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  Issue 24 | Archive August 2015

RMI Opens the Risk Management & Quantitative Finance Center in Suzhou

On 15 May 2015, the Risk Management & Quantitative Finance Centre, a collaboration between RMI and the NUS Centre of Quantitative Finance (CQF), was officially opened in NUS (Suzhou) Research Institute.

Prof. Dai Min, RMI Deputy Director (Industry Relations) and CQF Director, was appointed the Director for this Center. ¡°Leveraging on the growing financial market in China, the mandate of this Center is to promote international exchange, training, and research on risk management and quantitative finance in China,¡± says Prof. Dai.

In conjunction with the opening, on 15 and 16 May, the Center and Suzhou Education Development Investment successfully held the Forum in Risk Management and Quantitative Finance. The aim of the forum was to feature the latest development on the issues of financial risk management, derivative instruments, high frequency trading, financial innovation, and future challenges and trends in finance. This forum was also to provide a platform for both academic researchers and financial practitioners to enhance existing connections and foster new collaborations.

Prof. Dai Min made the opening speech followed by plenary talks by Prof. Steven Kou, RMI Director, Mr. Pak Yue Hong, Managing Director and Chief Risk Officer of DBS Bank, Dr. Cui Wei, Managing Director, Market Department II of China Foreign Exchange Trading System & National Interbank Funding Centre, and Dr. Gong Donggeng, CEO of Shanghai MQT Investments LLC. Over 180 delegates from local banks and financial institutions attended the forum with very positive feedback.

Brian Lo of DBS Talks Market Risk Management with MFE Students

On 14 July 2015, RMI hosted a talk by Dr. Brian Lo, Managing Director and Head of Market and Liquidity Risk, Risk Management at DBS, for its students and alumni of the Master of Science in Financial Engineering (MFE) Program. The talk titled, ¡°Market Risk Management for Last Two Decades and New Challenges,¡± kick-started with Dr. Lo giving a brief history of market risk management.

Over 40 MFE students and alumni attended the talk, to gain a better understanding of how the regulatory scene has evolved over the last two decades and especially in the light of the financial crisis. Dr. Lo explained that while market risk measurement is thought to be standardized, the value-at-risk metrics based Pillar 1 capital model was insufficient during the global financial crisis of 2008. He first charted the evolution of regulatory standards before diving into the methodology, modelling, and infrastructure involved in regulation and how it has changed over the years. He concluded his talk by summarizing the impacts of regulatory and industry developments on market risk modelling for banks. He noted that there is a new regulatory proposal around the corner that would highly impact banks¡¯ business strategy and behavior.

A Mathematics PhD from the Penn State University, Dr. Lo leads his team to support the framework, policy, risk methodology, and risk model development for the DBS Group. Before Joining DBS, he has worked with BNP Paribas as well as Citibank in regional market risk and quantitative analytics role.

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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)