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  Issue 8 | Archive   August 2011

FEATURE
RMI's Fifth Annual Risk Management Conference Marks Another Success

The NUS Risk Management Institute (RMI) successfully hosted its Fifth Annual Risk Management Conference from 7 - 8 July 2011 at the Grand Hyatt Hotel, Singapore. The topical theme of the conference was 'Global Imbalances and their Risk Management Implications.' The event featured a one-day policy forum, followed by a one-day scientific program which drew over 300 delegates from the banks and financial institutions, central banks, regulatory agencies, academia and think tanks.

RMI Director Prof. Jin-Chuan Duan opened the two day conference with his welcome and introductory remarks. The first session "Risks in the Post Crisis Economy", chaired by Mr. John Sequeira, the Principal Economist of the Monetary Authority of Singapore, saw speakers Mr. Chi Lo, Chief Executive Officer of HFT Investment Management (HK) Ltd and Mr. Ravi Balakrishnan, Resident Representative of the International Monetary Fund, giving their views on emerging risks in the post crisis economy.



Public Lecture on Stochastic Portfolio Theory

"More than a basket of stocks: Why volatility helps portfolio perform " - this was the theme of the latest NUS-RMI public lecture on 4 May, 2011. The public lecture was delivered by Mr. Carl Moss, the London-based Senior Investment Officer of INTECH's International Division, who introduced the Stochastic Portfolio Theory (SPT). SPT exploits the natural volatility of stock prices to construct portfolios and seek to outperform a passive benchmark over the long term with low levels of relative risk, without using return forecasts. It has become the main mathematical theory behind the INTECH's active portfolio strategies and the basis of INTECH's investment process for over 21 years.


Analyzing Bank Ratings: Key Determinants and Procyclicality

A paper by Elisabeth Van Laere (National University of Singapore) and Bart Baesens (Katholieke Universiteit Leuven)

In a recent working paper, RMI research fellow, Dr. Elisabeth Van Laere, and her co-author, provide a comprehensive analysis on the credit ratings of banks by Moody's and Standard & Poor's (S&P). While upgrading financial regulations and supervision in order to prevent future crises, many authorities are being confronted with the fact that risks taken in the process of financial intermediation are difficult to observe and assess from outside the bank. In the absence of tight regulations, this opaqueness exposes banks to runs and systemic risk. In order to reduce this lack of transparency, credit rating agencies (CRAs) provide information that can help various stakeholders to evaluate the credit risk of issues and issuers. Even though CRAs have been criticized a lot in the latest financial crisis, for many observers of financial markets, credit ratings continue to play an essential role.


New Staff

Dr. Serena Tiong joined RMI as a Research Fellow. After receiving her Ph.D. in Actuarial Science from the University of Iowa in 2000, she worked for ten years in the financial industry in different areas including private banking, investment banking, risk management, insurance and pension portfolio advisory, and derivative structuring. Her research interests are pricing and hedging of financial guarantees in insurance policies, asset and liability management, and capital market solutions for insurance liabilities. She is an Associate and a Chartered Enterprise Risk Analyst from the Society of Actuaries.

Mr. Amit Kumar Sinha joined RMI as a Research Analyst with a degree in Electrical Engineering from Indian Institute of Technology and is expecting to complete his Master of Science in Financial Engineering this year. He has worked for General Electric, Numerix and CitiBank, before coming to Singapore for his Master's study. His hobbies include photography and cricket.





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Visitors from Guizhou

May 2011

On 5 May 2011, a group of six professors from China's Guizhou University of Finance and Economic visited RMI. The group, led by the University's Deputy Director of Teaching Affairs Prof. Jing Yaping, was hosted by Prof. Sun Defeng, RMI's Deputy Director. Through two presentations given by RMI staff, they gained information about RMI and its operations, of which they were particularly interested in its Master of Science in Financial Engineering (MFE) degree and the non-profit Credit Rating Initiative.


Research Workshop Series

May 2011

On 6 May 2011, Prof. Masaaki Kijima, Professor of Finance at Graduate School of Social Sciences, Tokyo Metropolitan University presented his paper entitled 'Buhlmann's Economic Premium Principle in an Incomplete Market'. His paper examined the Buhlmann's equilibrium pricing model (1980) in an incomplete market setting and derived the (multivariate) Esscher transform within the framework under some assumptions. The result revealed that the Esscher transform was an appropriate probability transform for the pricing of insurance risks whose market is presumably incomplete.


Research Workshop Series

June 2011

Prof. George M von Furstenberg of Indiana University spoke at RMI's Research Workshop Series on 3 June 2011 on 'Concocting Marketable Cocos'. Prof. von Furstenberg attempted to evaluate U.S. responses to the 2007 - 2009 financial crisis by investigating whether it is effective for greater self-insurance of financial institutions to issue contingent capital, specifically "Cocos" which would convert to common equity automatically when minimum capital ratios have been breached.




Public Lecture by Mr Guan Jianzhong, Chairman and President, Dagong Global Credit Rating (in Chinese)
21 September 2011

NUS-Waterloo Certification Workshops in Financial Risk Management
17 - 20 October 2011

RMI Research Seminar
31 October 2011

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Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)