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  Issue 20 | Archive August 2014

RMI Welcomes Prof. Steven Kou as New Director and Thanks Prof. Duan Jin-Chuan

From 1 July 2014, Prof. Steven Kou has assumed Directorship of the RMI. Formerly from Columbia University’s Department of Industrial Engineering and Operations Research, Prof. Kou joined NUS as a Professor in Mathematics and Provost’s Chair in 2013. He also acted as the Director of the Centre for Quantitative Finance, Faculty of Science from 2013 to 2014. Recognised internationally as one of the best in the research areas of financial mathematics/engineering, Prof. Kou’s most important works are on modelling jumps in asset pricing for equity, credit and fixed income markets and pricing of path-dependent options. His scholarly achievements have been recognised by the scientific community, as demonstrated by his receipt of the Erlang Prize (2002) from INFORMS, the leading association for professionals in the fields of analytics, management science and operations research. Prof. Kou is currently also serving in the editorial boards of several top journals in his field, including Mathematical Finance, Mathematics of Operations Research, Advances in Applied Probability, and Journal of Business and Economic Statistics.

RMI would also like to place on record our deep appreciation and thanks to Prof. Duan Jin-Chuan who, as Director of the RMI over the past 7 years, has developed RMI into a financial risk research institute which is recognised globally for the excellence of its work. In particular, RMI’s Credit Research Initiative (CRI), which publishes model-derived default probabilities of tens of thousands of firms each day, has attracted much interest not only with from industry but also from both local and international academics.

RMI Collaborates with Banco Santander on Doctorate Workshop

The third annual workshop in Advanced Financial Risk Management was conducted from 14 to 18 July. This completes the series of three workshops financially supported by Banco Santander, Spain¡¯s largest lender.

This year, the workshop focused on the theme of “Term Structure Models and Applications”, aiming to offer cutting-edge knowledge on selected research topics of interest in risk management to doctoral students, academic researchers and quantitative analysts working in industry. The workshop was led by renowned professors and practitioner including A/P Robert Kimmel from the National University of Singapore, Prof. Li Haitao of the Cheung Kong Graduate School of Business and Dr. John Dai of Braid Capital.

The workshop was attended by 45 participants and about 70% of them were overseas participants from China, Japan, Korea, Hong Kong, India, Russia, Taiwan, U.K. and U.S.

A workshop dinner was arranged in the middle of the week for interaction and networking among participants and speakers. RMI Director Prof. Steven Kou welcomed the participants. Mr. Crispin Hugh Allan Wilson, Managing Director of Singapore branch of Banco Santander, also talked briefly about the bank and the various programmes it supports. A luncheon talk was also arranged on the third lecture day, when the RMI-CRI was introduced to the participants.

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