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  Issue 16 | Archive August 2013

Nobel Laureate Professor Robert F. Engle Speaks at RMI Public Lecture

On the afternoon of 11 June, RMI hosted a public lecture entitled ¡°Monitoring Systemic Risk with V-LAB¡±, featuring speaker Nobel Laureate Prof. Robert F. Engle, Michael Armellino Professor of Management and Financial Services at New York University's Stern School of Business. The talk was well attended by nearly 270 participants, both from academia and industry.

In his talk, Prof. Engle shared details about the Volatility Laboratory or V-LAB, hosted by the Volatility Institute at the New York University. Calculating volatilities and correlations every day on a wide range of assets using various methods, it produces volatility forecasts up to a year in advance. He pointed out that with V-LAB, contemporary research on risk and volatility is extended to a new platform.

He then demonstrated V-LAB by looking at some of the important financial events in recent weeks and drew implications about the effectiveness of risk measures to anticipate financial crises. He mentioned that a specific feature of V-LAB is the systemic risk measure, SRISK. This statistic is designed to measure the number of dollars a financial firm would need to raise in capital in order to function normally if we have another financial crisis. This measure is computed for firms, countries and the whole global economy. He also examined recent trends in systemic risk based on this measure.

Participants found the talk to be very informative and welcomed the introduction of V-LAB collection of tools to measure risk.

RMI Collaborates with Banco Santander on Doctorate Workshop

For the second year, RMI conducted the week-long workshop in Advanced Financial Risk Management from 15 to 19 July, with the financial support from Spain¡¯s biggest lender, Banco Santander.

The theme of this year's workshop was "Credit Risk Models and Applications", and was led by credit risk modeling experts: Prof. Liuren Wu of City University of New York, Dr. Jeffrey Bohn, Head of the Risk and Regulatory Practice within the Financial Services Consulting, PricewaterhouseCoopers Japan KK, Dr. Antje Berndt of Carnegie Mellon University and RMI¡¯s Director Prof. Duan Jin-Chuan.

Topics included structural and reduced-form credit risk models and defaultable bond pricing; global financial regulatory changes and its impact on capital, liquidity and portfolio management; distance-to-default ¨C concept and estimation; empirical analysis of CDS, and top-down vs. bottom-up credit portfolio analysis; and econometrics of default/bankruptcy prediction. On behalf of Banco Santander, Mr. Crispin H.A. Wilson also addressed the workshop participants.

A group of 48 international delegates attended the workshop, both from Singapore and overseas. RMI also organized a briefing on the RMI Database for Credit Research and its Applications¡± for delegates to gain understanding of RMI¡¯s research. A workshop lunch was also arranged in the middle of the week to encourage interaction and networking.

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