Seminars/Workshops 2008
RMI Research Workshops
RMI Research Workshops will be conducted on the first Friday of every month except January, July & August.
Forthcoming Research Workshops
5 Sep 2008 (3.00pm - 5.40pm)
Announcement
~UPCOMING!~
Prof Chung-Ming Kuan (Academia Sinica)
~ TBA
Prof Zhang Lu (University of Michigan)
~ Neoclassical Factors
3 Oct 2008 (3.00pm - 5.40pm)
Announcement
Prof George Jiang (University of Arizona)
~ TBA
7 Nov 2008 (3.00pm - 5.40pm)
Announcement
Prof Bruce Grundy (University of Melbourne)
~ TBA
Dr Terry L. Benzschawel (Citigroup)
~ TBA
5 Dec 2008 (3.00pm - 5.40pm)
Announcement
Dr Jeffrey Bohn (Shinsei Bank)
~ TBA
Past Research Workshops
6 June 2008 (3.00pm - 5.40pm)
Announcement
Prof. Kris Jacobs (McGill University)
~ Forward-Looking Betas
Prof. Yue-Kuen Kwok
(Hong Kong University of Science
and Technology)
~ Guaranteed Minimum Withdrawal Benefit in Variable
Annuities
[Slides]
2 May 2008 (3.00pm - 5.40pm)
Announcement
Prof.Marcel Rindisbacher (University of Toronto)
~ Dynamic Asset Allocation: A Portfolio
Decomposition Formula
Prof. Jin-Wan Cho (Korea University)
~ Foreign Ownership and Exchange Rate Risks:
Evidence from Korean Stock Returns
4 April 2008 (3.00pm - 5.40pm)
Announcement
Prof. Ju Nengjiu (Hong Kong University of
Science and Technology)
~ Ambiguity.
Learning, and Asset Returns
Prof.
Melvyn Sim (National University of Singapore)
~
Satisficing Measures in Analysis of Risky Positions
7 March 2008 (3.00pm - 5.40pm)
Announcement
Prof. Stan Pliska (University of Illinois-Chicago)
~ Computerized Strategies for Electronic Market
Making
Prof. Hans Föllmer (Humboldt University-Berlin)
~ Probabilistic Quantification of Financial
Uncertainty
[File 1]
[File 2]
[File 3]
1 February 2008 (3.00pm - 5.40pm)
Announcement
Prof Ray Chou (Institute of Economics, Academia Sinica)
~ Explaining the Great Decoupling of the Equity-Bond Linkage with a Modified Dynamic Conditional Correlation Model
Prof Juri Hinz (National University of Singapore)
~ On risk neutral price dynamics of emission credits
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RMI Industry RoundTables
13 May 2008 (2.30pm - 5.30pm)
Announcement
Dr Erik Heitfield (Senior Economist, Federal Reserve Board)
~ Risk-Based Regulatory Capital and Basel II
Industry Discussion
~ Dr Erik Heitfield (Senior Economist, Federal
Reserve Board)
~ Mr Chan Chee Hoe (Deputy Director, Specialist Risk Supervision Department, Monetary Authority of Singapore)
~ Mr Lawrence Antioch (Managing Director, Group Risk-Credit Risk, Development Bank of Singapore)
~ Dr Khoo Guan Seng (Head, Group Risk(Models Validation), Group Risk Analytics, Standard Chartered Bank)
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Joint Seminars
26
November 2008
(4:00 - 5:30pm) Announcement
Prof Johan Walden (UC-Berkeley)
~ TBA
15 July 2008
(4:00 - 5:30pm) Announcement
Prof Yacine Aït-Sahalia (Princeton University)
~ Testing Whether Jumps Have Finite or Infinite Activity
Joint Seminar With Department of Economics
10 July 2008
(3:30 - 5:30pm) Announcement
Prof Fan Jianqing (Princeton University)
~ Option Pricing with Aggregation of Physical Models and Empirical Learning
Joint Seminar With Department of Statistics and Applied Probability
10 July 2008
(2:00 - 3:00pm) Announcement
Prof Fan Jianqing (Princeton University)
~ Estimation of High-dimensional Covariance Matrix
Joint Seminar With Department of Statistics and Applied Probability
1 June 2008
(3:00 - 4:00pm) Announcement
Dr Xing Haipeng (State University of New York at Stony Brook)
~ Mean-Variance Portfolio Optimization When Means and Covariances are Estimated
Joint Seminar With Department of Statistics and Applied Probability
16 January 2008
(3:00 - 4:00pm) Announcement
Prof Wong Hoi Ying(The Chinese University of Hong Kong)
~
Structural Models of Corporate Bond Pricing with Maximum
Likelihood Estimation
Joint Seminar With Department of Statistics and Applied Probability
11 January 2008(10:30am - 12:00pm) Announcement
Dr Michael Gordy(The Federal Reserve Board)
~
The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt
Joint Seminar With Department of Finance
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