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DIALOGUES WITH DISTINGUISHED VISITORS
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Nobel Laureate Professor Thomas J. Sargent Visited Risk Management Institute (RMI) - by Liu Zhe Xin, MFE Student
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Professor Thomas J. Sargent, a renowned American Economist, Nobel Laureate in Economics and a Professor of Economics at New York University, visited RMI for a week-long academic visit starting on Monday, 6 March 2023. On the noon of Friday, 10 March 2023, at the invitation of RMI, Professor Sargent had a lively discussion with some MFE students over lunch. Following the lunch Prof. Sargent gave a lecture in I3 seminar room on "Computational Tools and Methods in Quantitative Economics". A Casual Lunch Affair The lunch meeting was held at on Friday, 10 March 2023 at RMI. Seven MFE students along with Ms. Jayne Roy from RMI had an interactive and lively discussion with Professor Sargent. During the interactive session, students first introduced themselves, their interests and backgrounds. Then Prof. Sargent also shared some interesting stories from his undergraduate days at Berkeley, including the football game between Berkeley and Stanford, as well as his unexpected surprise when he received the University Medal. Prof. Sargent has a great sense of humour and captivated everyone with his personal anecdotes and scholarly advice. The atmosphere was relaxed and pleasant. The students got to know Prof. Sargent outside of the internet and textbooks, and learned about his approachable and humble personality. The conversation soon deep dived into academics, where one of the students brought up the similarities between descriptive and structural models in natural sciences and economics, Prof. Sargent shared a YouTube video he had watched that morning at the gym. The video explained how to use group theory and machine learning to quickly solve economic environment characteristics and automatically engage in high-frequency trading. Prof. Sargent's sharing inspired students that drawing cross-subject inspiration and creativity may provide useful ideas and methods for solving complex real-world problems. During the discussion, the students expressed their interest in machine learning, and Professor Sargent shared his understanding of Q-learning and reinforcement learning. He believed that the students should not be too bothered by the complex terminology but try to understand the core of the methods. For example, Q-learning is actually a process of exploring when the goal is known but the model is unknown, and one way to interpret reinforcement learning is least squares method.
Some students also expressed their interest in ChatGPT, one of the most popular applications of machine learning at present. They wanted to know how ChatGPT would improve productivity and change people's lives under such rapidly changing technology. Professor Sargent shared his personal experience of using ChatGPT. He commended ChatGPT for being able to quickly and accurately write Python programs for tasks such as calculating the surface area and volume of a pyramid, designing a planet class based on Kepler's laws, and so on. However, when he wanted to find an article he had written before, ChatGPT began to fabricate something that had never happened. When the students expressed their admiration for Prof. Sargent's erudition and perseverance in learning, he said that one fun expression about being alive is learning and creating stuff, which keeps people young.
Afterwards, Prof. Sargent talked with the students about their plans after graduation and their experiences in the MFE program. He was most impressed by the how knowledgeable the students are and their critical thinking abilities. The students also expressed deep admiration for Prof. Sargent's knowledge, humility and his dedication to the pursuit of knowledge.
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A lecture conducted by Nobel Laureate, Prof. Thomas J. Sargent After lunch, Prof. Sargent delivered a mini-course on "Computational Tools and Methods in Quantitative Economics" to over 30 students in the MFE program. The event was also joined by Professor Yi-Chun Chen, Professor Neng Wang, Professor Kan Chen, Professor Chao Zhou, Professor Shengxing Zhang, and Professor Chang Liu. Professor Neng Wang introduced Professor Sargent's outstanding contributions to the field of macroeconomics, and also highlighted that he is an incredibly caring mentor and advisor who has guided, supported and encouraged many scholars in their academic pursuits.
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The mini-course began with Prof. Sargent introducing the QuantEcon website he co-founded with his partner. The website aims to provide a high-quality online education platform through open-source economics teaching resources and accompanying codes. This mini-course was also based on the probability-related content available on the website.
Prof. Sargent’s delivery was well and even-paced, he was clear and concise, capturing everyone’s attention with his clever explanation of complex concepts. First, Prof. Sargent presents the problem that this session aimed to solve: how to determine which of two known marginal distributions the samples are drawn from based on a series of observations. This problem actually has a practical application, originally arising when Milton Friedman and Allen Wallis helped US Navy design experiments to verify the superiority of two shells during World War II, and eventually led Abraham Wald to propose the sequential analysis method, which is closely related to dynamic programming. Prof. Sargent then introduced the basic concepts of probability and matrices, frequentist and Bayesian interpretation of probability, exchangeability, and Bayesian updating. Finally, he showed how to use dynamic programming approach to describe the state of each sample by prior probability and finally construct Bellman equation to solve the problem. Prof. Sargent presented the problem-solving process to the students in an easy-to-understand way. The students were actively engaged in the class, and the atmosphere was lively.
Finally, Prof. Yi-Chun Chen, the Director of RMI, commemorated Prof. Sargent’s visit with a token of appreciation, bringing Prof. Sargent's academic visit to RMI to an end. His lectures and academic exchanges left a deep impression on the students and provided valuable learning opportunities and intellectual inspiration for the faculty and students of RMI.
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Renowned Professor Darrell Duffie Visits NUS RMI, Engages in Informative Lunch Talk with MFE Students - by Zhang Jiawei, MFE Alumni
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Professor Darrell Duffie, Adams Distinguished Professor of Management and Professor of Finance at the Graduate School of Business, and professor by courtesy, Department of Economics, Stanford University, paid a visit to the Risk Management Institute at the National University of Singapore on 25 May 2023. During his visit, Professor Duffie engaged in a stimulating lunchtime discussion with eight students from NUS MFE program, covering a wide range of topics from the job market to payment methods and financial risk management. The lunch talk provided an exceptional opportunity for MFE students to engage in a thought-provoking lunch discussion with Professor Duffie, who is widely acclaimed for his influential book “Dynamic Asset Pricing”.
Professor Duffie’s books as well as his papers are considered essential reading in the MFE program, offering valuable insights into the complex world of financial engineering. His expertise and contributions in asset pricing have established him as a highly respected figure in academia and the finance industry, making his presence at the Risk Management Institute a significant occasion for the students.
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The lunch gathering commenced with an introduction session where the students introduced themselves to Professor Duffie. Following the introductions, Professor Duffie responded with keen interest and valuable insights, and actively asked the students questions tailored to their respective backgrounds and interests. One topic that garnered significant interest was the job market in Singapore. The students highlighted the growing opportunities in the banking sector due to the increasing inflow of money into the country. Based on his previous visit of Monetary Authority of Singapore, Professor Duffie also mentioned other finance avenues such as ESG investments, including carbon credits, carbon neutrality, and electric cars and buses. Additionally, he introduced the popularity of savings products like Target Retirement Funds, which are traded in mutual funds and serve as a pension plan alternative. Professor Duffie expressed a keen interest in payment methods, as he revealed his plans to develop a new course on the payment industry at Stanford. The students provided insights into different payment systems across several countries. They shared that in China, there is a distinction between the ECNY under government control, and popular platforms like Alipay and WeChat Pay. They also discussed payment methods in the US, Vietnam, India, and Singapore, highlighting the availability of services like Alipay, PayNow, PayLah!, and bank apps in Vietnam.
Professor Duffie's curiosity extended to the students' experience in the MFE program. Professor Duffie inquired about the students' favorite courses, and they mentioned FE5110, a PhD-level course focusing on asset pricing. The conversation then took a lighter turn as Professor Duffie asked about their favorite sports, which included badminton, basketball, frisbee, and tennis. Exploring the students' aspirations, he queried their interest in starting their own financial companies, with some expressing their intention to gather resources and build relationships before venturing into entrepreneurship. Professor Duffie emphasized the importance of maintaining a close connection with alumni and harnessing the network and support they offer. Curiosity about recent financial events emerged, with students questioning Professor Duffie's perspective on the fall of Credit Suisse. He attributed the bank's insolvency to management issues related to financial instruments like AT1 bonds. The students added that in Singapore, investors now prefer local banks over Swiss banks due to the reputational damage suffered by the latter. Professor Duffie emphasized the significance of risk management and urged the MFE students to apply their knowledge to practical situations. He referenced examples like the 1Malaysia Development Berhad scandal, and the collapse of Barings Bank caused by Nick Leeson. Bank regulation and compliance failures also became focal points of discussion. Professor Duffie stressed the importance of effective bank regulation and the challenges that arise when these regulations are not properly implemented. Students shared their experiences with Know Your Customer (KYC) standards in their work at banks, highlighting Singapore's stringent restrictions for private investors to ensure clearance and the safety of their funds. Professor Duffie also recommended considering a separate module on compliance failure within the MFE program.
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Real estate finance aroused the interest of some students, leading them to inquire about housing prices in various countries. Professor Duffie shared insights on the United States, where housing prices were considered moderate but exhibited differences. He noted that the residential housing market generally performed well, but commercial office buildings faced challenges due to increased remote work and financial difficulties. Additionally, Professor Duffie discussed housing price trends in Canada, Denmark, and South Korea. He noted that housing prices in Canada and Denmark continued to rise, increasing the associated risk. In contrast, South Korea experienced a decrease in house prices due to a rise in interest rates and reduced demand for mortgages. The conversation then shifted to Professor Duffie's renowned book, "Dynamic Asset Pricing", which piqued the interest of students interested in asset pricing. The students mentioned that the MFE program already covered most of the topics in the book. They asked about any new additions planned for the next edition. Professor Duffie mentioned his intention to focus on market design in a more efficient manner, highlighting the activities of OTC market and dealers, as well as price transparency. When asked for recommendations regarding the topic, Professor Duffie mentioned two scholars: Assistant Professor Chaojun Wang from Wharton and Associate Professor Piotr Dworczak from Northwestern University.
The lunch talk concluded with memorable photographs, capturing the shared experience between Professor Duffie and the NUS MFE students. The students expressed their appreciation for Professor Duffie's insights and requested photos with him. They also asked for his autograph, symbolizing the valuable exchange of knowledge that took place during the meeting. Professor Darrell Duffie's visit brought knowledge and inspiration to MFE students, empowering students to apply learnings in real-world finance scenarios. The engaging discussion covered a range of topics, from the job market and payment methods to risk management and asset pricing. The students cherished the opportunity to interact with the eminent figure in the finance industry and valued the insights gained from their lunch talk. Such events exemplify the NUS MFE program's commitment to providing students with valuable meetings, networking, and exposure to leading professionals in academic and industry worldwide. NUS MFE's hold meetings regularly, in order to expand students' industry perspectives, bridging theory and practice with invaluable insights. These activities enhance students' career prospects, and thus empowering students with broadened perspectives and industry connections, shaping them into well-rounded finance professionals.
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Nobel Laureate in Economics, Professor Lars P. Hansen, Visited the NUS Risk Management Institute - by Lu Tingzhu, MFE Student
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On Monday, 31 July 2023, Professor Lars P. Hansen, the distinguished economist and Nobel Laureate in Economics from the University of Chicago, was invited by the NUS Risk Management Institute (RMI) to participate in the Sixteenth Annual Risk Management Conference.
At 2:30 PM on Friday, under the invitation of the NUS Risk Management Institute, Professor Lars Hansen engaged in a dialogue session held in the administrative seminar room of I3, discussing the topic "Uncertainty Spillovers in Markets and Policies."
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Commencing the dialogue session, Professor Hansen introduced the concept of uncertainty with a quote by economist Frank Knight, and through summarizing financial market risks and uncertainties, he further led into the dialogue topic "Uncertainty and Policy: How should we formulate prudent policies to address climate change or pandemics in the face of uncertainty?”
Professor Hansen introduced his research model from perspectives such as valuation framework, multiplicative functionals, intertemporal valuation, proportional risk compensation, alternative probabilities, and Martingale components of the Stochastic Discount Factor (SDF). He also addressed challenges in his research, particularly concerning uncertainty in growth rates.
Subsequently, Professor Hansen explained his strategy for selecting the best models among multiple choices, including employing robustness for screening and utilizing models in a sensible manner rather than discarding them. He also presented research outcomes and applications of the models.
As the dialogue session concluded, Professor Hansen used the wisdom of Confucius, "To know what you know and what you do not know, that is true knowledge," and a quote from Mark Twain, "Education: the path from cocky ignorance to miserable uncertainty," as his closing remarks, bringing the sharing to an end.
Throughout the conference, Professor Hansen adeptly presented his research findings, and students actively engaged with the professor in discussions. The dialogue session with Professor Hansen left a profound impression on the students and provided valuable learning opportunities and insightful inspiration for both the faculty and students from the NUS Risk Management Institute. From Professor Hansen's presentation, we learned how to extend asset pricing models to other domains and how to quantify theoretical data (such as determining which data can be used to measure social value), etc.
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