FEATURE

RMI Co-Hosts the 1st Singapore-Munich Conference on Innovation in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation

On 19 & 20 September 2017, RMI along with German’s Technical University of Munich (TU Munich) and NUS Centre for Quantitative Finance hosted the 1st Singapore-Munich Conference on Innovations in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation. The first day of the conference took place at Standard Chartered Bank and was attended by over 70 participants. Day two of the conference was held at NUS Shaw Foundation Alumni House with over 60 participants in attendance.

The conference was kicked off by welcome remarks from Prof. Steven Kou, RMI’s Director and Class of ’62 Professor of Mathematics at NUS and Prof. Rudi Zagst, Head of the Chair of Mathematical Finance, TU Munich. The first day of the conference consisted of a full day of events and featured an industry panel, a plenary talk, and six scientific research presentations. Session 1, preceded by the introductory remarks, featured scientific talks by Prof. Wolfgang Runggaldier from University of Padova, Max Wong and Patrick Ge from SGX, and Prof. Min Dai from NUS. This session discussed topics such as reinsurance and investments, performance testing of margin models, and dynamic mean-variance portfolio selection.

This session was followed by an industry panel discussion on topics such as corporate risk management framework, fintech and digital innovation, alternative investment opportunities in Southeast Asia, cyber risk, and Basel III-IV and Solvency II. The panel was chaired by Dr. Davide Crippa, Global Head of Risk Measurement at Standard Chartered Bank and included three panelists who were, Dr. Bernhard Kaufmann, Group Chief Risk Officer at Munich Re, Dr. Brian Lo, Head of Market and Liquidity Risk at DBS Bank, and Michael Rey, Managing Director of Financial and Regulatory Risk Advisory at Deloitte Singapore.

After the lunch break, Prof. Mark Davis, Senior Research Fellow in the Department of Mathematics at Imperial College London gave a plenary talk. He spoke about his research on “Verification of Risk-Measure Estimates and Back-Testing Procedures.” This was followed by Session 2 of the day, which featured three more scientific presentations by Prof. Zagst from TU Munich, Prof. Kou from NUS and Prof. Luis Seco from University of Toronto at Mississauga, who discussed topics such as behavioral finance-driven investment strategies, theory in fintech, and innovations in hedge fund fees, respectively.

Day two of the conference took place at the NUS Shaw Foundation Alumni House. It comprised of six scientific paper presentations split into two sessions over the course of half a day. The first session on day two included talks by Prof. Matthias Scherer from TU Munich who discussed consistent iterated simulation of multivariate defaults, Prof. Alfred Muller of University of Siegen who talked about expectiles, omega ratios, and stochastic dominance, and Dr. Shao Hui from NUS who presented on gini curves and top incomes. This session was followed by the last session of the conference, which featured presentations by Prof. Kathrin Glau of TU Munich and Dr. Yuanyuan Chen and Wei Jiang, both from NUS. The topics under this session included implied volatility with bivariate Chebyshev, limit order markets, and simulating risk measures with estimated relative errors.

Launched this year, the aim of this joint conference is to enhance existing connections and foster new collaborations between researchers and practitioners from Singapore and Europe by presenting and discussing their researches on risk management, regulation, insurance, and asset management.