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ISSUE 40 | August 2019

RMI Hosts the Thirteenth Instalment of its Hallmark Annual Risk Management Conference

On 25 July 2019, RMI held the Thirteenth Annual Risk Management Conference at Conrad Centennial Singapore. The conference was attended by more than 170 participants and featured discussions on some challenges in applied risk management, systemic risk, managing new financial risks in light of climate change as well as latest scientific research in finance, risk management, economics, and related fields. The conference brought together policy makers, leaders from the industry, regulators, and internationally renowned academics. The one-day conference featured a keynote talk, two policy forum panel discussions, two invited talks and 28 scientific paper presentations.

RMI’s Director and Goh Keng Swee Professor of Economics, Prof. Sun Yeneng welcomed the crowd with a few opening remarks before introducing the distinguished guest and keynote speaker Prof. Dr. Martin Hellwig. Prof. Dr. Martin Hellwig. Prof. Dr. Hellwig has an extensive background in academia and policy making. He is Director Emeritus, Max Planck Institute for Research on Collective Goods and Honorary Foreign Member, American Academy of Arts and Sciences, among others. His talk focused on “Systemic Risk, Macro Shocks, and Macro-Prudential Policies.” Prof. Dr. Hellwig’s talk garnered overwhelming interest from the audience and one participant commented, “the keynote lecture on systemic risk was extremely topical and expansively covered macro-level issues.”

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RMI Hosts Research Seminars by Two Distinguished Visitors

On 11 June 2019, RMI organized a research seminar on “New Opportunities in Mathematical Finance and Economics from the Application of Machine Learning and Alternative Data” by Prof. E Weinan, Professor of Mathematics at Princeton University. During his seminar Prof. E stated that there is a huge gap between partial differential equation (PDE) modelling and computational algorithms. He followed this up by delving into his research solving high dimensional Black-Scholes type of equations using deep learning, as machine learning/data analysis also face “curse of dimensionality”. He also presented on using alternative data and new machine learning methods to better analyze and predict the state of the economy.

Prof. E is currently a professor in the Department of Mathematics and the Program in Applied and Computational Mathematics at Princeton University. He received his PhD from the University of California, Los Angeles in 1989, after which he held positions at the Institute for Advanced Study at Princeton and New York University before joining Princeton University as a full professor in 1999. Among various other awards, he has received the prestigious Collatz Prize in 2003 and Peter Henrici Prize in 2019; both prizes are awarded by the International Council for Industrial and Applied Mathematics once in four years.

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In Focus

MFE Alumni Interview

Lynn Ng, a graduate of the pioneer cohort of the MFE program, joined ING in 2007 and is currently responsible for ING’s Commodities, Food and Agri sectors globally. She works actively with her global teams spread across Europe, Americas and Asia Pacific, to provide financial solutions for the Commodities Value Chain, i.e. the producers, and processors of Metals, Minerals, Food & Agri, including the traders of all commodities (Energy, Metals, Minerals and Agri).

Lynn started her career as a management trainee with Standard Chartered Bank, before joining the commodity finance sector, working in international commodity banks like Rabobank and Fortis. A Bachelor of Business Administration (Honours) graduate from the National University of Singapore, with Dean’s Distinction, Lynn went on to study her Masters of Science in Financial Engineering from the same university, from 1999 to 2001.

What motivated you to pursue a Master’s Degree in Financial Engineering?

I wanted to do a postgraduate degree that would differentiate myself from the peers (most of whom went for an MBA), and financial derivatives was a fairly new field at the time. I had wanted to learn more about this, to see if it was something that could be used to help my corporate clients manage/mitigate their risks.

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New Staff

On 1 July, RMI welcomes the onboarding of two NUS faculty members, under its new joint appointment scheme to promote interdisciplinary research, Associate Professor Chen Ying of Department of Mathematics, and Assistant Professor Pyun Sungjune of Department of Finance.

A/P Chen is a financial statistician and data scientist. She develops statistical modelling and machine learning methods to analyze nonstationary, high frequency and large dimensional complex data such as cryptocurrency, limit order book, and renewable energy.

Distinguished Visitors

Prof. E Weinan, a Finance and Risk Management Cluster (FRMC) Interdisciplinary Speaker at NUS, visited RMI on 11 June 2019. Prof. E received his PhD from UCLA in 1989. After being a visiting member at the Courant Institute of New York University (NYU) and the Institute for Advanced Study at Princeton, he joined the faculty at NYU in 1994. He is now a Professor of Mathematics at Princeton University, a position he has held since 1999.

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NUS RMI Customized Program for China Export Credit Insurance Company

12 to 17 May 2019

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MFE Commencement and Graduation Dinner

18 and 19 July 2019

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IMS Program on Quantitative Finance Workshop 1: Stochastic Control in Finance

22 to 26 July 2019

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26 to 30 August 2019
IMS Program on Quantitative Finance Workshop 3: Asset Pricing and Risk Management
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1 October 2019 to 15 March 2020
Application for the Master of Science in Financial Engineering Program - August 2020 Intake
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12 Oct to 18 Nov 2019
IBF Standards Certificate in Operational Risk Management Level 1
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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (