After cancelling the two annual conferences last year due to the pandemic, RMI successfully hosted both the conferences virtually for the first time in May and July respectively.

Fifth PKU-NUS Annual International Conference on Quantitative Finance and Economics (22 – 23 May 2021)

RMI along with the Peking University’s (PKU) HSBC Business School and the Key Laboratory of Mathematical Economics and Quantitative Finance hosted the Fifth PKU-NUS Annual International Conference on Quantitative Finance and Economics virtually on 22 and 23 May 2021, given the travel restrictions and safety precautions in place considering the Covid-19 pandemic. The event was also supported by the NUS’s Centre for Quantitative Finance. Over the two-day event, the conference attracted over 300 participants, including members from the industry, academia, and students.

The conference featured three keynote speeches:

1. Prof. Asher Wolinsky, Gordon Fulcher Professor of Economics, Northwestern University
2. Prof. Paul Glasserman, Jack R. Anderson Professor of Business, Columbia Business School
3. Prof. Zheng (Michael) Song, Professor of Economics, Chinese University of Hong Kong

The call for paper received submissions from various institutions globally, including Yale University, Federal Reserve Board, Tsinghua University, Cambridge University and University of Auckland, to name a few. A total of 41 papers we presented at the conference, featuring topics such as computational finance, financial modelling, bitcoin mining, mathematical economics, microeconomics, macroeconomics, and portfolio selection, among others. Participants could choose between two parallel tracks which discussed the latest trends and research on quantitative finance and economics. This international conference aims to provide a platform for researchers and practitioners from academia and industry to enhance their quantitative finance techniques, explore the latest investment/pricing strategies and manage the fundamental regulatory changes in the financial sector.

This year’s conference organizing, and scientific committee consisted of program co-chairs, from NUS and PKU, including Prof Yang Jingping, A/P Li Chenxu, Prof. Gong Liutang and A/P Cheng Xue of PKU Beijing Campus, A/P Chen Yi-Chun, Prof. Sun Yeneng and Prof Dai Min of NUS, and Prof. Wang Pengfei, Prof. Chu Chia- Shang, Prof. Hai Wen, Prof. Thomas Sargent, A/P Shi Jiao and A/P Ren Ting of PKU’s HSBC Business School.

Fourteenth Annual Risk Management Conference (28 – 30 July 2021)

From 28 to 30 July 2021 RMI hosted the Fourteenth Annual Risk Management Conference virtually for the first time. The pre-conference workshop was held over two days on 26 and 27 July 2021 in partnership with International Association of Credit Portfolio Managers (IACPM). The conference was attended by policy makers, leaders from the industry, regulators, and internationally renowned academics and featured topics such as, risk management during a pandemic and the long term, as well as showcased research on topics relates to risk management and financial economics. On the first day, RMI’s Director and Professor of Economics at NUS Prof. Chen Yi-Chun kickstarted the program with a welcome speech. This was followed by a Keynote speech on “Reforming the Market for U.S. Treasuries” by Prof. Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance Graduate School of Business, Stanford University. Prof. Sun Yeneng, Dean, Faculty of Science and Goh Keng Swee Professor of Economics and Professor of Mathematics at NUS, introduced Prof. Duffie with a warm welcome and chaired the keynote session.

Day one also featured two panel discussions after the keynote speech. The first panel chaired by Prof. Chen Kan, Deputy Director (Industry) of RMI and Professor (Practice Track), RMI and Department of Mathematics at NUS, discussed “Risk Management During a Pandemic” specifically, market and liquidity risks in portfolio management, bank risk, and data analytics for market and liquidity risk management. The panellist included, Mr. Vincent Choo, Chief Risk Officer at OCBC, Dr. Wesley Kong, Deputy General Manager at Sino-Ocean Capital, Mr. Tan Teck Long, Chief Risk Office at DBS and Mr. David Turkington, Senior Managing Director, Head of Portfolio and Risk Research at State Street Associates. The second panel on, “Risk Management in the Long Term” discussed issues including frame and design processes for the management of risks that materialize or build up over time, the best approach towards credit and operational risk on the backdrop of ‘radical uncertainty’, accounting for conduct risk, and risks that emanate from the interplay of institutions, i.e. systemic risk and inclusion of ESG in the risk framework. Chaired by RMI’s Adjunct Professor, Mr. Lutfey Siddiqi, the panel was comprised of a diverse pool of industry experts, namely, Prof. Ronald Anderson, Professor of Finance at London School of Economics, Dr. Christine Chow, Executive Director, Global Head of Strategic Governance Advisory & ESG Integration at IHS Markit, Mr. Peter Giger, Group Chief Risk Officer at Zurich Insurance Group Ltd, and Mr. Robert Mainprize, Managing Director, Risk Management from Temasek.

Day two of the conference featured two plenary talks; each followed by a session of eight scientific paper presentations split into two parallel tracks. The first plenary talk was by Prof. Dacheng Xiu, Professor of Econometrics and Statistics Booth School of Business from University of Chicago and he talked about “(Re-)Imag(in)ing Price Trends”. This session was chaired by Associate Professor Chen Ying from Department of Mathematics at NUS. The two parallel tracks following this talk featured four papers each on the topics of “Credit and Liquidity Risk” and “Macro-Finance and Financial Economics”. The second plenary talk on “Open Banking: Credit Market Competition When Borrowers Own the Data” by Prof. Zhiguo He, Fuji Bank and Heller Professor of Finance and Jeuck Faculty Fellow from Booth School of Business at University of Chicago was chaired by RMI Director Prof. Chen. This talk was followed by two parallel tracks on “Financial Econometrics and Risk Management” and “Risk Management and Modelling” with four paper presentations each.

The third and final day of the conference hosted the last of the three plenary talks by Prof. Xunyu Zhou, Liu Family Professor of Financial Engineering and Director, Nie Center for Intelligent Asset Management at Columbia University. The topic of this talk was “Curse of Optimality, and How We Break It” and was chaired by Prof. Min Dai, Director, Center for Quantitative Finance and Professor of Mathematics at NUS.

Launched in 2007, the Conference has grown to a regional platform that brings together policy makers, leaders from the industry, regulators, and internationally renowned academics to enhance their risk management techniques, explore the latest investment strategies and manage the fundamental regulatory changes in the financial sector. This was the first time that the conference was held entirely on a virtual platform.