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  Issue 7 | Archive   May 2011

RMI Symposium Discusses Implementation of Credit Rating Systems

With the latest industry developments such as the Dodd-Frank Act in the U.S., which requires regulators to remove references to credit rating agency ratings from their regulations, implementing robust and informative credit rating systems has become increasingly important. In response, on 29 March 2011, RMI held a half-day Symposium on Credit Rating Systems to confront the implementation issues, drawing a crowd of more than 100 industry practitioners and academics.

Starting the symposium off was Mr. Martin Fassbender, Head of the Eligible Assets Section and the Credit Risk Analysis Department from Deutsche Bundesbank (BBk), German's central bank. Together with his colleague, Dr. Laura Auria, Deputy Head of the Credit Risk Analysis Department, they presented to the audience BBk's Credit Risk Analysis as Part of the Eurosystem Credit Assessment Framework (ECAF), which was set up to guarantee a consistent framework for the evaluation of the credit quality and ensure that high credit standards for all eligible assets are met. Their presentation gave an overview on the elements of the ECAF framework and laid down the environment, in which the BBk credit risk analysis system works. They also shared the main elements of BBk's risk analysis process.

RMI Hosted Overseas Study Trip for Korea University Business School MBA Students

On 14 February 2011, RMI welcomed another group of Korea University Business School (KUBS) Finance MBA students for a one-week overseas study trip on credit risk management. The group of 36 students is the largest group by far that has visited RMI since the partnership started in 2008. During the 6 days, the students attended lectures conducted by NUS professors as well as by Mr. Tham Ming Soong, Chief Risk Officer from UOB Bank and RMI's Adjunct Professor. The classroom lectures were complimented with a few computer-lab sessions and a half-day company visit to the SAS, a risk management software provider.

The CDS-Bond Basis and the Cross Section of Corporate Bond Returns

A paper by Haitao Li (University of Michigan, Ann Arbor), Weina Zhang (National University of Singapore), and Gi Hyun Kim (University of Michigan, Ann Arbor)

In a recent working paper, RMI affiliated researcher Dr. Weina Zhang, with her co-authors, provided a comprehensive analysis on the CDS-Bond basis and its implications for the pricing of corporate bonds in the U.S.

The credit default swap (CDS) is the most liquid and popular product and accounts for more than two thirds of all outstanding credit derivatives. The appearance of credit derivatives since late 1990s have fundamentally changed market practices in the investment, trading, and management of credit risk. Traditionally, institutional investors, such as pension funds and insurance companies, typically adopt a buy-and-hold strategy in their investments in cash corporate bonds. Nowadays, speculators, such as hedge funds and proprietary trading desks of investment banks, can easily long and short the credit risk of individual companies or portfolios of companies using credit derivatives.

New Staff

Ms. Zhang Liming joined the Credit Rating Market Monitoring Team as a Research Analyst. She graduated with a Bachelor of Science in Computer Studies from the Liverpool John Moores University and a Master of Science in International Business from the University of Dundee. Liming has about 4 years of work experience in a Singapore IT startup company and at the RBC Dexia Investor Services Bank.

Mr. Hou Li joined the RMI Credit Rating Data Validation Team as Research Analyst. He graduated with a Bachelor of Engineering degree from Shanghai Jiao Tong University and has recently completed his Master of Science (Industrial & Systems Engineering) degree program at National University of Singapore.


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Pedagogical Research Lecture

February 2011

Prof. Karl Sigman, Professor of Department of Industrial Engineering and Operations Research at Columbia University, was invited to speak at RMIí»s Pedagogical Research Lecture held on 10 February 2011.

Prof. Sigman spoke on the Introduction to Monte Carlo Simulation with Applications. He gave an overview of Monte Carlo simulation methods for use in estimating quantities of interest in various fields within the engineering and mathematical sciences.

Research Workshop Series

February - April 2011

In February, Prof. Sanjiv Das from Santa Clara University and Prof. Robert Elliott of University of Calgary presented at research workshop organized by RMI which were attended by NUS academic faculties and students. Prof. Sanjiv took the first session and spoke on two topics: 1. The Principal Principle: Optimal Modification of Distressed Home Loans and 2. Strategic Loan Modification: An Options- Based Response to Strategic Default.

PRMTM Certification Training Program
26 March - 13 August 2011

Fifth Annual Risk Management Conference 2011
7 - 8 July 2011

Financial Industry Competency Standards (FICS) 2011 July Intake
July 2011


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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)