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  Issue 15 | Archive May 2013

Availability of CRI’s CVI Data
March 2013

Starting in March 2013, the Corporate Vulnerability Index (CVI) data from RMI’s Credit Research Initiative has been carried by two different third party data providers, namely, Bloomberg and Russia-based Cbonds.

Bloomberg Terminal users can access RMI CVI data by typing RMII <GO>. Separately, Cbonds, a Russian financial information site specializing in fixed income markets, announced on 20 March the start of their publication of RMI CVI data. They believe that as the CVIs are stress indicators, the development of derivative instruments (futures, swaps, options) based on CVIs could possibly be used for crisis hedging. Cbonds subscribers can access the CVI data at http://em.cbonds.com/indexes/banks/

RMI Research Seminar
12 April 2013

On 12 April, Professor Eckhard Platen, Chair in Quantitative Finance at the University of Technology Sydney, presented his paper entitled “Approximating the Numeraire Portfolio for Investing, Pricing and Hedging” at RMI’s Research Seminar.

Together with his co-author, he proposed an alternate approach to portfolio optimization. The use of naive diversification allows them to approximate the numeraire portfolio (NP). The NP is the “best” performing portfolio in the sense that it is the strictly positive portfolio that, when used as benchmark, makes all benchmarked nonnegative portfolios to be supermartingales. He then employed proxies of the NP for pricing long dated derivatives under the benchmark approach.

Prof. Platen is the incoming President of the Bachelier Finance Society, the professional organization for Mathematical Finance and Quantitative Finance. He has a PhD in Mathematics from the Technical University in Dresden and obtained his Dr Sc from the Academy of Sciences in Berlin, where he was heading the Sector of Stochastics at the Weierstrass Institute.

RMI Co-organizes Workshop with NVIDIA
23 April 2013

On 23 April, RMI co-organized the GPU Technology Workshop Singapore 2013 with NVIDIA, a visual computing solution provider which has expanded into super-, mobile and cloud computing. At the workshop which targeted quantitative analysis professionals, IT managers, researchers and developers in the finance industry, Dr. Oliver Chen, RMI’s Deputy Director in Education & Industry Relations gave a presentation.

Drawing from his and RMI’s experiences in adopting GPU computing in the Credit Research Initiative, Dr. Chen spoke on "GPU Computing for Research and Operations in Finance" in the afternoon session to a group of 120 participants.

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