First Annual Risk
Management Institute Research Conference, 2007
“Capital Flows and Asset Prices:
The International Dimension of Risk”
Organized by Berkeley-NUS
Risk Management Institute, in conjunction with
the
Monetary Authority of Singapore, and
the
Federal Reserve Bank of San Francisco
Sole Sponsor:
Barclays Capital
Ritz Carlton, Singapore,
July 6-7, 2007
Updated:
May 28, 2007
At this site you can
obtain:
To Register for the
Conference:
Friday July 6
8:30
Registration Opens
9:30
Welcome and Introductory Remarks.
Chair: Andrew Rose (RMI)
-
Professor Shih Choon Fong (President, National University
of Singapore)
- Heng
Swee Keat (Managing Director, Monetary Authority of Singapore)
10:00 Coffee
Break
10:30
International Macroeconomic Risks.
Chair: Andrew Rose (RMI)
12:00
Lunchtime Address. Chair:
Tan Eng Chye (NUS)
- Janet
Yellen (President, Federal Reserve Bank of San Francisco)
2:00
Credit Risks. Chair:
Jin-Chuan Duan (RMI)
3:30
Coffee Break
4:00
Keynote Address. Chair:
Jeannette Wong (DBS)
5:00
Adjourn
Saturday July 7
9:00
Modeling Financial Risks. Chair:
Khor
Hoe Ee (MAS)
10:30 Coffee
Break
11:00
Panel Discussion: Panel: Basel
II and Beyond. Chair: Lutfey Siddiqi (Barclays Capital)
- Ya-Hwei Yang (FSC)
- Robert
Scanlon (Standard Chartered)
- Lim
Phang Hong (Monetary Authority of
Singapore)
- Paul
Gwee (United Overseas Bank)
12:30
Adjourn
About the
Conference
“Capital Flows and Asset Prices: The International Dimension
of Risk” is the first annual research conference organized by the Berkeley-NUS
Risk Management Institute (RMI), in conjunction with the Federal Reserve Bank of
San Francisco and the Monetary Authority of Singapore. It is intended to bring cutting-edge
research to practitioners in Singapore
and South-East Asia. This year the conference will have a
special focus on the role, scope and management of international financial
risks. The sole sponsor of the conference is
Barclays Capital.
About the Risk
Management Institute
The Berkeley-NUS Risk Management Institute (RMI) was founded
in August 2006. The RMI aims to be a
world-class center in risk management through research, education, and training.
The RMI seeks to create and disseminate high-quality research, both basic and
applied, while also creating the capacity to train high-caliber risk managers in Singapore. More details are available at
http://www.rmi.nus.edu.sg.
Shih Choon
Fong
Professor Shih Choon Fong has been President of the National University of
Singapore since 2000. He received his PhD from Harvard University
in 1973. After working for GE, he joined
Brown University, becoming a full professor in
five years. Shih has done pioneering
work in nonlinear fracture mechanics and related computational methods. He has
published more than 150 papers in leading academic journals, and is among the
world’s most highly cited engineers.
He has received the Swedlow Award, the Irwin Medal, and has been elected to the
US National Academy of Engineering and the American Academy
of Arts and Sciences.
Heng Swee Keat
Heng Swee
Keat has been the Managing Director of the Monetary Authority of Singapore since
2005. An Overseas Singapore Police
Force Scholar, Mr. Heng graduated with a BA (Honours) in Economics from Cambridge in 1983, and a
MPA from Harvard in 1993. Mr Heng
served in the Ministry of Education before his appointment as Principal Private
Secretary to Senior Minister in 1997. He was appointed Deputy Secretary in the
Ministry of Trade and Industry in 2000 and concurrently Chief Executive Officer,
Trade Development Board in 2001.
Mr Heng was appointed Permanent Secretary (Trade & Industry) in 2001.
Janet Yellen
Janet L. Yellen is President of the Federal Reserve Bank of San Francisco. She was the Trefethen Professor of
Business and Professor of Economics at the University
of California at Berkeley, which she joined in 1980. She has also served as a member of the
Board of Governors of the Federal Reserve System, and Chair of President
Clinton’s Council of Economic Advisers.
Robert Merton
Robert C. Merton is McArthur University Professor at the Harvard Business School.
After receiving a Ph.D. in Economics from Massachusetts Institute of Technology
in 1970, he served on the finance faculty of MIT's Sloan School of Management
until 1988 when he moved to Harvard. Professor Merton is past President of the
American Finance Association and a member of the National Academy of Sciences.
He received the Alfred Nobel Memorial Prize in the Economic Sciences in 1997.
Speakers and
Chairs:
Frank Diebold
Francis X. Diebold is Carey Professor of Economics, and
Professor of Finance and Statistics, at the University
of Pennsylvania and its Wharton School,
and Faculty Research Associate at the National Bureau of Economic Research in Cambridge, Mass.
He has published more than one hundred articles and ten books and edited
volumes, and is a leader in financial and macroeconomic modeling, forecasting
and risk management, with extensive experience simultaneously in academic,
corporate, and policy circles.
Michael Dooley
Michael Dooley is Professor of Economics at the University of California,
Santa Cruz, and
a partner in Cabezon Capital, an investment management firm specializing in
emerging markets. He is also a
Research Associate at the National Bureau of Economic Research and Senior
Advisor, Global Markets for Deutsche Bank. He has also worked for numerous
financial institutions, including Deutsche Bank, the International Monetary
Fund, and the Board of Governors of the Federal Reserve System. His published
research covers a wide range of issues in open economy macroeconomics including
work on crises in emerging markets, capital controls, international capital
movements, debt restructuring, capital flight and liberalization of financial
markets.
Jin-Chuan Duan
Jin-Chuan Duan will join the
National University of Singapore on July 1, 2007 as the Director of Risk
Management Institute and a professor of finance. He comes to NUS from the Manulife Chair
in Financial Services at Rotman School of Management, University of Toronto,
and has previously taught at
McGill
University and Hong Kong
University of Science and Technology. Duan has a Ph.D. in finance from the University of
Wisconsin-Madison. He is an expert on financial engineering and risk management,
and is internationally known for his pioneering work on the GARCH option pricing
model. He has many publications on option pricing theories and applications as
well as on numerical and statistical techniques for time-series models.
Dan Galai
Dan Galai is the Abe Gray Professor
of Finance at the School of Business Administration, Hebrew University. He has published numerous articles in
leading business and finance journals, on options, financial assets, and
corporate finance, and is co-author of the leading texts Risk Management and The
Essentials of Risk Management.
He co-invented the volatility index based on the prices of traded index options,
and has served as a consultant for the Chicago Board of Options Exchange and the
American Stock Exchange. Dr. Galai is also a Principal in Sigma P.C.M. Ltd.,
which is engaged in portfolio management and corporate finance.
Peter Garber
Peter Garber has been Global Strategist in Global Markets
Research at Deutsche Bank since 1998.
He has been professor of economics at Brown
University, the
University
of Rochester, and the University of Virginia. He has published numerous articles and
books on the economics of speculative attacks, bubbles, financial crisis,
financial history, and financial and banking structure. He is a Research
Associate at the National Bureau of Economic Research, and has been a visiting
scholar at the Board of Governors of the Federal Reserve, the Bank of Japan, and
the IMF. He received his Ph.D. in economics from
the University of Chicago
and his AB from Princeton
University.
Reuven Glick
Reuven Glick is Group Vice President for International
Economic Research of the Federal Reserve Bank of San Francisco. Prior to joining the Bank, Dr. Glick was
a professor of Economics and International Business in the Graduate School of
Business at New York
University. He has also taught in the Economics
Department at the University of California at Berkeley,
and has worked for both the World Bank, and the Federal Reserve Bank of New York. He is the author of many journal articles
and has edited a number of books.
Paul Gwee
Paul C G Gwee is Senior Vice
President in Risk Management International at the United Overseas Bank Group.
He has over 25 years experience in international and local financial services
industry and accounting/auditing profession, covering areas in commercial
banking, treasury, internal control, financial and risk management.
Paul has a MBA in finance from Graduate School of Business at
University
of Chicago and is a Fellow Chartered
Accountant in Australia. He is presently the Singapore Regional
Director of Professional Risk Managers International Association (PRMIA).
John Hull
John Hull is the Maple Professor in the Rotman School of
Management at the University
of Toronto. He is an
internationally recognized authority on derivatives and risk management and has
many publications in that area. He has written numerous academic articles and
three widely used books: Risk Management
and Financial Institutions, Options,
Futures, and Other Derivatives, and
Fundamentals of Futures and Options Markets.
Recently his research has been concerned with credit risk, executive
stock options, volatility surfaces, market risk, and interest rate derivatives.
He has acted as consultant to many North American, Japanese, and European
financial institutions.
Khor Hoe Ee
Khor Hoe Ee
is the Assistant Managing Director (Economics) of the Monetary Authority of
Singapore and oversees the Economic Policy and Macroeconomic Surveillance
departments. These departments are
responsible for monitoring and assessing developments and trends in the Singapore economy and external environment,
undertaking research on policy issues relating to the Singapore economy, formulating
monetary policy, conducting surveillance of the financial sector and markets,
and advising on international economic and financial issues. Before joining the MAS in 1996, Dr. Khor worked at the IMF.
He holds a BA from Rochester and a PhD in
Economics from Princeton.
David Li
David Li is Head of Quantitative Analytics in the Credit
Derivatives Group at Barclays Capital in
New York. He
has led Barclays Capital quantitative development efforts to support the global
credit derivative trading business.
He has achieved broad recognition in the industry for his groundbreaking work on
pricing portfolio credit derivatives, such as CDOs, using copula functions.
David has previously worked at Citigroup, AXA Financial, The RiskMetrics Group
and CIBC. David has a PhD degree in statistics and
Master's degrees in economics, finance and actuarial science. He is an
associate of the Society of Actuaries and an Associate Editor of the North American Actuarial Journal.
Lim Phang Hong
Lim Phang Hong is a Director,
Complex Institutions Supervision Department at the Monetary Authority of
Singapore.
He is responsible for the licensing and
consolidated supervision of a group of banks in Singapore. He has previously been responsible for
financial risk models and the internal risk management function of MAS, and has
worked in the banking, treasury, capital markets and stock-broking functions of
various international banks in
Singapore
and overseas.
Chris Matten
Chris Matten is a partner in
PricewaterhouseCoopers’ (PwC) Singapore Banking and Capital Markets practice,
charged with the development of risk and capital management, and shareholder
value, solutions for financial institutions and corporates. He has over 17 years experience in the
financial services industry, working in various risk- and financial-control
roles, including work at OCBC as Chief Financial Officer. A recognised
expert on both risk management and economic capital, Mr Matten is well-known from his many conference presentations
and published articles. His book, Managing Bank Capital, is in its second
edition, and has been translated into several languages, including Japanese and
Mandarin.
Lucrezia
Reichlin
Lucrezia Reichlin is Director
General of Research at the European Central Bank, and Professor of Economics at
ECARES, Université Libre de Bruxelles (on leave). She has published extensively in
econometrics and business cycle analysis.
She holds a Ph.D. from New York University (1986) and previously worked at the OFCE in
Paris, the Graduate School of Business at Columbia University
and at the European University Institute. She has served as CEPR program
co-director for International Economics, as chief scientist for the Euro Area
Business Cycle Network, and is a Member of the Council of the European Economic
Association. She is fellow of the
European Economic Association and a member of many scientific committees and
councils.
Andrew Rose
Andrew Rose is the Rocca Professor of International Business
at UC Berkeley. In 2006-07 he
visited the Monetary Authority of Singapore, and the National University of
Singapore, where he acted as founding director of the Risk Management Institute. He has published in international
finance, trade, macroeconomics, and monetary economics.
Nouriel Roubini
Nouriel Roubini
is Professor of Economics at the Stern School of Business, New York University
and Co-Founder and Chairman of Roubini Global Economics LLC, a web-based
economic and geo-strategic information service and economic consultancy. He is a
senior academic researcher in the field of international macroeconomics; he has
also had broad policy experience in a number of positions in the U.S. government
and his views are regularly and widely cited in the press and media. He is a
frequent commentator on global economic issues and his global economics Web site
has been ranked as the #1 web site in Economics in the world.
Robert Scanlon
Bob Scanlon is the Chief Risk Officer for the Wholesale
Banking business of Standard Chartered Bank.
He has accountability for the development of credit risk policies, Credit
& Risk management process, and the human capital needed to manage the business.
This responsibility encompasses US$124 billion of assets, over 30,000 customers,
and over 200 credit and risk professionals.
He has over 25 years of experience in the financial services industry and has
held senior positions at HSBC, UBS and CSFB. He has served as the President of
the London Chapter of the Risk Management Association, is presently a member of
the Board of Trustees of GARP (Global Association of Risk Professionals), and
holds a Fellowship in the Chartered Institute of Bankers.
Lutfey Siddiqi
Lutfey Siddiqi CFA is Managing Director & Asia-Pacific Head
of Corporate Risk Advisory at Barclays Capital. Previously, Mr. Siddiqi was
Global Head of Foreign Exchange Structuring at Barclays Capital, based in London.
Before joining Barclays, he was European Head of the Global Risk Strategy
Group at Deutsche Bank. Lutfey has a
MSc. (Econ) from the London School of Economics and a First Class BSc. in
Econometrics from the University of York, UK. Currently, he is also a
guest lecturer on the MSc. (Financial Engineering) programme at the National
University of Singapore.
Tan Eng Chye
Tan Eng Chye is Deputy President
and Provost of NUS, as well as chairman of the RMI board. He has been a student, professor and dean
at NUS, and earned his doctorate from Yale.
An award-winning teacher in Mathematics, his research has been published
in leading journals, including Bulletin of the American Mathematical Society,
and Journal of Functional Analysis. He served as President of the Singapore
Mathematical Society between 2001 and 2005, and as President of the South East
Asian Mathematics Society from 2004 to 2005.
Jeannette Wong
Jeannette Wong is the Chief Financial Officer of DBS Group,
and is responsible for financial and management reporting of the affairs and
activities of DBS Group and risk-based capital management. She leads the Group’s financial
initiatives, including capital fund raising, mergers and acquisitions. She has also worked at J.P. Morgan as
Senior Country Officer, in Global Markets and Emerging Markets sales and trading
business, and in Foreign Exchange and Fixed Income. She holds degrees from NUS
and the University
of Chicago, and is a
member of the RMI board.
Ya-Hwei Yang
Ya-Hwei
Yang, Ph.D. is a Commissioner at the Financial Supervisory Commission (FSC),
Taiwan. She is also Adjunct Professor at National Taiwan University. Previously,
she was a Director at the Central Bank of the Republic of China (Taiwan). Dr.
Yang was Director and Research Fellow of the Division of Taiwan Economic
Research at the Chung-Hua Institution for Economic Research. She has published
extensively in the field of economics, with a special focus on financial systems
and monetary policies.
