RESEARCH UPDATES

Industry Projects

Under the leadership of our Deputy Director for Industry Prof. Chen Kan, RMI has continued to pave the way for collaboration on industry projects, which aim at advancing the industrial applications of new research in the field of risk management. Below are some details on the progress of these projects over the year of 2021: 

1. Researchers at RMI have continued to work on modelling extreme interdependencies among financial assets for risk evaluation and portfolio construction. A framework for modelling the correlation structure of financial assets using vine copula is being developed. This framework has been applied to study the cryptocurrency correlation structure. The implementation of the vine copula captures the increased correlation at the negative tail of the asset returns, which is particularly prominent for cryptocurrency assets.
2. RMI researchers have also continued to work on text-based industry classification. For the past year, the research focuses on the construction of industry classification based on the business description extracted from the earnings reports of the companies listed in the US and Chinese markets. The study shows that a business description of the company contains sufficient information about the company’s business for good informative industry classification.
3. RMI researchers have started to work on the issues of urban resiliency from risk management perspectives. The current research focuses on risk measurements and risk propagation on supply chain networks.

Seminars and Other Events

Since its launch in October 2020, RMI has continued to organize the joint seminar series with NUS Centre for Quantitative Finance throughout this year as well. These monthly webinars, conducted over zoom, feature one to two speakers every month, each sharing their latest insights and research in the field of quantitative finance. This year RMI has successfully conducted 15 seminars in this series with speakers such as, Prof. Ulrich Horst (Humboldt-Universitat Zu Berlin), Prof. Rama Cont (University of Oxford), Prof. Nizar Touzi (Ecole Polytechnique), Prof. Kris Jacobs (University of Houston), Prof. Julien Prat (CREST, Paris, France), Dr. Stefan Woerner (IBM Research Zurich), Associate Professor José Azar (University of Navarra), Dr. Emiliano Pagnotta (Imperial College London), Prof. Bryan Kelly (Yale School of Management), Prof. Muhle-Karbe Johannes  (Imperial College London), Prof. Paul Embrechts (ETH Zurich), Prof. Aurélien Baillon (Erasmus University Rotterdam), Prof. Paolo Guasoni  (Dublin City University), Prof. Huyen Pham (University Paris Diderot), and Prof. Martin Schweizer (ETH Zurich). This webinar series has been very well received with an average of around 100 participants attending each webinar.