurisdictions, CCR management is becoming a much more pressing issue for the local and global financial industry. In this regard, the timely workshop taught by United Overseas Bank’s Executive Director and the Head of the Credit & Country Risk Management Division, Mr. Frankie Phua and University of Manchester’s Professor of Finance Ser-Huang Poon, provided compact informative sessions from expert practitioners supplemented by practical hands-on exercises. The workshop discussed topics including how to model and analyze credit risk exposure, as well as making adjustment in pricing and risk capital calculation.

RMI's Adjunct Professor Lutfey Siddiqi Named a Young Global Leader 2012 by World Economic Forum

RMI's Adjunct Professor Lutfey Siddiqi, who is a Managing Director at the Swiss bank UBS, has been selected as a Young Global Leader (YGL) 2012 by the World Economic Forum (WEF).

Every year, the WEF recognizes up to 200 distinguished young leaders below the age of 40 from around the world. The Selection Committee, chaired by Queen Rania of Jordan, screened the profiles of thousands of young leaders from every region of the world and from a myriad of disciplines and sectors.

A Public Good Approach to Credit Ratings - From Concept to Reality

A paper by Jin-Chuan Duan (National University of Singapore) and Elisabeth Van Laere (National University of Singapore)

In a forthcoming paper to be published in the Journal of Banking & Finance, RMI director Prof. Jin-Chuan Duan, together with RMI research fellow Dr. Elisabeth Van Laere, suggest a new approach to credit ratings, which is based on the non-profit undertaking by RMI and is premised upon the concept of credit ratings as a public good.

New Staff

Ms Anne Lai transferred from Faculty of Engineering to RMI as the new manager for the Master of Science in Financial Engineering (MFE) program on 26 March 2012. Prior to NUS, Anne has held managerial roles in an investment bank, consulting firms, event management firms and hotels. A native of Taiwan, Anne lived, worked and travelled widely in the U.S. and China. She is now a proud Singaporean and considers the island her permanent home. Anne is a graduate from Boston University and holds a Master's degree from National University of Singapore.

Ms. Jessie Fan joined RMI on 27 March 2012 as a research analyst. Jessie graduated from Olin Business School, Washington University in St. Louis with a Master of Finance degree in December 2011. She received her Bachelor of Financial Management Degree from Zhejiang University in China. During her school years, she worked as an intern at Wells Fargo, Cornerstone Wealth Management and HSBC.


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RMI Joint Seminars

March - April 2012

On 5 April 2012, Dr. Yamazaki Kazutoshi, assistant professor at the Center for the Study of Finance and Insurance at Osaka University, gave a talk on his paper named "Toward a Generalization of the Leland-Toft Optimal Capital Structure Model". The talk was a joint event organized by RMI and the Department of Mathematics. This paper generalized the problem by allowing the values of bankruptcy costs, coupon rates and tax benefits dependent on the firm's asset value.

RMI Research Seminar

23 March 2012

An RMI research seminar saw Prof. Yukio Muromachi, professor of the Graduate School of Social Sciences, Tokyo Metropolitan University, presenting on "Risk Evaluation of A Portfolio Including Forward-looking Stress Events with Probabilities".? Prof. Muromachi and his co-authors proposed a risk evaluation model for a portfolio including stress events with probabilities implied from market data.

Financial Industry Competency Standards (FICS) June Intake
June - November 2012

Workshop in Credit Risk & CVA in Practice
9-10 July 2012

IACPM Pre-conference Workshop
11 July 2012

Sixth Annual Risk Management Conference 2012
12 - 13 July 2012

NUS-Santander Doctorate Workshop in Advanced Financial Risk Management
16 - 20 July 2012


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