1st Singapore-Munich Conference on Innovations in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation
1st Singapore-Munich Conference on Innovations in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation
The 1st Singapore-Munich Conference on Innovations in Insurance, Risk, and Asset Management and 6th NUS Workshop on Risk and Regulation will take place in Singapore on 19 and 20 September 2017. The aim of this conference is to enhance existing connections and foster new collaborations between researchers and practitioners from Singapore and Europe by presenting and discussing on risk management, regulation, insurance, and asset management. Topics of discussion include, but are not limited to:
- Impact of regulation on financial and insurance markets and practice
- Innovations in finance and insurance
- Fintech
- Corporate risk management theory and practice
- Operational, market, and credit risks modelling
- Liquidity risks and their implications
- Risk management issues in derivatives, structured products and alternative investments
- Optimization and computational tools for risk management
- Statistical and econometric techniques for financial and insurance problems
- Dynamic investment strategies under regulatory constraints
Speakers
Plenary Speaker
Mark H. A. Davis
Mark H. A. Davis
Senior Research Fellow, Department of Mathematics
Imperial College London
Mark Davis is a Senior Research Fellow in the Department of Mathematics at Imperial College London. He is also Quantitative Research Adviser to Hanover Square Capital (UK) Ltd, in connection with India-related investment funds. From 2000-2009 and 2011-2012, he was Professor and Head of the Mathematical Finance Group at Imperial College.
His research concentrates on stochastic analysis and mathematical finance, in particular risk-sensitive investment models, pricing in incomplete markets, stochastic volatility, model-free finance and fundamentals of risk management. From 1995-1999 he was Head of Research and Product Development at the investment bank Tokyo-Mitsubishi International (now Mitsubishi UFJ Securitites International plc), leading a front-office group providing pricing models and risk analysis for fixed-income, equity and credit-related products.
Dr Davis holds a PhD in Electrical Engineering and Computer Science from the University of California Berkeley and a DSc in Mathematics from Cambridge University. He is the author of six books on stochastic analysis, optimisation, and finance, most recently "Risk-Sensitive Investment Management" (World Scientific 2014) written with Sebastien Lleo. He was a founding co-editor of the journal, Mathematical Finance (1990-93) and is currently an associate editor of Quantitative Finance. He was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.
Speakers
Yuanyuan Chen
Yuanyuan Chen
Research Fellow
Risk Management Institute, NUS
Yuanyuan Chen currently is a research fellow in Risk Management Institute (RMI), Singapore. Her research interests include financial risk management, optimal control and regulatory policies in financial markets.
She received her Ph.D degree in operation research and financial engineering from the Department of System Engineering and Engineering Management, The Chinese University of Hong Kong (2016). In her dissertation, supervised by Prof. Duan Li, she studied on the margin calculation problem for mulit-leg option strategies and the execution problem with hidden orders in a limit order market. She joined RMI in September 2016.
Kathrin Glau
Kathrin Glau
Junior Professor for Mathematical Finance
TU Munich
Kathrin Glau currently is a Junior Professor for Mathematical Finance at the Technical University of Munich. From September 2017, she will join the School of Mathematical Sciences as a Lecturer in Mathematical Finance. Prior to her appointment at the Technical University of Munich, Kathrin Glau worked as a postdoctoral university assistant at the chair of Prof. Walter Schachermayer at the University of Vienna. In September 2010 she completed her Ph.D. on the topic of Feynman-Kac representations for option pricing in Lévy models at the chair of Ernst Eberlein.
Her research is driven by the interdisciplinary nature of computational finance and reaches across the borders of finance, stochastic analysis and numerical analysis. At the core of her current research is the design and implementation of complexity reduction techniques for finance. Key to her approach is the decomposition of algorithms in an offline phase, which is a learning step, and a fast and accurate online phase. The methods range from model order reduction of parametric partial differential equations to learning algorithms and are designed to facilitate such diverse tasks as uncertainty quantification and calibration, real-time pricing, real-time risk monitoring, and intra-day stress testing.
Brain Lo
Brain Lo
Head of RMG-Market & Liquidity Risk
DBS Bank
Reporting to Group CRO, Brian leads the Market & Liquidity Risk department in DBS to support policy, control, risk methodology, and risk model developments for the Group. His teams supports independent pricing model validation, modeling of counterparty derivatives exposure and risk reporting for market and funding liquidity risk and also tracks closely the related regulatory developments. Prior to joining DBS in 2002 he was in regional market risk and quantitative analytics roles in BNP Paribas and Citibank. Brian has a PhD from Penn State, MSc from Brown and a first class honours from the University of Hong Kong. He has been an active speaker in regional forums including RI$KIMINDS, RISK, ISDA and RMA conferences. He is an IBF Fellow from 2016 on Risk Management.
Matthias Scherer
Matthias Scherer
Professor for Financial Mathematics,
TU Munich
Matthias Scherer is professor for Financial Mathematics at TU Munich (TUM). His research interests comprise the pricing and risk management of financial derivatives, probability theory, statistics, and efficient numerical tools. He is particularly interested in dependence concepts/copula models, and multivariate financial problems. He holds a Diploma in "Wirtschaftsmathematik" from Ulm University (2005) and a Master’s Degree in "Mathematics" from Syracuse University (2004). In his dissertation from 2007, supervised by Prof. Rüdiger Kiesel, he constructed a multivariate default model. He joined TUM in 2007, where he coordinated the elite graduate program "Finance and Information Management" until 2009. Prof. Scherer is currently member of the board of the DGVFM and member of the advisory council of FIRM and RiskNet.
Rudi Zagst
Rudi Zagst
Director of the Center of Mathematics & Head of Chair of Mathematical Finance
TU Munich
Rudi Zagst studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There, he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH - Private Research Institute for Financial Studies in 1997.
Since 1992 Prof. Zagst has held various teaching positions at the Universities of Ulm, St. Gallen Augsburg, Munich, Toronto, Ulm, and Singapore. After his qualification as a university lecturer at the University of Ulm in 2000, Prof. Zagst was appointed a Professor of Mathematical Finance at Technische Universität München (TUM) in 2001 where he is Director of the Center of Mathematics and Head of the Chair of Mathematical Finance.
Prof. Zagst was also appointed a member of the Faculty for Economics in 2003. In 2004, he was appointed Deputy Chairman of the joint Elite graduate program "Finance & Information Management" of the Augsburg University and TUM and has been a member of the steering committee of the Munich Chapter of the Professional Risk Managers' International Association (PRMIA) since 2004. The focus of his research lies in the areas of financial engineering as well as risk and asset management.
In 2007, Prof. Zagst was awarded “Professor of the Year 2007” by the magazine Unicum Beruf for linking practice and education in an outstanding way.
Davide Crippa
Davide Crippa
Global Head, Risk Measurement
Standard Chartered Bank
Davide Crippa joined Standard Chartered Bank in 2008 and he is currently in charge of Group Risk Measurement, the function that has global responsibility for all credit, market, provisioning and portfolio risk models across the bank. He is also the accountable executive for key projects such as the regulatory application for an Internal Model Method approval for counterparty credit risk and the delivery of the new impairment approach under IFRS 9.
Before joining Standard Chartered, Davide spent five years at UBS in quantitative risk management and nine years at Swiss Re, where he established the credit division’s Portfolio Management & Analytics function.
Davide holds a PhD from the Swiss Federal Institute of Technology (ETH) in Zurich and an MBA from the Simon School of Business at the University of Rochester. He currently represents Standard Chartered on the Board of Directors of the International Association of Credit Portfolio Managers, and he is a member of the Management Board of the Risk Management Institute at the National University of Singapore. In 2015 he has been awarded the Singapore Institute of Banking and Finance (IBF) Fellow Award in the category Risk Management.
Wei Jiang
Wei Jiang
PhD Candidate
Department of Mathematics, NUS
Mr. Jiang Wei is currently a PhD Candidate in Department of Mathematics at National University of Singapore. Prior to this, he completed his BSc in Mathematics and MSc in Financial Mathematics from Peking University. His research interests include quantitative finance, economics in Fintech, risk management, statistics, etc. He worked previously in China Merchant Finance Holdings as a financial analyst.
Alfred Müller
Alfred Müller
Full Professor for Stochastic Models and its Applications
Department of Mathematics, University of Siegen
Alfred Müller is currently Full Professor for Stochastic Models and its Applications in the Department of Mathematics at the University of Siegen, Germany. Prior to this position, he was on the faculty of the Heriot-Watt University in Edinburgh, UK, and of the University of Karlsruhe, Germany. He has an extensive record of research and publications. Most prominently, he is the lead author of a monograph on stochastic orders, which is cited more than 1000 times according to Google Scholar. Moreover, he has published more than 40 articles in a variety of international top journals ranging from Management Science to Nature Communications. They are the result of collaborations with many colleagues from all over the world. He serves as an Associate Editor of the two prestigious international journals, Advances in Applied Probability and Journal of Applied Probability. He has supervised six PhD students and dozens of Master students in their graduate studies and research.
Hui Shao
Hui Shao
Research assistant,
Risk Management Institute, NUS
Dr. Hui Shao is current a research assistant in NUS Risk Management Institute. His research interests focus on mathematical economics, particularly on risk measures in finance and decision theory.
Dr. Hui Shao received his Ph.D in Financial Mathematics from Peking University in July 2017. Currently, he is working on several projects, including the application of quantum probability models to economics, credit risk portfolio pricing and sparse portfolio selection.
Min Dai
Min Dai
Director, Centre for Quantitative Finance, NUS
Deputy Director, Risk Management Institute, NUS
Prof. Min Dai is currently the director of the Centre for Quantitative Finance and the deputy director of Risk Management Institute, National University of Singapore (NUS). His research focuses on mathematical finance, particularly on financial derivative pricing and portfolio selection with market imperfections. Currently he is in the Editorial Board of Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, and Mathematics and Financial Economics.
Bernhard Kaufmann
Bernhard Kaufmann
Group Chief Risk Officer
Munich Re
Bernhard Kaufmann was born in Bamberg in 1969. Between 1995 and 1999, he was a researcher in theoretical physics at the Technical University of Munich. He completed his studies in theoretical physics as PH.D. and holds a degree in economics.
Prior to joining Munich Re in 2000, Bernhard Kaufmann worked in the Credit Risk Management division of HypoVereinsbank. From 2004 to 2007, he was Head of the Asset Liability Management of Munich Re and afterwards Head of the Treasury Department for the Reinsurance Segment. In 2008, Bernhard Kaufmann was appointed Chief Risk Officer (CRO) and Head of Integrated Risk Management for ERGO Versicherungsgruppe.
He was appointed Chief Risk Officer of Munich Re (Group) with effect from 1 January 2014. As of 1 January 2017, he has been elected CRO Forum Chairman for 2017
Michael Rey
Michael Rey
Managing Director, Financial and Regulatory Risk Advisory
Deloitte Singapore
Michael has spent almost two decades in various roles across financial risk management, on both sell- and buy-side and financial centres Singapore, London, Tokyo and Zurich.0
In his role at Deloitte, Michael further develops the financial and regulatory risk practice across Singapore and broader South East Asia, with a focus on providing quantitative risk solutions to the industry.
Previously at GIC, he did quantitative risk research and prototyping, improving risk measurement for the unique risks of a wealth fund. Prior to that, Michael headed GIC's investment risk management team for the global macro portfolio. Before joining GIC, he was at UBS Investment Bank, covering market risk for macro desks across Asia, global CVA/proprietary trading in London and structured credit/asset backed/principal finance in Tokyo.
Michael holds a Master of Science in Mathematics from ETH Zurich with his thesis on “Optimal Dynamic Trading Strategies with Risk Limits”, supervised by Prof. Paul Embrechts.
Luis Seco
Luis Seco
Professor of Mathematics,
University of Toronto
Luis Seco is a Professor of Mathematics at the University of Toronto, where he is also the Director of its Mathematical Finance Program and the Director of the RiskLab. He is also the President and Chief Executive Officer of Sigma Analysis & Management, a Canadian asset management firm that creates investment products for institutional investors.
He obtained his PhD from Princeton University, and worked at the California Institute of Technology as a Bateman Instructor. His area of research is at the cross roads of risk management and asset management. He won the Synergy Award of the Canadian Government in 2007 and is a Caballero de la Orden del Merito Civil, awarded by the Spanish Government in 2011.
Patrick Ge
Patrick Ge
Assistant Vice President
SGX
Patrick Ge Pei is a financial professional working in the areas of portfolio and risk management for more than 11 years. He received his Ph.D. degree in Electrical Engineering from the University of Singapore, after obtained Bachelor and Master Degrees from Tsinghua University of China. Currently he serves the Risk Management Department of Singapore Exchange Limited (SGX) by conducting product risk assessment, risk analytics and model validation.
Prior to joining SGX, Patrick was a Market Risk Manager in United Overseas Bank, identifying and managing risks associated with bank trading positions. He was also a subject expert in energy market and commodity trading during his career in GDF Suez, where he was responsible for electricity, fuel oil, natural gas and FX rate trading portfolios and hedging strategies.
He has been heavily involved in some acquisition projects by providing financial analysis, business insight and due diligence. Patrick is a CFA chartered holder and a member of the steering committee of PRMIA Singapore chapter. He has made speeches on risk modelling and quantitative finance at a few conferences and seminars.
Steven Kou
Steven Kou
Director, Risk Management Institute (RMI)
Class of ‘62 Professor of Mathematics, National University of Singapore (NUS)
Steven Kou is the Director of the Risk Management Institute (RMI). He is also a Class of ’62 Professor of Mathematics at National University of Singapore (NUS). Formerly from Columbia University’s Department of Industrial Engineering and Operations Research, Professor Kou joined NUS as a Professor in Mathematics and Provost’s Chair in 2013.
Recognized internationally as one of the best in the research areas of Financial Mathematics/Engineering, Professor Kou’s most important works are on modelling jumps in asset pricing for equity, credit and fixed income markets and pricing of path-dependent options. His scholarly achievements have been recognized by the scientific community, as demonstrated by his receipt of the Erlang Prize (2002) from INFORMS, the leading association for professionals in the fields of analytics, management science and operations research. Professor Kou is currently also serving in the editorial boards of several top journals in his field, including Operations Research, Mathematical Finance, Mathematics of Operations Research, and Journal of Business and Economic Statistics.
Wolfgang Runggaldier
Wolfgang Runggaldier
Professor Emeritus, Department of Mathematics, University of Padua
Wolfgang J. Runggaldier is Professor Emeritus at the Department of Mathematics of the University of Padua in Italy, working in the area of probability, statistics and their applications, in particular in finance.
He has held various visiting positions in Europe, the US, Japan, and Australia. He was a member of the Editorial Boards of various journals and book series; in particular, he was co-editor of the Journal Finance and Stochastics, of which he is now an advisory editor. He has been an invited speaker at many international conferences and has been teaching in a range of Master and Doctoral Programs. He has organized or co-organized various major meetings and schools in the area of stochastic methods in finance. He is author/co-author of many scientific publications and of some books. (Personal Website:www.math.unipd.it/runggaldier)
Max Wong
Max Wong
Senior Vice President & Head of Risk Systems and Model Validation,
SGX
Max Wong is a risk professional with 20 years’ experience in financial services, and author-researcher in the domain of financial risk management and Basel 3 reform. His career is an excellent mix of trading, market analysis, risk management and modeling experience, which spanned two financial crises. He was an 'open outcry' trader at Simex during the Asian currency crisis (1997) and a quant risk manager during the global credit crisis (2008). He is currently Senior Vice President & Head, Risk Systems and Model Validation at the Singapore Exchange.
Max Wong is a subject matter expert in risk modeling and Basel 3 development. He is the author of two books and various journal articles on risks; recently looking at innovative ways to model risk more effectively during crises. He has spoken on the subject at conferences and seminars. Max is also experienced in quantitative portfolio investing using diversified futures and leverage strategies.
He holds a B.Sc. Physics and a M.Sc. financial engineering. He is an adjunct at the Singapore Management University, a member of the editorial board of the Journal of Risk Management in Financial Institutions, and a member of the Singapore chapter steering committee of Professional Risk Managers' International Association (PRMIA)
Organizing Committee
- Min Dai (National University of Singapore)
- Steven Kou (National University of Singapore)
- Matthias Scherer (TU Munich)
- Rudi Zagst (TU Munich)
Organised By
For other enquiries, please contact us at rminsr@nus.edu.sg.