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NEWSLETTER
ISSUE 35 | May 2018
FEATURE

RMI Hosts the 3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics

On 12 and 13 May 2018, RMI collaborated with Peking University’s (PKU) HSBC Business School, the Key Laboratory of Mathematical Economics and Quantitative Finance, and Guanghua School of Management and NUS’s Centre for Quantitative Finance to host the Third PKU-NUS Annual International Conference on Quantitative Finance and Economics. The conference took place at PKU’s Beijing campus with over 120 participants, including members from the industry, academia as well as students.

This conference featured a two-day scientific program, which followed the format of an academic conference. The line-up of 37 paper presentations featured topics such as actuarial science, algorithmic trading, computational finance, financial modelling, governance, liquidity and credit risk, as well as macro, micro, and monetary economics among others. The conference organizing and scientific committee consists of program co-chairs, from NUS and PKU, including, Xue Cheng, Yangbo He, Chenxu Li, Lan Wu, and Jingping Yang of PKU Beijing Campus, Min Dai and Steven Kou of NUS, and Chia-Shang Chu, Young Joon Park, Ting Ren and Thomas Sargent of PKU’s HSBC Business School in Shenzhen.

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EVENT BRIEFINGS

RMI Co-hosts the 6th NUS-USPC Workshop on Machine Learning and Fintech

On 18 and 19 April 2018, RMI co-hosted the 6th 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. The conference, held at the Institute of Mathematical Sciences (IMS) at NUS, was attended by over 80 participants from industry and academia.

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. The speakers of this workshop came from various institutions in Europe, Singapore, as well as Australia. Some of the speakers included, Jean-François Chassagneux, Huyên Pham, and Claudio Fontana of University Paris Diderot, France; Min Dai, Steven Kou, Ilija Ilievski, Hao Lei, and Simon Trimborn of NUS, Singapore; Christa Cuchiero of University of Vienna, Austria; Ivan Guo and Gregoire Loeper of Monash University, Australia, Nicolas Langrene of CSIRO, Australia, and Michael Kupper of University of Konstanz, Germany. The organizing committee included professors from both NUS and University Paris Diderot.

RMI Hosted Three Career Events for its MFE Students in March 2018

On 9 March 2018, Murex organized a talk to provide RMI’s MFE students some background into working at the firm as well as what they are looking for in potential candidates. A long-standing NUS MFE employer, the Paris-based technology solutions provider has invited new applications from the students for its various positions across different assets in its Singapore office.

The second recruitment talk was hosted by UBS China on 19 March 2018. The team leads of Shanghai-based APAC Model Risk Management and Control (MRMC) and Quantitative Analytics presented to students insights into the sectors and different opportunities available for fresh graduates.

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IN FOCUS

Interview with Mr. Hoe Lon Leng, Author of Decrypted by Lutfey Siddiqi

Hoe Lon Leng brings a unique perspective - that of a practicing, mainstream trader of foreign exchange and rates, especially in emerging markets - to the mystical world of cryptocurrencies. His book - Decrypted - cuts through the sound and fury that often characterizes this space and gives us a dispassionate framework with which to join the debate. We have been industry colleagues ever since we overlapped at Deutsche Bank in the late 1990s. I thought I’d ask him a few questions:

Let’s get the definitions out of the way. What is the best way to describe (a) blockchain, (b) ICOs and (c) Smart Contracts?

The blockchain is a database of transactions that are distributed in servers all over the world. This database is unique in that anything that is written into it cannot be changed. It was invented to keep a ledger on Bitcoin. I also call it an advanced version of the double entry in accounting systems.

ICO is Initial Coin Offering also known as the token sale. It is a sale of cryptocurrency with the specific purpose of raising funds for a specific business idea outlined in a detailed whitepaper (execution plan).

Smart Contracts are programmed operations which cannot be changed or overwritten. Smart Contracts will take action (or inaction) based on the set of rules that it is entrusted with. A series of smart contracts can form a Decentralized Autonomous Organization (DAO), which is precisely what the name suggests.

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NEW FACES @ RMI

New Staff

Ouyang Chenzi joined RMI on 1 March 2018 as a Research Analyst for the Credit Research Initiative’s Product Management Team. Chenzi completed her Master of Science Degree in Quantitative Finance from NUS, in December 2017, and Bachelor of Science Degree from East China Normal University.

Visitors

Prof. Ulrich Horst visited RMI from 26 February to 23 March 2018. Prof. Horst is Professor of Applied Financial Mathematics at Humboldt University Berlin (HUB). He received his PhD in Mathematics form HUB in 2000. Before he returned to Berlin in the summer of 2007 he was an Assistant Professor at the Department of Mathematics of the University of British Columbia. From July 2007 to June 2011 he was Scientific Director of the Deutsche Bank-sponsored Quantitative Products Laboratory, and from March to August 2015, he was a Fellow at the Center for Interdisciplinary Research (ZIF) in Bielefeld. He was the Head of HUB’s the Mathematics Department for the last five years. His research interests include stochastic optimal control, game theory and financial economics.

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SNAPSHOTS

Pedagogical Lectures
January to February 2018

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Research Seminar & Pedagogical Lectures
6, 19-21 March 2018

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Research Seminar
3 April 2018

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EVENTS

26 July 2018
Twelfth Annual Risk Management Conference
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September 2018
Workshop in Anti-Money Laundering and Model Risk Management
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11 October to 17 November 2018
NUS RMI Specialist Diploma in Operational Risk Management
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25 & 26 October 2018
NUS RMI Enterprise Wide Risk Management Workshop
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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)