FEATURE

MFE Hosts Two Talks for its Master of Science in Financial Engineering (MFE) Students

On 15 February 2017, RMI hosted a talk for its MFE students by Dr. Suiunbek Ibraev, Head of Market Risk Quants at OCBC Bank. His talk titled, “Black 76: 40 Years Later,” discussed the evolution of the Black 76 model, a variant of the Black-Scholes model of option pricing. He began his talk with a brief overview of the financial markets and introduced the audience to the Bank of International Settlement’s (BIS) Triennial Central Bank Survey, which is believed to be the most comprehensive source of information for foreign exchange and over-the-counter (OTC) derivatives markets.

He shared results from the latest BIS survey done in 2016 showing the OTC FX and interest rates derivatives (IRD) turnover by countries including Singapore. He also shared results from the survey that showed the total market share of each country and compared Singapore’s OTC FX and IRD market growth with the global market growth. He then went into details of empirical distribution, the log-normal approximation, and its industrial and practical uses. In conclusion he argued that although new models are introduced, such as the displaced diffusion by Mark Rubinstein, local volatility by Bruno Dupire, and stochastic volatility by Heston, which go beyond the log-normal approximation, the Black-Scholes-Merton model using log-normal approximation is still very relevant to today’s market.

Dr. Ibraev is in charge of analytics and market price control in market risk management department at OCBC Bank, where he oversees model validation and risk methodologies, e.g. VaR and CRE. He has more than 15 years of investment banking experience. Prior joining OCBC, he worked in Frankfurt, London and Singapore as a front office quant in Dresdner Kleinwort, Commerzbank, VTB Capital, ANZ specializing in interest rates and foreign exchange exotics. He holds a PhD Degree in Global Optimization from University of Wuppertal, Germany.

Separately, on 30 March 2017, Mr. Frankie Phua, Managing Director and Head of Credit & Country Risk Management at UOB delivered another talk to the MFE students. The talk was titled, “The Evolving Role of An Effective Risk Manager”. Mr. Phua began by telling what he believed the objectives of risk management are.

Mr. Phua then talked about the impact of the global financial crisis on the industry and risk management in particular, delving deeper into the enhanced role of risk manager since the crisis. Giving an overview of the evolution of the field of risk management in recent years, Mr. Phua gave the audience a list of attributes he believed that are important in anyone aspiring to become a risk manager. These included a good grasp of global macro trends and emerging risks, active knowledge of the business, effective communication, perhaps unexpected but very important attribute in courage to challenge exiting measures and practices. He concluded his talk with a lively debate with the audience about whether risk management is an art or science, and opined that it is an art to be an effective risk manager.

Mr. Frankie Phua is responsible for all risk management matters for UOB Group (including overseas branches and subsidiaries) and oversees credit risk, market risk, balance sheet risk, operational risk management, integrated fraud management and product control & governance and risk analytics.

Both talks were part of a series of MFE talks which feature senior practitioners from various industry sectors including private banking, investment banking, commercial banking, and hedge fund. This is aligned with RMI’s continuous efforts to grow its career services for its MFE students.