Tenth Annual Risk Management Conference
Tenth 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 one day policy forum where the focus of talks will be on policy initiatives, regulatory changes and industry developments. The second 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.
| Pre-conference Workshop | 25 July 2016 |
| Policy Forum | 26 July (Morning) 2016 |
| Scientific Program | 26 July (Afternoon) & 27 July (Full-Day) 2016 |
Speakers
Policy Forum
Lawrence Antioch
Lawrence Antioch
Managing Director and Head of Group Porfolio Analytics,
Risk Management Group
DBS
Lawrence (Laurie) Antioch is Managing Director and Head of Group Portfolio Analytics. Prior to taking on this role, he was Head of Model Validation, Risk Management Group, DBS Bank. Before joining DBS, he served as Global Head of Portfolio Management with National Australia Bank (NAB). He has more than 15 years of experience in banking, spanning across areas such as corporate strategy, marketing and risk management (that includes market & liquidity risks, credit & counter party risks).
Before joining NAB, he worked for the Australian Treasury where he was involved in taxation reform, economic & financial analysis, forecasting and econometric modelling of the Australian economy.
His interest continues to be in the area of better aligning risk, return, and growth objective of the Bank. He has been involved in:
- Developing a more comprehensive and integrated approach to risk and capital issues
- Design, validation and implementation of risk models
- Credit portfolio management and stress testing
- Shaping / influencing banks’ risk appetite and business opportunities
- Issues relating to strategy, culture and people
- Building specific risk functions to meet business objectives
He holds a Bachelor and Graduate Diploma degrees in Economics from Australian National University and a Master's Degree in Economics from Simon Fraser University, Canada.
David Dredge
David Dredge
Chief Investment Officer
City Financial Investment Company Pte Ltd
David Dredge is Chief Investment Officer of the City Financial Investment Company Pte Ltd. He is a long time Asian financial market participant, having originally come to the region in 1987 with Bank of America. He spent the next four and a half years performing various trading roles in Singapore, Jakarta, Tokyo, Seoul, and Hong Kong during a critical period of market development and deregulation. Over this time, he developed a vision around the unique and asymmetric nature of risk in markets that were impeded from efficient risk pricing, generally as a result of government involvement. It was this vision around risk that eventually led him to Bankers Trust Company, and the subsequent development of what would evolve into their Emerging Markets Trading and Sales business. Bankers Trust’s EM business was based on this vision of complex interconnected risk, and became a leader in multi-asset (equity, credit, FX, rates) class risk management and a significant innovator of new products and markets.
After the merger with Deutsche Bank in 1999, Mr. Dredge took some time off, returning to Asia in 2005 to build an EM business for ABN Amro. Again, applying the principles of positively convex risk management across a portfolio of asymmetric interconnected risks, Mr. Dredge helped put together a significantly successful business in Asia and across the other EM regions. Mr. Dredge maintained his roles on behalf of RBS post their merger through 2008 then stepped out of the banking side of the business.
Mr. Dredge graduated from University of Utah with a degree in Finance, and completed an MBA at the University of California, Berkeley. Mr. Dredge continues to be involved in market development activities, sitting as a main committee member of the Singapore Foreign Exchange Markets Committee (SFEMC), having previously served roles as the Main Committee Vice Chairman and as the Chair of the Market Development Sub-Committee. Mr. Dredge also serves as an Advisory Board member for the National University of Singapore’s (NUS) Center for Asset Management Research and Investment (CAMRI).
Lim Tuang Lee
Lim Tuang Lee
Executive Director, Prudential Policy Department
Monetary Authority of Singapore (MAS)
Lim Tuang Lee is the Executive Director of the Prudential Policy Department, Monetary Authority of Singapore (MAS). As head of the department, he leads his team in formulating capital and prudential policies to foster a sound and dynamic financial sector. One key area of focus is the design of capital standards and the implementation of Basel III. In addition, the department formulates MAS’ policies on housing loans, unsecured credit, concentration limits, and deposit insurance. Prior to this appointment, Mr. Lim headed the Risk Management Department. He was in charge of the holistic management of risks for the MAS, including investment risk management of Singapore’s official foreign reserves, business continuity planning, and overall enterprise risk management for the MAS. During his time at the MAS, Mr. Lim has also worked in other areas, including banking supervision, monetary management, and strategic planning.
He has a Bachelor of Accountancy (First Class Honours) from the Nanyang Technological University and a Master’s in Finance from the Université de Lausanne, Switzerland.
Bernhard Steiner
Bernhard Steiner
Asia Pacific Chief Risk Officer
Asia Pacific Credit Risk Management Executive
Bank of America Merrill Lynch
Bernhard Steiner has been the Asia Pacific Chief Risk Officer for Bank of America Merrill Lynch since 2012. In this role, Mr. Steiner is responsible for the oversight and integration of multiple risk disciplines across Asia Pacific. He also serves as Asia Pacific Credit Risk Management executive, with responsibility for credit risk management in the region. He is a member of the Asia Pacific Executive Committee.
Mr. Steiner also chairs the Asia Pacific Diversity and Inclusion Council and is a member of the Global Diversity and Inclusion Council.
Mr. Steiner’s risk management career spans over 20 years. In his most recent role prior to joining Bank of America Merrill Lynch, he served as the Asia Pacific Chief Risk Officer and Global Head of Credit Risk Emerging Markets at UBS where he had overall responsibility of all risk disciplines in Asia Pacific at UBS Investment Bank, and served as a member of the UBS Asia Pacific Management Committee. Before that, he held a variety of senior risk management positions at UBS and Credit Suisse and worked in London, Moscow, New York and Zurich.
Jeffery Bohn
Jeffery Bohn
Chief Science Officer and Head of GX Labs
State Street Global Exchange
Jeffery Bohn is the Chief Science Officer & Head of GX Labs at State Street Global Exchange. Prior to his current appointment, Dr. Bohn established the Portfolio Analytics and Valuation Department within State Street Global Markets Japan in Tokyo. He previously ran the Risk and Regulatory Financial Services consulting practice at PwC Japan. Prior to PwC, he co-founded Soliton Financial Analytics in Hong Kong and Soliton Japan in Tokyo. Before moving to Asia, he led Moody’s KMV’s Global Research group and Credit Strategies group.
Dr. Bohn has published widely in the area of credit risk. He co-authored with Roger Stein Active Credit Portfolio Management in Practice (Wiley, 2009). Dr. Bohn is an affiliated researcher at U.C. Berkeley’s Center for Risk Management Research.
Steven Kou
Steven Kou
Director, NUS Risk Management Institute (RMI)
Class of '62 Professor of Mathematics, NUS
Steven Kou is the Director of the NUS Risk Management Institute (RMI). He is also a Professor of Mathematics at National University of Singapore. 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. From 1 July 2016, he has been appointed Class of '62 Professor of Mathematics.
Recognised 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 recognised 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, Advances in Applied Probability, and Journal of Business and Economic Statistics.
Brian Lo
Brian Lo
Managing Director and Head of Market & Liquidity Risk
DBS
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 University and a first class honours from the University of Hong Kong. He has been an active speaker in regional forums including RISKIMINDS, RISK, ISDA, and RMA conferences.
Suprita Vohra
Suprita Vohra
Director, Risk Solutions Group (Asia Pacific)
Barclays
Suprita Vohra is a Director in Barclays Investment Bank, and is responsible for delivering risk solutions to clients across FX & rates. Prior to that, she was head of FX & Commodities Structuring for Asia, creating bespoke derivative strategies for corporate and institutional clients. She has been with Barclays since 2007, having worked for Citi and HSBC before that in various roles across Singapore and India. Her career spans over 15 years of client advisory in derivatives and financial risk management.
She holds the CFA Charter and an MBA from Indian Institute of Management, Calcutta. Being passionate about continuous learning, Suprita also co-chairs the CFA Singapore Membership Committee, and is completing PhD in Finance in her spare time. She is a proud mother to her 6 year old daughter.
Davide Crippa
Davide Crippa
Global Head of Risk Measurement
Standard Chartered
Davide Crippa is Global Head of Risk Measurement at Standard Chartered. He is responsible for all credit, market, and portfolio risk models across the bank, as well as for key components of major projects such as the new impairment approach under IFRS 9. Before joining Standard Chartered in 2008, Mr. Crippa spent nine years at Swiss Re and five years at UBS leading portfolio management and analytics functions.
Mr. Crippa holds a PhD from the Swiss Federal Institute of Technology (ETH), and he is currently a board member of the International Association of Credit Portfolio Managers and the NUS RMI.
Eric Li
Eric Li
Managing Director and Head of Emerging Market Macro Trading (APAC)
FX, Rates & Credit
UBS
Eric Li joined UBS in 2010 and currently runs the Emerging Market Macro Trading for Asia Pacific region in FX, Rates and Credit division. Based in Singapore, his team is responsible for providing liquidity in various Emerging market Asian FX and Rates instruments (Spot, Forwards, NDF, swaps etc.) for clients from different segments globally. His team is also in charge of risk management in all flows in the Emerging Market Asian macro trading books. Mr. Li worked in UBS Hong Kong office for 3 years before relocating to UBS Singapore office in 2013.
Prior to UBS, Mr. Li worked in JP Morgan Hong Kong and Deutsche Bank Singapore both in Emerging Market Trading functions. Mr. Li graduated from National University of Singapore with a Bachelor of Computer Science (Hons).
Frankie Phua
Frankie Phua
Managing Director
Head of Credit & Country Risk Management
UOB
Frankie Phua is the Managing Director and the Head of the Credit & Country Risk Management Division in UOB. His responsibilities include credit policy, credit research, counterparty credit risk management, credit modeling, economic capital, credit portfolio management, country risk management, and stress testing. Mr. Phua is a member of UOB Group Rating Committee, the Anti-Money Laundering Committee, the Capital Working Group, and the Data Governance Working Group.
Outside the Bank, Mr. Phua is active in the risk management community. He is currently the Chairman and a Director of the Board of the Singapore Chapter of the Risk Management Association (RMA) in US. He is also a member of the Financial Industry Competency Standards (FICS) working group in Singapore.
Mr. Phua has conducted credit risk trainings for banks in Cambodia, China, Myanmar, Vietnam, and Taiwan. He is also a regular speaker in conferences on Basel II. He is appointed by NUS RMI to teach the Specialist Diploma in Risk Management. He also teaches credit risk course courses for Euromoney.
Prior to joining UOB Credit Risk Management, Mr. Phua had more than 10 years of frontline experience in corporate and investment banking gained from his tenure at leading international banks.
Dennis Wu
Dennis Wu
Director, Department of Fundamental Theories
GOSS Institute of Research Management
Dr. Dennis M. Wu received a Bachelor’s and Master’s in Engineering in 2004 and a PhD in Electrical Engineering (EE) in 2008, from MIT. Prior to attending MIT, he studied EE at National Taiwan University for two years. He was an Associate Quantitative Analyst focusing on foreign currency derivatives in the Tokyo office of Goldman Sachs until 2009, and an Executive Director in the Hong Kong office until the end of 2011. Since 2012 he has served as a Senior Researcher and the Director of the Fundamental Theories Department at the GOSS Institute of Research Management working on intelligent quantitative solutions for decisions making in financial investments.
Dr. Wu was a bronze medalist at the 1997 International Mathematical Olympiad held in Mar del Plata, Argentina, and he won an honorable mention for the 2004 U.S. National Science Foundation Graduate Research Fellowship.
Noel D'Cruz
Noel D'Cruz
Head of Risk Portfolio Management
OCBC
Noel D’Cruz is currently Head of Risk Portfolio Management at OCBC Bank. He manages teams in risk management that are responsible for the development of credit risk models, measurement of regulatory and economic capital, generation of credit risk portfolio dashboards, and integrated risk assessments in relation to risk appetite and capital adequacy across OCBC Bank Group. Credit risk modeling has now been extended to the establishment of expected credit loss frameworks under the IFRS 9 accounting standards while the integrated risk assessments include oversight of the Group’s enterprise-wide stress testing program, emerging risk assessments, and risk-adjusted portfolio assessments. The implementation of revisions to the Basel rules regarding the computation of risk-weighted assets, and guidelines on risk data aggregation would fall substantially under his purview.
Noel is a member of the Group’s Credit Risk Management Committee and Risk Capital Committee. He graduated from the London School of Economics and Political Science, majoring in Accounting and Finance, and was a Chartered Financial Analyst.
Steven Lim
Steven Lim
Partner
PwC
Steven Lim is a Partner in PwC’s South East Asian Consulting division and leads its Financial Risk Management practice. He is also PwC’s regional subject matter expert in the areas of credit risk provisioning (both IAS 39 and IFRS 9) and Basel II Advanced Internal Ratings Based models. He is currently working with a number of Asia’s leading banks, in Singapore, Malaysia, Thailand, and China, assisting them with their implementation of IFRS 9.
Prior to moving to Singapore, Mr. Lim was based in Australia where he worked extensively with all of the major Australian banks on various credit risk and Basel II related projects.
Ilhyock Shim
Ilhyock Shim
Principal Economist
Bank for International Settlements (BIS)
Mr. Shim is currently Principal Economist at the BIS Representative Office for Asia Pacific located in Hong Kong SAR. His primary responsibilities include conducting research on financial stability and market issues and organising high-level meetings for Asia Pacific central banks. Before he was assigned to Hong Kong SAR in September 2007, he had worked for the BIS in Basel for three years as Economist at Financial Institutions and Infrastructure Unit of the Research and Policy Analysis Group.
He began his career as a Deputy Director in the Korean government in April 1996. Between February 1997 and July 1999, he worked at Korea Ministry of Finance and Economy as Deputy Director in charge of the deposit insurance system and financial sector restructuring during the Korean financial crisis. From December 2009 to November 2010, he was Advisor to the G20 Affairs Office of the Bank of Korea, and helped Korea chair the G20 process in 2010.
Mr. Shim obtained a Bachelor’s and a Master’s degree in Economics from Seoul National University and PhD in Economics from Stanford University. He published in academic journals nine articles on optimal dynamic banking regulation, optimal IMF lending contract, distress selling and asset market feedback, the impact of CDS trading on the bond market, dislocations in the won-dollar swap markets, the impact of capital flow management policies on cross-bond market correlations, recent issues on macroprudential policy, and the effectiveness of macroprudential and capital flow management policies in Asia. He has also made several BIS publications on the risk-taking channel of currency appreciation, regional banking in Asia Pacific, asset managers in EMEs, the effectiveness of housing market policies, and credit derivatives and structured credit in Asia Pacific.
Scientific Program Plenary
Jianqing Fan
Jianqing Fan
Frederick L. Moore ´18 Professor of Finance, Professor of Statistics
Princeton University
Jianqing Fan is Frederick L. Moore '18 Professor of Finance, Professor of Statistics, and former Chairman of Department of Operations Research and Financial Engineering at the Princeton University. He previously held professorships at City University of Hong Kong (CUHK), University of North Carolina at Chapel Hill, and University of California at Los Angeles (UCLA). He has authored or co-authored over 200 articles on financial econometrics, computational biology, and various aspects of theoretical and methodological statistics. His finance work focuses on the analysis of high-frequency data, portfolio allocation, risk management, time series, high-dimensional data, and non-parametric modelling.
His published work has been recognised by the 2000 Committee of Presidents of Statistical Societies (COPSS) Presidents’ Award, the 2007 Morningside Gold Medal of Applied Mathematics, and a Guggenheim Fellowship in 2009, Academician of Academia Sinica 2012, Guy Medal in Silver, 2014. He is an Elected Fellow of the American Association for Advancement of Science, the Institute of Mathematical Statistics, and the American Statistical Association, and a past President of the Institute of Mathematical Statistics. He is the co-editor of Journal of Econometrics and associate editor of Journal of American Statistical Association, and past co-editor of Annals of Statistics and Probability Theory and Related Fields and has served as as co-editor of Econometrics Journal and as associate editor of Econometrica, and Journal of Financial Econometrics.
David Hirshleifer
David Hirshleifer
Professor of Finance, Paul Merage Chair in Business Growth
University of California-Irvine
Prof. Hirshleifer is Merage Chair and Professor of Finance at the Merage School of Business, University of California-Irvine; he was previously on the faculties of Ohio State University, University of Michigan, and UCLA, and received his PhD from the University of Chicago. He served as the Executive Editor of a leading academic finance journal, the Review of Financial Studies, as director of the American and Western Finance Associations, and as associate editor of several other finance, economics, and strategy journals.
He has published more than 60 papers, several of which have won research awards, including the Smith Breeden Award for outstanding paper in the Journal of Finance. He helped develop the field of behavioral finance, and has written extensively on both corporate finance and investments. Among many other topics, his research addresses investor and manager psychology, social transmission of investment behaviors, and the effect of emotions on markets.
He is co-author of Price Theory and Applications: Decisions, Markets, and Information, now in its seventh edition. He has presented his research widely, and has been keynote speaker at many international conferences. He has also served as a consultant for securities and money management firms, and his research has been profiled in international print and broadcast media.
In Partnership with
FTS-Eligible
This programme 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.
NUS Risk Management Institute (RMI) is registered with GARP as an Approved Provider of continuing professional development (CPD) credits. RMI has determined that this program qualifies for 13 GARP CPD credit hours. If you are a Certified FRM or ERP, please record this activity in your Credit Tracker at www.garp.org/cpd.
For other enquiries, please contact:
Pre-conference Workshop
Ms. Jasline Chong at rmicsh@nus.edu.sg or 6516 8497
Tenth Annual Risk Management Conference
Ms. Shivani Nakhare at rminsr@nus.edu.sg or 6601 1065