Fifteenth Annual Risk Management Conference
Fifteenth Annual Risk Management Conference
This international conference will provide a platform for policy makers, regulators, industry executives, and researchers from academia and industry to enhance their risk management techniques, explore the latest investment strategies and manage the fundamental regulatory changes in the financial sector. The conference begins with a half-day policy forum where the focus of talks will be on policy initiatives, regulatory changes and industry developments. The second half of the day of the conference is a scientific program where researchers will present on recent theoretical developments, analytical techniques and empirical findings in the field of risk management. A pre-conference workshop on Credit Portfolio Management is organized in collaboration with the International Association of Credit Portfolio Managers.
Agenda
| Pre-conference Workshop | 2 August 2022 |
| Fifteenth Annual Risk Management Conference | 3 August 2022 |
Keynote Speaker
Martin Eichenbaum
Charles Moskos Professor of Economics
Co-Director of the Center for International Economics and Development
Northwestern University
Martin Eichenbaum
Charles Moskos Professor of Economics
Co-Director of the Center for International Economics and Development
Northwestern University
Martin Eichenbaum is the Charles Moskos Professor of Economics and the Co-Director of the Center for International Economics and Development at Northwestern University. He is a fellow of the American Academy of Arts and Sciences, the Royal Society of Canada and the Econometric Society. He is also a Research Associate of the NBER, an International Fellow of the CD Howe Institute and a Director of the BMO Financial Group. He is currently the co-editor of the NBER Macro Annual. He was co-editor of the American Economic Review as well as an associate editor of the Journal of Monetary Economics, the American Economic Journal - Macro, and the Journal of Money, Credit and Banking. He has served as a consultant to the Federal Reserve Banks of Atlanta, Chicago and San Francisco as well as the International Monetary Fund and Goldman Sachs. He received a PhD in Economics from the University of Minnesota.
Plenary Speaker
Wang Neng
Chong Khoon Lin Professor of Real Estate and Finance
Columbia Business School
Prof. Wang Neng
Chong Khoon Lin Professor of Real Estate and Finance, Columbia Business School
Neng Wang is Chong Khoon Lin Professor of Real Estate and Finance at Columbia Business School. He is also a Research Associate at the National Bureau of Economic Research (NBER) and a Senior Research Fellow at Asian Bureau of Financial and Economics Research (ABFER). He is an Associate Editor at the Journal of Finance and was an Editor in the Finance area at the Management Science. He won a Smith-Breeden Distinguished Paper Prize awarded by the Journal of Finance, and the Bettis Distinguished Scholar Award from Carey School of Business, Arizona State University. His research interests include corporate finance, asset pricing, macroeconomics, sovereign debt and international finance, risk management, entrepreneurial finance, household finance, wealth distribution, private equity, hedge funds, investor protection, real estate
finance, FinTech, and the Chinese economy. He received B.S. in Physical Chemistry from Nanjing University, China in 1992, M.S. in Chemistry from California Institute of Technology (Caltech) in 1995, M.A. in International Relations from the University of California, San Diego (UCSD) in 1997, and Ph.D. in Finance from the Graduate School of
Business at Stanford University in 2002. He was born in Anhui, China in 1973.
Semi-Plenary Speakers
Wolfgang Härdle
Ladislaus von Bortkiewicz Professor of Statistics
Humboldt Universität zu Berlin
Mathieu Rosenbaum
Full Professor and Co-Head of the Quantitative Finance Master Program
École Polytechnique
Rossen Valkanov
Zable Endowed Chair, Professor of Finance, and Co-Director of Master of Finance Program
Rady School of Management, UC San Diego
Prof. Wolfgang Härdle
Ladislaus von Bortkiewicz Professor of Statistics,
Humboldt Universität zu Berlin
Prof. Dr. Wolfgang Karl Härdle completed his Dr. rer. nat. in Mathematics at Heidelberg University and received his habilitation in Economics at Bonn University. He was the founder and Director of Collaborative Research Center CRC 373 “Quantification and Simulation of Economic Processes” (1994 - 2003), Director of CRC 649 “Economic Risk” (2005 - 2016) and also of C.A.S.E. (Center for Applied Statistics and Economics) (2001 - 2014). He is currently heading the Sino-German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He is the Ladislaus von Bortkiewicz Professor at Humboldt-Universität zu Berlin and director of the BRC the joint Blockchain Research Centre with Zurich U.
His current research focuses on modern machine learning techniques, smart data analytics and the crypto currency eco system. He has published more than 40 books and more than 350 papers in top statistical, econometrics and finance journals. He is highly cited, and among the top scientist registered at REPEC and has similar top notch rankings in other scales, such as the Handelsblatt ranking.
He has professional experience in financial engineering, structured product design and credit risk analysis. His recent research extends nonparametric paradigms into machine learning, decision analytics and data science for the digital economy. He is the Editor in Chief of the Springer Journal „Digital Finance“. He supervised more than 70 PhD students and has long-term research relations to research partners in the USA, Singapore, Prague, Warsaw, Paris, Cambridge, Beijing, Xiamen, Taipei among others.
Prof. Mathieu Rosenbaum
Full Professor and Co-Head of Quantitative Finance Master Program,
École Polytechnique
Mathieu Rosenbaum is a full professor at École Polytechnique, where he holds the chair “Analytics and Models for Regulation” and is co-head of the quantitative finance (El Karoui) master program. His research mainly focuses on statistical finance problems, regulatory issues and risk management of derivatives. He published more than 70 articles on these subjects in the best international journals. He is notably one of the most renowned experts on the quantitative analysis of market microstructure and high frequency trading. On this topic, he co-organizes every two years in Paris the conference "Market Microstructure, Confronting Many Viewpoints". He is also at the origin (with Jim Gatheral and Thibault Jaisson) of the development of rough volatility models. Mathieu Rosenbaum has collaborations with various financial institutions (investment banks, hedge funds, regulators, exchanges...), notably BNP-Paribas since 2004. He also has several editorial activities as he is one of the editors in chief of the journal “Market Microstructure and Liquidity“ and is associate editor for 10 other journals. He received the Europlace Award for Best Young Researcher in Finance in 2014, the European Research Council Grant in 2016, the Louis Bachelier prize in 2020 and the Quant of the Year award in 2021.
Prof. Rossen Valkanov
Zable Endowed Chair, Professor of Finance, and Co-Director of Master of Finance Program
Rady School of Management, UC San Diego
Rossen Valkanov is the Zable Endowed Chair in Management and Professor of Finance at the Rady School of Management, and inaugural Co-Director of the new Master’s in Finance program. He is the current Associate Dean of Faculty at UCSD’s Rady School of Management. He received his Ph.D. in economics from Princeton University (1999) and graduated summa cum laude from the University of California, Irvine with a BA in economics (1995). His main research interests are in the areas of empirical finance, financial econometrics, financial forecasting, risk management, portfolio allocation, and real estate. Professor Valkanov has authored numerous articles and book chapters. His research has been published in some of the most prestigious peer-reviewed journals such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Empirical methods and big data applications based on his research—such as Mixed Data Sampling Regressions (MIDAS), parametric portfolio approaches, and forecasting procedures--have received significant interest from the finance industry practitioners. He is currently Editor of the Journal of Empirical Finance and member of the American Real Estate and Urban Economics Association’s publication committee.
Professor Valkanov has taught at UCLA, UC Berkeley, Princeton, and various other institutions in the US and abroad. He is an award winning educator and teaches regularly in the Masters of Finance, Full-Time MBA, Flex MBA, Evening MBA, and Executive MBA programs at UCSD. He is a member of many professional organizations, including the American Finance Association, the American Economic Association, the Econometric Society, and the American Real Estate and Urban Economics Association.
Invited Speakers
Krista Baetens
Executive, Asia
Corporate and Institutional Banking
National Australia Bank
Krista Baetens
Executive, Asia, Corporate and Institutional Banking, National Australia Bank
Krista is an experienced global business leader in banking with an international track record of running, growing and fixing local and global businesses in Asia Pacific, Europe and US. She has a deep sector and product knowledge across wholesale and retail banking anchored in her 25 year international experience with National Australia Bank and ING.
Krista is currently the Executive for Asia of C&IB NAB. In this role, she is responsible for all NAB activities in Asia. She joined NAB in January 2021. Until December 2020, Krista was the CEO of Wholesale Banking Asia Pacific. She was also a non-executive non-independent director of ING Australia. Prior to that, she was CRO and Executive Board Member of ING Belgium SA.
Krista has most recently been awarded the title of Fellow of the Hogenheuvelcollege of the Catholic University of Leuven, is a
recipient of ING’s global Engaging Leadership Award, and a laureate of the prestigious Prince Albert Fund. She qualified as a
business and personal coach.
Marcia Banks
Deputy Director
International Association of Credit Portfolio Managers (IACPM)
Marcia Banks
Deputy Director, International Association of Credit Portfolio Managers (IACPM)
Marcia Banks is the Deputy Director of the International Association of Credit Portfolio Managers (IACPM). The IACPM is a non-profit industry association dedicated to advancing the practice of credit portfolio management through advocacy, research, education, communication and promotion of sound practices. IACPM’s members total over 130 financial institutions around the globe. Her current industry initiatives include work on Climate and ESG, advanced data and analytics for risk management, and regulatory developments affecting financial institutions’ soundness and capital adequacy. Previously, Marcia was a managing director and senior portfolio manager at JPMorgan Chase/Bank One. She headed the portfolio management team covering the Bank’s loan portfolio and also worked for many years in loan syndications. Marcia holds an MBA, Finance, from The Wharton School at the University of Pennsylvania and a BSFS, Economics, from the School of Foreign Service at Georgetown University. She teaches regularly at the University of Illinois at Chicago (UIC) and also serves of the Advisory Board of the Arditti Risk Management Center at DePaul University.
Davide Crippa
Chief Risk Officer
Maybank Singapore
Davide Crippa
Chief Risk Officer, Maybank Singapore
Davide Crippa is currently Chief Risk Officer of Maybank Singapore. Prior to joining the largest Malaysian bank in 2019, he spent ten years at Standard Chartered, lastly as Global Head of Risk Measurement responsible among others for the group-wide implementation of IFRS9. Davide has served twice on the IACPM Board, first during his tenure as Head of Portfolio Management and Analytics at Swiss Re, spearheading the expansion of the association to the insurance industry, and later on after moving to Singapore for Standard Chartered, where he supported the expansion of the IACPM in South East Asia and more recently in India. Davide holds a PhD from the Swiss Federal Institute of Technology and an MBA from the University of Rochester (NY).
Edwin Lee
Head Risk Appetite & Strategy
OCBC
Edwin Lee
Head, Risk Appetite & Strategy, OCBC
Edwin Lee is a seasoned practitioner of applied credit risk analytics, working at the intersect of Business, Finance and Risk agendas for credit portfolio management in an originate-to-hold loan book. He has over 20 years of experience in designing and implementing major risk management programmes, developing and implementing risk analytics, and linking said analytics to business and finance applications, such as portfolio shaping, financial resource optimisation, and use of risk appetite in strategic planning. He has worked for many of the Asia Pacific banks spanning Greater China, ASEAN and Australia.
At OCBC, Edwin is actively involved in Credit Portfolio Management, including:
- Ownership over the Group Risk Appetite Statement (RAS), and ensuring alignment of business strategy, financial resources, and risk limits with the stated risk appetite. The includes optimisation of the Group’s capital adequacy, profitability and sustainable growth.
- Ownership over the Emerging Risk Focus Group (a forum comprising of senior management from Business and Risk) where changes to the business environment are discussed and the Risk Posture developed.
Mikko Lehtonen
Senior Expert
McKinsey & Company
Mikko Lehtonen
Senior Expert, McKinsey & Company
- Mikko Lehtonen is a Senior Expert in McKinsey & Company’s Risk practice based in Singapore
- 11+ years of experience advising leading financial institutions in risk and finance across Europe and South-East Asia
- Experience in risk management and advanced analytics, credit risk management, model risk management, stress testing, integrated financial planning, and cybersecurity
- Holds a PhD from ETH Zurich, Switzerland. Worked prior with Oliver Wyman
Lutfey Siddiqi
Adjunct Professor
NUS Risk Management Institute (RMI)
Lutfey Siddiqi
Adjunct Professor, NUS Risk Management Institute (RMI)
Lutfey Siddiqi is an Adjunct Professor at NUS Risk Management Institute and Advisory Board Member of the Centre for Governance and Sustainability (CGS) at NUS Business School. He is a Visiting Professor-in-Practice at the London School of Economics (LSE IDEAS) where is also an advisory board member at the Systemic Risk Centre and The Inclusion Initiative (department of behavioural science).
He was previously a senior investment banker, serving in global and Asia-wide roles at UBS and Barclays.
Lutfey was recognized as a Young Global Leader by the World Economic Forum in 2012 where he has served on their global future councils since 2014, contributing to the official Davos program for several years. He is a governor of UWC Atlantic College, former governor of New City College London and a former board member of CFA Singapore. Having served as a member of the Court of Governors, investment committee and health & safety assurance committee, he is now an Emeritus Governor of the London School of Economics.
David Smith
Senior Investment Director
abrdn
David Smith
Senior Investment Director
David Smith is a Senior Investment Director based in Singapore at abrdn, where he leads ESG research and integration across Asia. David heads the Asia Responsible Investing pod, which oversees the day-to-day running of the Asian Sustainable Development Equity Fund and is a member of the GEM Responsible Investing pod. He is also responsible for leading engagement with board members and management of abrdn’s investee companies in Asia. David spearheads our public advocacy on ESG issues, representing the company at leading international organisations dedicated to improving corporate best practice. He has appeared frequently at regional conferences and industry round tables, and has written for various newspapers and professional publications globally.
Before joining the company in 2011, he worked for ISS as head of Asia (ex-Japan) research. David has a PhD in Corporate Governance and an MA in Corporate Strategy and Governance from the University of Nottingham and a BSc in Business Economics from the University of Wales. He is a CFA Charterholder.
CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute.
Benjamin Wong
Managing Director and Head of Group Portfolio & Analytics
Risk Management Group, DBS Bank
Benjamin Wong
Managing Director and Head of Group Portfolio & Analytics, Risk Management Group, DBS Bank
Benjamin is the Managing Director and Head of Group Portfolio Analytics at DBS Bank, with global end-to-end responsibility for credit risk analytics & modelling used in underwriting, risk ratings, early warnings/alerts, stress testing, IFRS9 ECL provisioning, regulatory / economic capital, and climate change risk & scenario analysis.
Prior to joining DBS, he was the Global Head of Wholesale Risk Analytics in HSBC London, and the Asia Pacific Regional Head of Global Risk Analytics in HSBC Hong Kong. Before that he has held similar roles in credit risk analytics in international banks in Singapore and Toronto, though he started his banking career in credit risk management in Citibank Hong Kong.
Benjamin is an alumni of the NUS RMI with a Master’s degree in Financial Engineering, and holds the designations of CFA, FRM, CPA, CGA and SCR. He has been a Director of the Singapore Chapter of the Risk Management Association (RMA) since 2021.
FTS-Eligible
The Pre-Conference Workshop is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.
Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants’ business activities or job roles.
The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.
For other enquiries, please contact:
Pre-conference Workshop
Ms. Jaslin Chong at rmicsh@nus.edu.sg or 6516 8497
Fifteenth Annual Risk Management Conference
Ms. Shivani Nakhare at rminsr@nus.edu.sg or 6601 1065