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  Issue 28 | Archive August 2016

RMI Hosts Its Tenth Annual Risk Management Conference

The Tenth Annual Risk Management Conference took place from 26 to 27 July 2016, marking a decade of RMI successfully hosting such an international forum. The first day of the conference was held at Conrad Centennial Singapore before moving to its home ground NUSS Kent Ridge Guild House. The conference was attended by more than 150 participants and featured discussions on some practical and regulatory challenges in risk management as well as latest scientific researches. The conference brought together policy makers, leaders from the industry, regulators, and internationally renowned academics.

RMI¡¯s Director and Class of ¡¯62 Professor of Mathematics, Prof. Steven Kou, opened the conference and welcomed all the speakers and guests. The morning of the first day of conference featured the Policy Forum, an industry focused part of the conference with panel discussions and this was followed by a one-and a half-day of Scientific Program which focused on academic research presentations on recent theoretical developments, analytical techniques, and empirical findings in the field of risk management.

The agenda for the first day on Tuesday 26 July 2016 commenced with the regulatory panel which discussed ¡°The Evolution of the Basel Regulatory Landscape: Are We Back to Where We Started?¡± Chaired by Mr. Frankie Phua, Managing Director and Head of Credit & Country Risk Management at UOB, the panel invited a mix of bankers and regulators to provide a more holistic view on the Basel landscape. The panelists included Mr. Noel D¡¯Cruz, Head of Risk Portfolio Management at OCBC, Mr. Lim Tuang Lee, Executive Director, Prudential Policy Department at the Monetary Authority of Singapore (MAS), Dr. Brian Lo, Managing Director and Head of Markets & Liquidity Risk at DBS, and Dr. Ilhyock Shim, Principal Economist at the Bank of International Settlements (BIS). The panel mulled over issues of fundamental review of the trading book, RWA compatibility and variability, and the future of internal risk models and modelers among others.

After a short coffee break, the day progressed onto the second panel, which shifted focus on the ¡°Practical Challenges in Risk Management¡±. Chaired by Ms. Suprita Vohra, Director, Risk Solutions Group (Asia Pacific) at Barclays, the panel featured Mr. David Dredge, Chief Investment Officer at City Financial Investment Company Pte Ltd, Mr. Eric Li, Managing Director, Emerging Market Macro Trading at UBS, Mr. Bernhard Steiner, Asia Pacific Chief Risk Officer & Asia Pacific Credit Risk Management Executive at Bank of America Merrill Lynch, and Dr. Dennis Wu, Director, Department of Fundamental Theories at GOSS Institute of Research Management. Ms. Vohra guided the discussion into the impact of Chinese market volatility, uncertainty around the US Federal Reserve, geo-political risks and their impact, fluctuations in market liquidity and challenges due to a wider macro investing environment.

The International Association of Credit Portfolio Managers (IACPM), co-hosted the last two sessions of Policy Forum. The first session featured a talk by Dr. Jeffrey Bohn, Chief Science Officer and Head of GX Labs at State Street Global Exchange. He discussed the data science and new tools of data management and analysis, highlighting technology and analytics trends, integrating asset classes and risk types, data visualization, and aggregating data among other points. The talk was followed by the panel discussion which featured Mr. Lawrence Antioch, Managing Director and Head of Group Portfolio Analytics, DBS and Mr. Steven Lim, Partner at PwC. This session titled ¡°Measuring Expected Credit Loss of Financial Institutions¡± was chaired by Dr. Davide Crippa, Global Head of Risk Measurement at Standard Chartered Bank.

After lunch Prof. Jianqing Fan, Frederick L. Moore '18 Professor of Finance and Professor of Statistics at Princeton University kicked off the Scientific Program with his plenary talk on ¡°Robust Measures of Earnings Surprises¡±. The first day of the conference closed off with two sessions of paper presentations under two simultaneous tracks; one on Asset Pricing Models and the other on Liquidity and Risk.

The second day of the conference on 27 July 2016 was a full-day Scientific Program at the NUSS Kent Ridge Guild House and was kick-started by the another plenary speaker Prof. David Hirshleifer, Professor of Finance and Paul Merage Chair in Business Growth at University of California, Irvine, who gave a talk titled, ¡°Do People Manage Risk, or Does Risk Manage People.¡± After the talk, the conference broke into two tracks to zero in on various research areas. The papers presented on the second day were from the following areas of study: Portfolio Selection, Credit Risk ¨C Sovereign and Financial Sector, Empirical Asset Pricing, Credit Risk ¨C Modelling and Management, Corporate Finance, and Liquidity and Price Discovery.

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