HOME Recent Events RMI in the News Notable Recognition ALUMNI
  Issue 29 | Archive November 2016

Workshop in Anti-Money Laundering and Model Risk Management
22 & 23 August 2016

On 22 and 23 August 2016, RMI conducted a workshop in Anti-Money Laundering (AML) and Model Risk Management taught by Dr. Yimin Yang, Director of Protiviti Inc. USA. This unique two-day training course equipped the attendees with current fundamentals and regulations on the developments within the AML space in Singapore. It also provided insights into systems and statistical analysis and evaluation process that involve quantitative assessment and models within the monitoring systems to cover potential money laundering scenarios and to detect suspicious transactions.

Day one of the workshop focused on the fundamentals and regulations of AML covering topics such as basic concepts of AML and countering the financing of terrorism, overview of laws and regulations, financial institutions and risk assessment, and special businesses and institutions, whereas day two covered content on systems and model risk management, AML technology and system, and AML system validation and statistical analysis. The delegates who attended the workshop were industry professionals with a minimum three years of experience in AML, compliance, and risk management.

RMI Research Seminars
August & October 2016

RMI conducted a research seminar in August and two in October. On 15 August 2016, Prof. Kuldeep Kumar of Bond University, gave a talk on, ¡°Bankruptcy Prediction and Fraud Detection Using Cutting Edge Recursive Partitioning Techniques.¡± The talk discussed some of the cutting edge recursive partitioning techniques to predict financial distress, as the financial and economic downturn has triggered a rise in fraudulent activity in the corporate world. The models developed in his research can automatically classify financial statements as fraudulent or legitimate, along with being ranked according to their likelihood of being fraudulent. He stated that these models could help business, which relies heavily on the accuracy of financial statements, by improving early detection and mitigating cost of fraud.

A second seminar titled, ¡°Optimal Portfolio Trading and Limit Order Book¡± was hosted by Dr. Chen Jingnan of Singapore University of Technology and Design (SUTD). She discussed her study which focused on two portfolio trading problems. First was the order placement problem, where the objective is to execute an order at the minimal cost and risk and to address this issue, she and her co-authors have proposed a dynamic program to find the optimal strategy for risk-neutral and risk-inverse traders. Secondly, they included cross-asset price impact in addition to direct price impact in their model setup to respond to the deleveraging problem and to meet leverage requirements with the minimal equity sacrifice.

The last research seminar conducted by A/P Amrit Judge of Nottingham University Business School, was titled, ¡°The Effects of Derivative Use on the Probability of Financial Distress: Are Firms Using Derivatives for Hedging or Speculation?¡± During the seminar he gave the audience an overview of his research into the effects of derivative use on the probability of financial distress using a large sample of UK non-financial firms during 1999-2010. Their results showed that use of derivatives is associated with a reduction in the probability of default for our sample firms. They also found that interest rate derivative use has a greater impact on the probability of default than foreign currency derivative use.

Pedagogical Lectures
2 to 4 November 2016

Prof. Dr. Paul Embrechts, conducted three pedagogical lectures on 2, 3, and 4 November 2016 for a group of 25 participants on each day. The first lecture on 2 November titled, ¡°An Extreme Value Approach for Modelling Operational Risk Losses Depending on Covariates¡± was based on his joint work with Valerie Chavez-Demoulin (EPF Lausanne) and Marius Hofert (University of Waterloo). He discussed the use of data matrix to model operational risk losses and use of particular risk measures for statistical estimation, by banks and insurances companies. He used this operational risk example to discuss the dynamic extreme value theory (EVT) proposed in their research and argued the methodology is applicable well beyond this example.

The second lecture on 3 November, ¡°Model Risk, Solvency, and Risk Aggregation,¡± was referenced from a book Dr. Embrechts published in collaboration with Alexander J. McNeil and R¨¹diger Frey, titled ¡°Quantitative Risk Management: Concepts, Techniques, and Tools.¡± In this talk he focused on dependence uncertainty and quantifying model risk (MR) from that point of view.

On 4 November, Prof. Embrechts conducted the final lecture on, ¡°Hawkes Graphs: The Analysis of Large Multitype Event Streams,¡± based on his joint research work with Matthias Kirchner (ETH Zurich). He demonstrated how graph-theoretic vocabulary is very convenient for the discussion of multivariate Hawkes processes, paying special attention to computational issues during implementation.

Back To Newsletter

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