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NEWSLETTER
ISSUE 34 | February 2018
FEATURE

RMI Hosts a Research Symposium on Quantitative Risk Management

On 16 January 2018, RMI hosted a one-day research symposium on quantitative risk management featuring three world-leading experts in the field, Prof. Halil Soner, Professor of Mathematics at ETH Zurich, Prof. Masaaki Kijima, Professor of Finance at Tokyo Metropolitan University, and Prof. Nizar Touzi, Professor of Applied Mathematics at École Polytechnique. The talk has attracted a total of 48 attendees from both industry and academia, for them to get updated about latest research results as well as engage in discussions on such topics.

The Symposium was opened by a talk on “Hedging Leverage ETF” by Prof. Soner of Swiss Federal Institute of Technology in Zurich (ETH Zurich). He informed the audience that Leveraged Exchange Traded Fund (ETF) is a recent financial instrument rapidly gaining large market size. While these funds promise to provide a certain multiple of the daily return of the underlying ETF, the matching for this type of fund is done daily and is very different from matching in the long term. Due to this nature of the leveraged ETF, one needs to make large portfolio movements at the end of each day. Prof. Soner, who also holds a Senior Chair at the Swiss Finance Institute, pointed out that this proves costly due to transaction costs, front-running, and other reasons. He said that he and his fellow researchers also observed that despite the promise there is slight slippage in the return of the leveraged ETFs. Hence they propose a model taking into account these frictions and provide hedging strategies which do not require large portfolio movements.

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EVENT BRIEFINGS

RMI Co-hosts the 5th NUS-USPC Workshop on Machine Learning and Fintech

On 29 and 30 November 2017, RMI co-hosted the 5th NUS-USPC Workshop on Machine Learning and Fintech with Laboratoire de Probabilités, et Modèles Aléatoires at University Paris Diderot/Sorbonne Paris Cité and the Centre for Quantitative Finance (CQF) at NUS.

This workshop featured an overview of recent advances in machine learning and innovations in financial technology by experts, academics, and practitioners in fields such as finance, numerics, statistics and engineering/computer science.

Prof. Zhou Xunyu Speaks About Behavior Finance at RMI

On 9 January 2018, RMI hosted a research seminar by Prof. Zhou Xunyu, Liu Family Professor of Financial Engineering at Columbia University, titled “Investment and Behaviors.” According to Prof. Zhou, the key to be successful in financial investment is to understand what investment is about, to understand ourselves and to understand others. Prof. Zhou talk followed this sequences, as he explored the ways to achieve these understandings in the frameworks of both neoclassical and behavioral finance theories.

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IN FOCUS

MFE Alumni Interview

For this issue of the newsletter we asked Mr. Liew Hann Yeu (Henry), who graduated from the NUS Master of Science in Financial Engineering (MFE) Program in 2014, some questions relating to his experience with the NUS MFE, career advice in financial services industry, and more.

Mr. Liew is a finance professional with 15 years of working experience in market risk and analytics, research and development and systems development.

Currently, he is a Senior Manager, Regional (Asia Pacific) Business Analytics with HSBC, Commercial Bank. He is leading the information visualization, innovation, research and development in advance analytics (machine learning, modelling) capability to support senior management’s strategy, financial performance monitoring and identification of business opportunities.

Previously, he worked as regional market risk team leader in both trading and banking book, responsible for middle to large scale market risk, risk systems development, and projects related to profitability optimization, risk control and governance in Consumer Bank, Wholesale Bank and Private Bank.

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NEW FACES @ RMI

New Staff

Adeel Siddiqui joined RMI on 4 December 2017, as a Research Analyst. Adeel is a software developer with previous work experience at IBM India. He has a Bachelor's Degree in Electronics and Communication Engineering from Narula Institute of Technology. His interests are statistics, programming, and travelling.

Visitors

Dr. Song Yingda visited RMI from 3 to 22 January 2018. Dr. Song is currently an Assistant Professor at Antai College of Economics and Management, Shanghai Jiao Tong University, China. He received his PhD from Hong Kong University of Science and Technology in 2013. His research interests include stochastic modelling, applied probability and financial engineering.

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SNAPSHOTS

RMI Hosts an Industry Talk for NUS MFE Students
3 November 2017

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MFE Information Session
11 January 2018

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FRM® Certification Training Program – January Intake
January 2018

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EVENTS

12 March to 17 May 2018
NUS RMI Specialist Diploma in Credit Risk Management – Corporate Banking
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24 & 25 April 2018
NUS RMI Workshop on Practical Applications of Options Risk Management Strategies
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10 May to 16 June 2018
NUS RMI Specialist Diploma in Operational Risk Management
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12 & 13 May 2018
3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics
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25 May to 6 October 2018
Financial Risk Manager (FRM®)Certification Training Program 2018 May Intake
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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)