Research Symposium on Quantitative Risk Management
Research Symposium on Quantitative Risk Management
The NUS Risk Management Institute (RMI) is pleased to invite participation for its one-day research symposium on quantitative risk management. The symposium will feature three world-leading experts to share ideas and knowledge in this field.
Speakers
Halil Soner
Halil Soner
Professor of Mathematics
ETH Zurich
Soner is currently a Professor at the Swiss Federal Institute of Technology in Zurich, Eidgenössische Technische Hochschule Zürich (ETH-Z) and also holds a senior chair at the Swiss Finance Institute. His research is on nonlinear analysis with emphasis on optimal stochastic control, partial differential equations, stochastic processes and mathematical finance.
Prior to moving to Zurich, he has spent nine years in Istanbul, Turkey and nineteen years in the United States of America. During his tenure in Turkey, he held the Isik Inselbag Chair at Sabanci University for two years and was a member of the Mathematics Department at Koc University for seven years prior to that. He has received his doctoral degree from the Division of Applied Mathematics of Brown University. Later, he was a member of the Department of Mathematical Sciences at Carnegie Mellon 1986 - 1998. In 1998, he became the Paul M. Wyhtes '55 Professor of Engineering and Finance at Princeton.
He has co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance. Since 2011, he has been the Executive Secretary of the Bachelier Finance Society and in 2014 he was awarded the Alexander von Humboldt Research Award.
Masaaki Kijima
Masaaki Kijima
Professor of Finance
Tokyo Metropolitan University
Masaaki Kijima is a Professor of Finance at Graduate School of Social Sciences, Tokyo Metropolitan University (TMU) since 2006. Before joining TMU, he was a Professor of Financial Engineering at Graduate School of Economics, Kyoto University.
He graduated from the Department of Information Sciences, Tokyo Institute of Technology in 1980, and received a Ph.D. in Business Administration from the William E. Simon Graduate School of Business Administration, University of Rochester, in 1986. He returned to Tokyo Institute of Technology to become an Assistant Professor in 1986 and started his research career of applied probability and finance.
He is the author of two books, “Markov Processes for Stochastic Modeling” in 1997 and “Stochastic Processes with Applications to Finance” in 2002, both published by Chapman & Hall, London. He has published more than 100 research papers in international journals specializing in applied probability and mathematical finance. He is currently an Associate Editor of the SIAM Journal on Financial Mathematics.
Nizar Touzi
Nizar Touzi
Professor of Applied Mathematics
Ecole Polytechnique
Nizar Touzi is Professor of Applied Mathematics at Ecole Polytechnique since 2006. He was previously Chair Professor at Imperial College London. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier prize of the French Academy of Sciences in 2012, and the Paris Europlace prize of Best Young Researcher in Finance in 2007. In 2010, he held the University of Toronto Dean's Distinguished Chair position. He is Co-editor and Associate Editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
Programme
| 10:00 - 10:30 | Registration |
| 10:30 - 12:00
Abstract: |
Hedging Leverage ETF Halil Soner (ETH Zurich ) Leveraged Exchange Traded Fund (ETF) is a recent financial instrument rapidly gaining large market size. These funds promise to provide a certain multiple of the daily return of the underlying ETF. The matching is done daily and is very different than matching in long time. Indeed, suppose that initially the ETF value is S, the amount invested in the Leveraged ETF is X, and the multiplier is b. Then, the fund manager of the Leveraged ETF could hold b (X/S) shares of the ETF. This position would guarantee the required return at the end of the day. For the next day, one needs to repeat the same procedure. This mean the position must move to b(X1/S1) where X1 and S1 are the values at the end of the day. Hence, one needs to make large portfolio movements at the end of each day. This is costly due to transaction costs, front-running and for other reasons. It is also observed that despite the promise there is slight slippage in the return of the Leveraged ETFs. We propose a model taking into these frictions and provide hedging strategies which do not require large portfolio movements. This is a joint work with Min Dai, Steven Kou and Chen Yang. |
| 12:00 - 13:00 | Lunch |
| 13:00 - 14:30
Abstract: |
Regulatory Policy to Mitigate Potential Risks Arising from Contingent Convertibles Masaaki Kijima (Tokyo Metropolitan University) A Contingent Convertible (CoCo) bond is an instrument that suffers a write-down or converts into equity when the issuing bank is in financial distress. In practice, a trigger event of CoCo takes place when the capital ratio of the bank falls to the pre-defined level or when the national authority declares a trigger at its discretion. The aims of this study are to model CoCos having such triggers and to find effective regulatory policies to handle them. A model for banks issuing CoCos is built within the framework of a structural-default approach. The trigger mechanisms are expressed both in a first passage time model and in a stochastic intensity model. CoCo investors are also included in our model as CoCos are designed to enhance the bank's resilience while shifting their risks to the investors. In the numerical example, we show that the effective regulatory policy, which is intended to mitigate both banks and investors' default risks, changes according to the type of CoCos (write-down or equity conversion) and the impact of the trigger event on the bank asset value process. This is a joint work with Hitomi Ito. |
| 14:30 - 15:00 | Coffee break |
| 15:00 - 16:30
Abstract: |
Continuous Time Contract Theory and Applications Nizar Touzi (Ecole Polytechnique) Contract theory in economics focuses on social organization by optimizing the incentive of the interacting economic agents so as to account for moral hazard risk. This topic lies at the heart of many relevant real life problems, including insurance tarification, management delegation, regulation, and digital compensation/ tarification policy. We provide some recent results in stochastic control theory which allows to address a wide class of such problems. |