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

November 2011

RMI Research Seminars
August ĘC October 2011

Prof. Alan Wong, Professor of Economics in Department of Economics, Hong Kong Baptist University gave a Research Seminars on 3 August 2011. He spoke on the 'New Theories in Mean-Variance Criterion, CAPM statistics, Stochastic Dominance Theory, Portfolio Optimization, Prospect Theory, and Behavioral Finance'.

On 5 August 2011, Prof. Ruey S. Tsay, H.G.B. Alexander Professor of Econometrics & Statistics at Booth School of Business of University of Chicago, presented his paper - 'Multivariate Volatility Modeling: Review and A New Approach' at another Research Seminar. This paper is a joint work with David Matteson of Cornell University and will appear in the Journal of the American Statistical Association.

Prof. Poon Ser-Huang returned to RMI to speak on 'Static and Dynamic Limiting Loss Distribution Under Skew Elliptical Asset Returns' on 8 August 2011 to a group of audience consisting of NUS academics and other researchers.

On 12 August 2011, Prof. Li Haitao from the University of Michigan presented his paper on 'Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?' to a group of academics at NUS. He showed the audience a simple model that can simultaneously price CDX tranches and index options which concluded that the CDX market is actually efficient unlike the model used by Coral, Javek and Stafford (2009).

Prof. Lai Tze Leung, Professor of Statistics, and by courtesy, of Health Research and Policy and of the Institute of Computational and Mathematical Engineering at Stanford University visited RMI and gave a seminar based on the topic of Evaluating Econometric Forecasts on 31 October 2011. He presented a statistical theory of scoring rules and proposed an alternative approach to the evaluation of probability forecasts.

RMI Joint Seminars
September – October 2011

Prof. Nancy Wallace, Professor and the California Chair of Real Estate and Urban Economics in the Haas School of Business of the University of California, Berkeley, presented on 'Energy Efficiency and Commercial-Mortgage Valuation' at a joint seminar organized by RMI and the Institute of Real Estate Studies on 6 September 2011. She spoke on extending standard underwriting practices, which account for the expected dynamics of interest rates and office building prices over time, by including the expected dynamics of the electricity and gas prices as well as quantity dynamics appropriate to the location of the building. That then allowed lenders to explicitly take into account the effect of energy use and various alternative efficiency measures when underwriting commercial mortgages.

Prof. Hong Yan is Professor of Finance and Deputy Dean at Shanghai Advanced Institute of Finance of Shanghai Jiao Tong University. He presented a seminar on 'Liquidity Shocks and CDS Spreads' which investigated empirically whether credit default swaps (CDS) spreads are influenced by shifts in demand/supply dynamics in the market using transaction data. This seminar was held on 12 October 2011 at the NUS Business School, jointly organized by the Department of Finance and RMI.

On 21 October 2011, RMI and the Department of Statistics and Applied Probability invited Prof. Michael Rockinger to speak on 'High-Frequency Jump Filtering in a Microstructure Model'. At the seminar, he showed how he estimated a general microstructure model with transitory and permanent order flow price impact written as a state-space model as well as distinguishing jumps in the price (observation) equation and in the fundamental value (state) equation and introduce information about the size and direction of the trades. Prof. Rockinger is Professor of Finance at HEC Lausanne and a member of the Swiss Finance Institute. He is also a former scientific consultant of the Banque de France.

Visitors from China
October 2011

A group of visitors came to RMI on 10 October 2011. They are Dr. Zhang Zhongsheng, general manager of Shanghai Lujiazui Financial City Talent Development Center, Prof. Yu Run and Prof. Zhang Dixin, Chair and Deputy Chair of Department of Finance and Insurance from Nanjing University respectively. The group had a meeting with Prof. Duan Jin-Chuan, RMI’s Director, to learn more about RMI’s operation including its research, education and training offerings. They also discussed the possibility of collaborations among the three organizations, as Nanjing University is also setting up a research centre in quantitative finance and risk management.

Back To Newsletter

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