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  Issue 14 | Archive Feb 2013

RMI’s Credit Research Initiative’s Coverage Expanded to 106 Economies

On 4 December 2012, RMI’s Credit Research Initiative (CRI) achieved yet another milestone by expanding its coverage from 46 to 106 economies globally. Results are provided for a total of 60,400 listed firms (including firms that are now delisted), up from 53,000. More than even before, the CRI now provides a credit benchmark for markets that other prominent credit information providers give only limited coverage to.

Regions being covered include Asia Pacific, North America, Europe, Latin America, the Middle East and Africa. Some of the newly added countries are Bahrain, Bulgaria, Croatia, Czech Republic, Egypt, Hungary, Israel, Jordan, Kazakhstan, Kuwait, Latvia, Lithuania, Macedonia, Morocco, Nigeria, Pakistan, Poland, Romania, Russia, Saudi Arabia, South Africa, Sri Lanka, Turkey, Ukraine and United Arab Emirates.

RMI Holds Two MFE Program Admission Briefings

RMI’s MFE team hosted two briefings, one on 20 November 2012 and the other on 29 January 2013. The first was held on-campus and the second in Singapore’s CBD. Prof. Andrew Lim, MFE Program Director, gave a comprehensive presentation on the program. He spoke about the purpose of the program, its curriculum structure and the student profiles. Recent alumni Alicia Ling (MAS), Chin Kah Shin (UOB), Keri Neo (SGX) and Nicholas Zhou (CapitaLand) shared with the audience on their MFE experiences. Charles Brown (Math Finance Asia) gave an overview of what he lectures on and the relevance of the material to those working in the financial industry. Nearly 80 potential candidates, comprising of final-year undergraduates, financial industry professionals and working adults seeking to upgrade themselves attended the events. For the first time, a webcast of the first briefing session was made available to those who were unable to attend in person.

Is Policy Instability Priced in International Equity Markets?

A paper by Lam Swee Sum (National University of Singapore) and Weina Zhang (National University of Singapore)

RMI affiliated researcher Dr. Weina Zhang, in collaboration with her co-author A/P Lam Swee Sum, both from the Department of Finance at the National University of Singapore, test whether policy instability is priced in international equity markets. Policy instability refers to a non-zero probability that existing policies may be changed. Using a recent empirical measure of policy instability from Baker, Bloom and Davis (2011) that counts the total number of policy changes in the U.S., they find that this is only significantly priced in U.S. returns. It has little explanatory power for international data. The insignificance of the policy instability measure has two explanations. First, policy instability does not matter with the exception of the U.S. Secondly, the empirical construct is inadequate in an international setting. They evaluate the latter explanation and find support for the view.

New Staff

Prof. Andrew Lim has been appointed RMI’s Master of Science in Financial Engineering (MFE) Program Director since 5 November 2012. Prof. Lim has a joint appointment at RMI, with his primary appointment as a Professor at NUS Business School in the Decision Sciences Department and the Finance Department. Previously, Prof. Lim was an Associate Professor in Industrial Engineering & Operations Research at University of California, Berkeley. His research covers stochastic control, optimization and their applications in finance and operations research. He has published extensively, including articles in Mathematical Finance, Operations Research and Management Science. He is a kettlebell enthusiast and will happily tell you what a kettlebell is.

Dr. Hongbiao Zhao joined RMI as a Research Fellow on 12 November 2012. Dr. Zhao completed his PhD in Statistics (Mathematical Finance) from the London School of Economics in October 2012. Prior to his PhD, Hongbiao received his Master of Science with distinction in Financial Mathematics from Warwick Business School in 2007, and worked on portfolio credit risk modeling as a quantitative investment analyst in the Investment Strategy Group of Paternoster (later acquired by Goldman Sachs) from 2007 to 2008 in London. His research interests lie in mathematical finance, including contagion risk in banking, finance, insurance and economics, dependence structure modeling via copulas and point processes with contagion. In the area of portfolio credit risk management and strategy, he has studied pricing, hedging, rating, the interaction of market and credit risk, and economic capital. His hobbies include calligraphy, travelling, photography, badminton and table tennis.


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RMI Joint Seminar

November C December 2012

RMI jointly organized two research seminars with the Department of Finance and the Department of Accounting at NUS Business School, on 20 November and 7 December 2012 respectively.

On 20 November, Prof. Federico M. Bandi, a Professor of Economics and Finance at Carey Business School, Johns Hopkins University, introduced attendees to a novel stochastic quantity, named excess idle time, to measure the extent of sluggishness in observed high-frequency financial data.

RMI Research Seminars

November – December 2012

On 25 November 2012, Prof. Takeaki Kariya of the Graduate School of Global Business, Meiji University gave his research seminar entitled “Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities”. Prof. Kariya and his co-authors proposed a measure of credit risk price spread for each corporate bond (CB) relative to a government bond equivalent CB price. They derived the term structures of default probabilities for some cluster groups and Fixed Interval Rating groups and some individual firms via the Kariya (2012) model, where the industry factor was also considered.

RMI Launches FRM® Certification Training Program

January 2013

In response to the educational needs of industry professionals who are planning to take the FRM® exam, RMI launched a specially designed training program in January 2013.

The course, closely mapped to the comprehensive FRM? two-part exam curriculum, consists of four modules. It started from 4 January and will end on 11 May 2013, making the course timely for the upcoming examinees who will sit for the exam on 18 May. Targeting working professionals, the classes are held on Saturday mornings and can be taken on a modular basis.

PRMTM Certification Training Program
23 Mar to 3 Aug 2013

Seventh Annual Risk Management Conference
11 – 12 July 2013

NUS-Santander Doctorate Workshop in Advanced Financial Risk Management
15 - 19 July 2013


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