HOME Recent Events RMI in the News ALUMNI
  Issue 9 | Archive  

November 2011

RMI Collaborated with Waterloo for the Second Time to Offer Workshops

Following a successful run in 2010, NUS-RMI collaborated with Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ) for the second round of Certification Workshops in Financial Risk Management in October 2011. Two workshops were held: Counterparty Credit Risk from 17 - 18 October 2011 and Stress Testing and Credit Portfolio Management from 19 - 20 October 2011.

The first workshop covered topics such as modeling counterparty exposures, counterparty credit risk and Basel, credit valuation adjustment and counterparty credit risk management and was taught by A/P David Saunders, Associate Chair, Actuarial Science, at Department of Statistics and Actuarial Science from University of Waterloo, and Mr. Frankie Phua, Executive Director and Head, Credit and Country Risk Management from United Overseas Bank.

The Stress Testing and Credit Portfolio Management workshop, on the other hand, was taught by A/P David Saunders and RMI's A/P Keshab Shrestha. They covered topics on quantitative frameworks for stress testing, stress testing for credit and liquidity risk, Credit MetricsTM and CreditRisk+. Participants also spent half a day in the computer lab to practice some hands-on exercises to help them digest the theories they have learnt.

The two workshops attracted participants from financial institutions as well as the regulator.

Back To Newsletter

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