NUS Risk Management Institute

Seminars/Workshops 2007

RMI Research Workshops

RMI Research Workshops are conducted on the first Friday of every month except January, July & August.

7 December 2007 (3.00pm - 5.40pm) Announcement

Prof Johan Walden (Haas School of Business)
~ Heavy-tailed Risk, Limits of Diversification & Catastrophe Insurance

Prof David Ng (Cornell University)
~ Is Unlevered Volatility Asymmetric?

2 November 2007 (3.00pm - 5.40pm) Announcement

Prof Ashay Kadam (Cass Business School)
~ Issuer Heterogeneity in Credit Ratings Migration

Prof Andras Fulop (ESSEC Business School)
~ How liquid is the CDS market?

5 October 2007 (3 - 6pm) Announcement

Prof Dan Galai (Hebrew University)
~ Credit Risk Spreads in Local and Foreign Currencies (Slides)

Prof Tim Rene Adam (National University of Singapore)
~ Strategic Risk Management and Product Market Competition (Slides)

7 September 2007 (3 - 6pm) Announcement

Prof Vladimir Spokoiny (Humboldt University, Germany)
~ Robust Risk Management. Accounting for Nonstationarity and Heavy Tails

Prof Belal E Baaquie (National University of Singapore)
~ Correlated interest rates in Quatum Finance: Pricing (exotic) Credit Derivatives

Seminars

20 November 2007 (4:30 - 5:30pm) Announcement

Prof Thomas F. Coleman (Dean, Faculty of Mathematics, University of Waterloo)
~ Finance, Optimization, and Parallel Computing: An Overview of Some Important Issues and Developments in Computational Finance

26 September 2007 (3:30 - 5pm) Announcement

Dr Mico Loretan (Senior Economist, The Federal Reserve Board, Bank for International Settlements)
~ Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

21 September 2007 (3 - 4:30pm) Announcement

Prof. Wolfgang Haerdle (Humboldt University, Germany)
~ Inhomogeneous Dependence Modelling with Time Varying Copulae (Slides)

26 June 2007 (4 - 5pm) Announcement

Dr Marcelo C. Medeiros (Pontifical Catholic University of Rio de Janeiro)
~ Bagging Realized Volatility Models

4 June 2007 (3 - 4:30pm) Announcement

Assoc Prof. Andrew Lim (University of California, Berkeley)
~ Robust Asset Allocation Using Benchmarking

16 May 2007 (4 - 5pm) Announcement

Prof. James Kenton Zumwalt (Colorado State University)
~ Fear and the Fama-French Factors

4 April 2007 (2.30 - 4pm) Announcement

Prof. Alan Wong (NUS Risk Management Institute)
~ Prospect and Markowitz Stochastic Dominance

5,7 & 12 March 2007 (10am - 1pm) Announcement

Prof. Jin-Chuan Duan (University of Toronto)
~ PhD Seminar Series – GARCH Models Part I-III

21 February 2007 (4pm - 5pm) Announcement

Prof. Jayaram Muthuswamy (Singapore Management University)
~ Non-Synchronicity and Illiquidity in Asset Markets – Implications for Risk Management

15 February 2007 (6:30pm - 7:30pm) Announcement

Prof. Hans Föllmer (Humboldt University, Berlin)
~ Mathematical Aspects of Financial Risk

2 February 2007 (4pm - 5pm) Announcement

Prof. Jin-Chuan Duan (University of Toronto)
~ How Frequently Does the Stock Price Jump? - An Analysis of High-Frequency Data with Microstructure Noises

1 February 2007 (4 - 5pm) Announcement

Dr. Christopher Lee Marshall (SunGard Asia Pacific)
~ Estimating PD, LGD and EAD: Why it’s difficult andmaking it less so

26 January 2007 (9am - 10am) Announcement

Prof. Ehud I. Ronn
~ Managing Long and Short Price-and-Quantity Exposure at the Corporate Level

RMI Research Lectures

RMI Research Lecture Series Announcement

Prof Andras Fulop (ESSEC Business School)
~ Particle Filtering with Applications in Finance
Part 1: 31 October 2007 (9am - 12nn)
Part 2: 5 November 2007 (2 - 5pm)
Part 3: 7 November 2007 (9am - 12nn)