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  Issue 16 | Archive August 2013

RMI Research Seminar
3 June 2013

On 3 June, Dr. Jung-Soon Hyun, assistant professor of finance at the Korea Advanced Institute of Science and Technology gave a talk on ¡°The Pricing of Default Contagion: Evidence from the CDS Market¡± at RMI¡¯s Research Seminar. She studied the empirical evidence on credit contagion in the U.S. credit default swap (CDS) market. To investigate both intra- and cross-industry credit contagion effect embedded in CDS spreads, she and her co-author constructed ¡°hypothetical' industry-wide credit portfolios using extensive cross-sectional corporate CDS data. They found that the systemic credit risk of the financial sector sharply increases during the financial crisis and is substantially contagious to non-financial sectors. They also claimed that most of the large increases in CDS spreads in non-financial sectors were due to the contagious systemic credit risk, which confirms that CDS market participants request extra premiums to compensate contagion risk from financial institutions.

Dr. Hyun received her Ph.D. in mathematics from the University of Rochester and had been working on risk management of Korean banking system at the Financial Engineering Research Center. She has published papers on topics such as scattering theory, financial derivatives, and stability of the banking industry.

RMI Co-organizes the 2013 SoFiE Annual Conference
12 ¨C 14 June 2013

RMI, in collaboration with the Sim Kee Boon Institute for Financial Economics at the Singapore Management University (SMU), hosted the Sixth Annual Society for Financial Econometrics (SoFiE) Conference at the SMU campus from 12 to 14 June.

RMI¡¯s Director, Prof. Duan Jin-Chuan acted as one of the two local organisers. Dr. Oliver Chen, RMI¡¯s Deputy Director, Education & Industry Relations, gave a presentation entitled ¡°Why banks disappear: a forward intensity model for default and distressed exits¡± on the first day of the conference. His co-author on this paper is Dr. Elisabeth Van Laere, a research fellow at RMI.

SoFiE is a global network of academics and practitioners dedicated to sharing research and ideas in the fast-growing field of financial econometrics. It is an independent non-profit membership organization currently housed at New York University. Aiming to encourage the dialogue between financial econometricians around the globe and local practitioners from industry, the SoFiE annual meetings rotate among three contingents, America, Europe and Asia.

The MFE Class of 2013
14 July 2013

On 14 July 2013, 90 graduates were conferred the Master of Science in Financial Engineering (MFE) degree. RMI had the pleasure of hosting some of the graduates and their families at a luncheon held in the Shaw Foundation Alumni House prior to the commencement ceremony. This event is a rare chance for students from all modes of study to meet. A distance learning student, Jeannie Wong from Kuala Lumpur, made sure the occasion was particularly memorable by bringing her guests from home to Singapore for this celebration. These graduates will join the network of over 600 MFE alumni.

The companies which these graduates are currently working for include Microsoft, Monetary Authority of Singapore, SGX, Barclays, ANZ Bank, Bank of China, UBS and GIC.

Call for Projects

In the "Credit Analytics Practicum", one of the newest modules in the MFE program, students need to work on real-world problems in quantitative credit analysis. Given the unique nature of this module, students that choose this will be highly motivated to develop their practical and research skills.

The MFE program is looking for companies which would like to participate in this unique collaboration. This in-company project will offer the company the opportunity to carry out an exploratory project. Through the project, the company can capitalise on the knowledge, skills and experience the MFE students have acquired during their previous modules. To find out more, please contact the module coordinator Dr. Elisabeth van Laere (evanlaere@nus.edu.sg).

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