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NEWSLETTER

ISSUE 40 | August 2019
NEW FACES @ RMI

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. She also works on business intelligence, forecasting, text mining and sentiment analysis, and network analysis. A/P Chen is Associate Editor of Statistica Sinica (August 1, 2017 to July 31, 2020), Statistics and Its Interface, Computational Statistics and the Journal Operations Research and Decisions. She is ISI Elected Member since March 2016. She is Scientific Secretary and member of Executive Committee of the International Association for Statistical Computing (IASC) from July 2017 to June 2019 and Board of Director ordinary member of the Asian Regional Section (ARS) of IASC. She is a regular member of the Advisory Board of Institute of Statistical Mathematics, Japan from 1 April 2018 to 31 March 2020.

Dr. Pyun received his PhD in Finance at the University of Southern California. His research interest is in empirical asset pricing; in particular, he is interested in stock return predictability, volatility risk and option pricing, international finance, and financial econometrics. He has taught business finance, investment and portfolio analysis, and financial risk management at USC Marshall School of Business and NUS Business School.

Sinta Yowendra joined RMI as a Senior Executive starting on 25 July 2019. Sinta graduated from NTU with a Bachelor of Arts in Chinese and was previously a marketing executive in a publishing company. She enjoys reading and jogging during her free time.

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. Prof. E's work centers around multi-scale modeling and machine learning. Most recently, he has been working on integrating machine learning and physical modeling to solve problems in traditional areas of science and engineering, such as molecular dynamics, PDEs, control theory, etc. Prof. E is the recipient of the SIAM R. E. Kleinman Prize, von Karman Prize and the ICIAM Collatz Prize. He is a member of the Chinese Academy of Sciences, a fellow of the American Mathematical Society, a SIAM fellow and a fellow of the Institute of Physics

Prof. Dr. Martin Hellwig, visited RMI from 21 to 25 July 2019. Prof. Dr. Hellwig is the Director Emeritus at the Max Planck Institute for Research on Collective Goods in Bonn, Germany. He has published extensively in many areas of economics and finance, in particular the economics of information and incentives, public economic theory, financial markets and financial institutions. His 1990s publications on systemic risk and financial regulation were the first to expose some of the mechanisms that would be detrimental in the crisis of 2007–2009. His book The Bankers’ New Clothes: What’s Wrong with Banking and What to Do About It, co-authored with Anat Admati from Stanford, was published by Princeton University Press in 2013. He is a former President of the European Economic Association and the German Economic Association, a Fellow of the Econometric Society and the Society for the Advancement of Economic Theory, and an Honorary Foreign Member of the American Economic Association and the American Academy of Arts and Sciences. He has also been active in policy work, including positions as president of the German Monopolkommission and as the first Chair of the Advisory Scientific Committee of the European Systemic Risk Board, in charge of macro-prudential surveillance in the European Union.

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