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Risk ManageMent

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NTRODUCTION TO RMIThe NUS Risk Management Institute (RMI) is one of the leading pioneers of

financial risk management research in Asia. The Institute was established in

August 2006 and was supported by the Monetary Authority of Singapore (MAS)

under its program on Risk Management and Financial Innovation. RMI has three

main functions: research, education, and training.

RESEARCH RMI staff and over 60 affiliated researchers are active in carrying out cutting-

edge research on a range of issues related to financial risk management. One of

the notable initiatives undertaken by RMI is the Credit Research Initiative (CRI).

This non-profit credit research initiative seeks to promote research and

development in the critical area of credit risk. The foundation to the “public

good” approach to credit rating is the RMI probability of default (PD) model,

which has been developed using a database of over 60,000 listed firms from 118

economies around the world.

Apart from its key strength in credit risk, the institute also publishes research

papers in other areas of risk management, and conducts research workshops,

seminars, and public lectures throughout the year. The main research event is

the Annual Risk Management Conference which comprises of a policy forum

where leading practitioners present on the pressing risk challenges of the day,

and a scientific forum that follows the format of an international research

conference with leading researchers presenting their current research papers.

EDUCATIONApart from becoming a world-class centre in risk management, RMI grooms

future risk managers and professionals from its long-running Master of Science

in Financial Engineering (MFE) program. The first intake of the program was in

1999, and students are admitted into the program in August every year. The

MFE program consistently attracts a large number of highly qualified applicants

annually from around the world.

The MFE program has also expanded to China in a collaboration with Peking

University’s HSBC Business School to offer a Double Master’s Degree Program

(DDP). The double Master’s degree will take three years of full-time studies and

its first intake started in 2013.

TRAININGRMI conducts up-to-date training for executives within the financial industry.

Training programs are offered in the analysis and regulation of financial risk

management, derivative securities, portfolio theory, and other related topics.

These training programs equip working professionals with the latest industry

practices and enhance their proficiency in the financial field. The training

programs include the preparatory course for the rigorous examinations of the

Financial Risk Manager (FRM) certification program. This certification is globally

recognized and is administered by the Global Association of Risk Professionals

(GARP). Apart from this, RMI also conducts in-house training programs for

financial institutions tailored to each individual corporation’s need in the area of

risk management.

AbOUT NUSA leading global university centred in Asia, the National University of Singapore (NUS) is Singapore’s flagship university which offers a global approach to education and research with distinctive expertise and insights relating to Asia.

Its 16 faculties and schools across three campus locations in Singapore provide a broad-based curriculum underscored by multi-disciplinary courses and cross-faulty enrichment. Over 38,000 students from 100 countries further enrich the community with their diverse social and cultural perspective. NUS is consistently ranked among the world’s top 25 universities and Asia’s top two universities.

I

DIReCTOR S MeSSAgeThe Risk Management Institute (RMI) of the

National University of Singapore (NUS) has

established itself as an institute strong in

financial risk management research and

applications. We are proud of RMI’s success

and seek to reach the next milestones in

expanding and broadening the RMI brand

as a venue for research, education, and

industrial projects.

The main academic research objective of

RMI, in the next five to six years, is making

NUS one of the best in the world in risk management and quantitative finance

research.

To further align with RMI’s aim to be a world-class centre in risk management,

the continued strengthening of our education and training programs will

contribute to this goal. The long-running Master of Science in Financial

Engineering (MFE) program will be complemented by the NUS-Peking

University Double Degree Program (DDP). RMI will continue to put together

customized training programs and conferences for financial institutions to

meet the needs of the financial industry, so that RMI can be a platform where

world-renowned academics and seasoned risk management executives can

exchange and discuss risk management applications and new insights to

financial risk.

I hope this brochure will help you understand more about RMI and I look

forward to you being part of the RMI family.

Steven KouRMI DirectorProvost’s Chair Professor of Mathematics

Contents

“ The main academic research objective of RMI, in the next five to six years, is making NUS one of the best in the world in risk management and quantitative finance research.”

eDUCATION

Master of Science in Financial 2Engineering (MFE)

Administration and Teaching Faculty 3

Program Structure

Awards for MFE Graduates

Module Requirements 4

Admission Requirements 5

Career Services 6

Career Opportunities

Testimonials 8

Applications and Contact Details 9

Double Masters’ Degree Program (DDP) 10

ReSeARCh

Academic Research 12

Credit Research Initiative 13

Annual Conference 14

Other Research Activities 15

TRAININg PROgRAMS

Executive Training 16

Financial Risk Manager (FRM®) 17Certification Training Program

In-House Training Program 18

CONTACT INFORMATION 20

NatioNal uNiversity of siNgapore Risk ManageMent institute

02

Master of science in Financial engineering (MFe)

the Master of science in financial engineering (Mfe) Degree is a multi-disciplinary program that combines finance, mathematics, and computing with a practical orientation to solving real problems in finance.

Education

eDucatioN MasteR oF science in Financial engineeRing

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the MFE was launched in 1999 at the National

University of Singapore by the predecessor of RMI, the

Centre for Financial Engineering. It aims to equip

finance and banking industry professionals and fresh

graduates with current knowledge and skills in risk

management, financial innovations, and technology.

In the post-crisis era, it has been unanimously agreed that

graduates of financial engineering programs that will be

sought after are those who are quantitatively skilled, have a

broader understanding of risk and can effectively communicate

the concepts of risk to clients and management.

There are many MFE programs available but not all

programs deliver the same value. The MFE Degree awarded

by NUS and administered by RMI distinguishes itself by

striving to customize the curriculum and teach students not

just the theoretical background necessary to approach

financial problems, but also the practical know-how and

financial intuition to conceptualize, communicate, and solve

these problems.

AdministrAtion And teAching FAcultyThe NUS MFE program is a multi-disciplinary program that

draws from the established strengths of various NUS

faculties. The teaching faculty comprises of academic staff

from various departments of NUS such as the Departments

of Finance, Mathematics, and Statistics and Applied

Probability. The program also provides opportunities for

students to attend lectures and seminars given by eminent

professors who are visiting RMI from universities worldwide.

Additionally, some modules will be taught by senior bankers

and practitioners in the relevant field. There are also elective

modules that are conducted at an intensive pace over one

week held overseas. University of Oxford, Princeton

University, University of Waterloo, and Shanghai Advanced

Institute of Finance have been hosting the overseas modules

in past years.

ProgrAm structureThe NUS MFE program has one intake per year, with

candidates joining in August every year. This program is

offered as a full-time program, part-time program as well as

a distance-learning program. The minimum and maximum

periods of candidature are 18 months and 4 years for the

part-time and distance-learning students. The minimum and

maximum periods of candidature are 1 year and 2 years for

full-time students. The three options offer students flexibility

with minimum disruption to their careers.

AwArds For mFe grAduAtes The NUS MFE program has obtained strong support from

industry in the form of contributions for the following

awards that are given annually to the graduating students of

the program:

• ABN-AMROFinancePrize

• DBSGoldMedal

• PSAPrize

• ReutersBookPrize

• STEngineeringPrize

SiNGAPORETOuRiSMBOARD


module requirements To graduate from the program, each candidate is required to

complete 40 modular credits. Out of the curriculum, six are

core (compulsory) modules including, Financial Engineering

Project. A minimum of four elective modules to be chosen

out of the fourteen, although some electives may not be

offered every year. Candidates are required to complete a

minimum of three modules in the first year.

All candidates can enroll in the Financial Engineering Project

module only after completing the five compulsory modules,

or while completing the remaining compulsory modules in

the same semester or term.

A minimum Cumulative Average Point (CAP) of 3.00 is

required for graduation.

Topics covered under Compulsory Modules:

• DerivativesandFixedincome

• RiskAnalysesandManagement

• StochasticCalculusandQuantitativeMethods

• ProgrammingandAdvancedNumericalMethods

• FinancialEconometrics

• FinancialEngineeringProject

Topics covered under Elective Modules:

• EquityProductsandExotics

• CorporateFinancingandRisk

• PortfolioTheoryandinvestments

• TermStructureandinterestRateDerivatives

• ResearchMethodsinFinance

• SeminarinFinancialEngineering

• SeminarinFinancialProductinnovations

• FinancialTechnologyinnovationsSeminars

• SeminarinRiskManagementandAlternativeinvestment

• CreditRisk

• CreditAnalyticsPracticum

• TradingPrinciplesandFundamentals

• AdvancedDerivativesPricing

• introductiontoElectronicFinancialMarket

a comprehensive curriculum

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Admission requirements Admission is highly competitive as a large number of

applicationsarereceivedeveryyear.Generalguidelinesfor

successful applicants are:

• Agood4-yearundergraduatedegreeoranhonorsdegree;

• AgoodGMATorGREscore;

• AgoodTOEFLoriELTSscoreifEnglishwasnotthemedium

ofinstructioninundergraduatestudies;

• Relevantworkexperienceswillbeconsideredfavorably.

Foreign applicants are required to have an employment pass

or dependent pass to be eligible for the part-time

on-campus program.

Foreign applicants are eligible for the full-time on-campus or

distance learning program.

05


FinAnce scholArshiP ProgrAm by the monetAry Authority oF singAPoreMAS administers the Finance Scholarship Program, which

was launched as a postgraduate scholarship programme to

develop a pipeline of specialist leaders in targeted fields such

as quantitative finance, risk management, actuarial science,

and applied finance.

It comprises 2 tracks, Company and Individual Track where

MAS co-funds with Singapore-based Financial Institutions or

outstanding individuals to enable Singaporeans to pursue

the best specialist postgraduate education at a world-

renowned university.

Upon graduation, scholars will play a pivotal role as an

expert in their chosen area of specialization in a Singapore-

basedfinancialinstitution.Becomingleadersintheindustry,

they will contribute to Singapore’s financial sector growth.

To find out more information regarding the Finance

Scholarship Program, please refer to www.mas.gov.sg/FSP.

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cAreer servicesThe NUS MFE program is dedicated to preparing students for

their career as soon as they start the program. The program

provides various resources and career services including

leveragingonNuSCentreforFuture-readyGraduatesand

the NUS MFE Alumni networking, organizing workshops on

communication, interviewing and resume writing skills, as

well as highly personalized assistance ranging from one-on-

one resume writing consultation to interview preparation to

career counselling sessions.

As a long-running program in financial engineering, the RMI

has built up a solid rapport with various banks and financial

institutions who regularly seek out our students and alumni

for open positions. We also proactively reach out to the

employers for potential internship opportunities and open

positions, and facilitate our students’ job application

process.

cAreer oPPortunities Career opportunities for financial engineers are available

worldwide in commercial and investment banks, brokerage

and securities firms, treasury and financial planning

departments of non-financial corporations, insurance

companies, consulting, investment advisories, hedge funds,

pension funds, and financial software and technology

businesses.

The combination of skills - understanding of complex

financial strategies, financial modelling ability, and

computational proficiency - is in high demand, and is

difficult for employers to find in graduates of traditional

MBAorquantitativedegreessuchasengineering,physics,

or mathematics.

As an increasing emphasis will be placed on regulation,

auditing, and risk management, it is natural that government

regulators, credit rating agencies, and audit and advisory

firms will play a more competitive role in hiring.

One can easily find our students and alumni thriving in a

wide variety of financial institutions, including Singapore-

based and international banks, regulatory agencies,

consultancies, hedge funds, and sovereign wealth funds.


A sAmPle oF emPloyers where mFe students hAve been PlAced includes:

• ABN AMRO Bank• AIA Group• ANZ Bank• AXA• Bank of America• Bank of China• Bank of Tokyo-Mitsubishi UFJ• Barclays• BNP Paribas Group• CIMB Bank• Citigroup• Coutts & Co.• Credit Suisse• DBS Bank• Deutsche Bank• Deloitte & Touche • Ernst & Young• Government of Singapore

Investment Corporation (GIC)• Goldman Sachs• HSBC• JPMorgan Chase & Co.• KPMG• Macquarie• Monetary Authority of Singapore• Morgan Stanley• Murex• Nomura• OCBC• Reuters• Royal Bank of Scotland• Singapore Exchange• Standard Chartered Bank• State Street Global Advisors• Temasek Holdings• UBS• UOB

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the nAtionAlities oF rmi students (mFe):•Australia•Canada•China•France•Germany•Hong Kong•India

•Iran•Indonesia•Japan•Macao•Malaysia•Pakistan•Philippines

•Russia•Singapore•Taiwan•Thailand•U.K.•USA•Vietnam

rmi scholArshiPAll MFE applicants who have accepted the admissions offer

will be automatically considered for RMI Scholarships. Each

scholarship will be granted either a full or a partial tuition

waiver of $8,000 for the Program. A paid MFE internship

will also be available to full scholarship holders.

Recipients of the scholarship will be chosen on the basis of

their previous research experience, ability to work in a team,

attitude and likelihood of performing well in their course-

work, and future careers in the financial industry.


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testimoniAls

“BeforeattendingtheNuSMFE,ihadwantedtoswitchcareertothefinancial

industry.ButonlyduringmystudyintheMFEdidifirstseethaticouldrealize

my dream. Well-organized, the program covers a broad spectrum of

interesting topics in financial engineering, I enjoyed every module that I

attended and acquired new ideas from every lecture discussion with my

classmates from different backgrounds.”

“ RMI has a difficult job of bridging the knowledge gap between the science/

engineering expertise and the financial know-hows, and it has been doing a

goodjob.Graduatesfromthetwoverydifferentbackgroundsbenefitedfrom

the course and are finding opportunities in the region due to the growing

sophisticationoffinancialproductsandtherecentgrowthofthemarket.Being

in a hard core engineering research background for so many years, I would not

have imagined myself doing what I am today without the experience gained

through the course.”

“ NUS MFE provides a very systematic training in quantitative finance. The

knowledge and techniques I have learnt from the course can be easily applied

to my daily job.”

“ I was impressed by the relevant and practical curriculum as well as excellent

faculty from both academia and industry. The knowledge and tools I learned in

this program have proved to be essential to my career development on the

trading floor. I am also very thankful to the strong career services offered by the

program. I have benefited from the career consultation and various workshops

to improve my soft skills.”

“ I greatly appreciate the effort of RMI in ensuring that every student benefits

from this program regardless of background. NUS MFE program is ever evolving

to better suit the needs of the student depending on the development in the

financial market. I had a remarkable learning experience with NUS MFE.”

“ The Master of Financial Engineering at the National University of Singapore

helped me discover the sense of my life: search, discover, learn, grow and

transmit. NUS gave me the taste for excellence and the commitment to serve

the society. This note is the occasion for me to thank all the people who

participated directly and indirectly to my success, and to transmit my good

wishes of success to all the future and potential students at the RMI.”

“ Joining the MFE program was a wonderful experience for me. This program

offers a wide range of courses which cover mathematics, programming, and

finance. During my time in RMI, I was constantly learning new skills, ideas, and

theories, and trying to apply them to real cases offered by the institute. All

these experiences gave me a deeper understanding of the industry and I would

strongly recommend the MFE program to anyone who wants to go further in

the field of financial engineering.”

Chen ZhenDeputy Director Investment Risk Management Division Risk Management DepartmentMonetary Authority of Singapore

Delvin TanDirectorTrading Advisory and Product Development Bank of Singapore

Yang YijunVice President G7 Interest Rate Trading DBS

Fang ZhenAnalyst Global Market & Investment ManagementUOB

Shirley TeeDirector Coutts & Co.

Sebastien HardyAnalystStructured Product Sales ANZ Singapore

Wu BaoxinDerivative Trader (Associate)China Securities Co., Ltd


09

Online applications for the NUS MFE are available through

our web site. Admission for the MFE program takes place in

August every year. Each year, application for the August

intake will open in October of the previous year and close in

March. To get more details on the MFE, please contact RMI.

applications and contact dEtails

Risk ManageMent institutenational university of singapore 21 Heng Mui Keng terracei3 Building #04-03singapore 119613tel: +65 6516 4595email: [email protected]

MFe website: http://www.rmi.nus.edu.sg/mfe/


10

Double Masters’ Degree Program (DDP)

since august 2013, Nus rMi has started a Double Masters’ Degree program with peking university’s HsBC Business school (pHBs), where Nus offers the Mfe degree to pair with the pKu Master’s Degree.

Education

Shenzhen-based PHBS uses English as a medium of

instructions and is unique among its peers in its

commitment to developing graduates who are

superbly trained, bilingual, and culturally aware. Graduates

from PHBS are prepared to take their places as leaders in

their fields in China and around the world.

As with the existing MFE program, the DDP seeks to educate

students as future leaders in the financial industry. To do this,

the emphasis of the program will be not just on technical

and theoretical knowledge, but on building a holistic

understanding of financial markets and the financial

industry. The DDP has the additional benefit of developing a

second core competency aside from financial engineering in

either economics or management.

This ensures that students will have both broad based

knowledge and in-depth understanding, enabling them to

be constructive and responsible leaders in the financial

industry.

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eDuCatioN Double MasteRs’ DegRee PRogRaM


RMI PUBLICATIONS IN TIER 1 JOURNALSSince 2013 RMI has published many papers in the Tier I

journals, some of the most prestigious journals in the field of

finance and mathematic, such as Review of Financial Studies, Management Science, and Operations Research.

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academic Research

as part of its research efforts, rMi aims to produce world-class research results to be published in top academic journals.

ReseaRch

FORThCOMINg1. Chen, C., Liu, Y. J., Sun, D., & Toh, K. C. (2015). A

Semismooth Newton-CG Dual Proximal Point Algorithm

for Matrix Spectral Norm Approximation Problems.

Mathematical Programming, forthcoming.

2. Dai, M., Li, P. F., Liu, H., & Wang, Y. (2015). Portfolio

Choice with Market Closure and Implications for

Liquidity Premia, Management Science, forthcoming.

3. Dai, M., Yang, Z., Zhang, Q., & Zhu, Q. (2015). Optimal

Trend Following Trading Rules. Mathematics of Operations Research, forthcoming.

4. Duan, J. C., & Miao, W. (2015). Default Correlations

and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics, forthcoming.

5. Kou, S. G., Yu, C., & Zhong, H. (2015). Jumps in Equity

Index Returns Before and During the Recent Financial

Crisis: A Bayesian Analysis. Management Science,

forthcoming.

6. Li, X., Sun, D., & Toh, K. C. (2015). A Schur Complement

Based Semi-Proximal ADMM for Convex Quadratic

Conic Programming and Extensions. Mathematical Programming, forthcoming.

20151. Cai, N., Song, Y., & Kou, S. G. (2015). A General

Framework for Pricing Asian Options under Markov

Processes. Operations Research, 63, 527-539.

2. Chen, Y., Dai, M., Xu, J., & Xu, M. (2015). Superhedging

under Ratio Constraint. Journal of Economic Dynamics and Control, 58, 250-264.

3. Dai, M., Keppo, J., & Maull, T. (2015). Hiring, Firring,

Relocation under Employment Protection. Journal of

Economic Dynamics and Control, 56, 55-81.

4. Dai, M., Liu, H., Yang, C., & Zhong, Y. F. (2015). Optimal

Tax-Timing with Asymmetric Long-Term/Short-Term

Capital Gains Tax. Review of Financial Studies, 29, 2687-

2721.

5. Duan, J. C., & Fulop, A. (2015). Density-Tempered

Marginalized Sequential Monte Carlo Samplers. Journal of Business and Economic Statistics, 33, 192-202.

6. Lei, Y., & Xu, J. (2015). Costly Arbitrage through Pairs

Trading. Journal of Economic Dynamics and Control, 56,

1-19.

7. Sun, D., Toh, K. C., & Yang, L. (2015). A Convergent

3-Block Semi-Proximal Alternating Direction Method of

Multipliers for Conic Programming with 4-Type of

Constraints. SIAM Journal on Optimization, 25, 882-

915.

20141. Cai, N., Kou, S. G., & Liu, Z. (2014). A Two-sided Laplace

Inversion Algorithm with Computable Error Bounds and

Its Applications in Financial Engineering. Advances in Applied Probability, 46, 766-789.

2. Ding, C., Sun, D., & Toh, K. C. (2014). An Introduction to

a Class of Matrix Cone Programming. Mathematical Programming, 144, 141-179.

3. Ding, C., Sun, D., & Ye, J. (2014). First Order Optimality

Conditions for Mathematical Programs with

Semidefinite Cone Complementarity Constraints.

Mathematical Programming, 147, 539-579.

4. Duan, J. C., & Zhang, W. (2014). Forward-Looking

Market Risk Premium. Management Science, 60, 521-

538.

5. Hwarng, H. B., & Yuan, X. (2014). Interpreting Supply

Chain Dynamics: A Quasi-chaos Perspective. European Journal of Operational Research, 233, 566-579.

6. Ding, C., Sun, D., Toh, K. C., & Wu, B. (2014). On the

Moreau-Yosida Regularization of the Vector K-Norm

Related Functions. SIAM Journal on Optimization, 24,

766-794.

20131. Heyde, C. C., Kou, S. G., & Peng, X. (2013). External Risk

Measures and Basel Accords. Mathematics of Operations Research, 38, 393-417.

2. Li, Q., Lin, J., & Racine, J. S. (2013). Optimal Bandwidth

Selection for Nonparametric Conditional Distribution

and Quantile Functions. Journal of Business & Economic Statistics, 31, 57-65.

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Credit Research initiative | www.rmicri.org

a “public good” approach to credit rating with the goal of keeping the pD model current, evolutionary, and organic, and functions like a “selective Wikipedia”. the primary objectives of the initiative are not just to make the credit rating process transparent, but also to be a high-quality end-to-end operation that advances cutting-edge research and translates findings into user-friendly, freely accessible credit risk measures.

ReseaRch

Above: Screenshots of the web portal at www.rmicri.orgUsers can obtain PD forecasts and Actuarial Spreads for individual firms as well as aggregate forecasts.

research aCadeMiC ReseaRCh | CRedit ReseaRCh initiative

CREDIT RESEARCh INITIATIVE – TRANSFORMINg BIg DATA INTO SMART DATA In July 2009, RMI launched the CRI as a constructive

response to the 2008-09 global financial crisis. CRI has been

positioned to be a scientific competitor to credit rating

agencies in a positive-sum game. CRI has covered over

60,000 public firms and has been producing daily updated

PDs (1-month to 5-year horizon) and CDS-like Actuarial

Spreads (1-year to 5-year) on over 32,000 currently active,

exchange-listed firms in 118 economies as of August 2015.

Upon registration through the website, users can get free

access to a list of 5,000 firms’ daily PD data and aggregate

PDs of industries and economies.

In order to access all firms, users are required to submit a

request to CRI. In addition, CRI also produces and maintains

a suite of indices called the Corporate Vulnerability Index

(CVI), which is currently carried by Bloomberg (reference:

RMII) and Cbonds. The CVI range of indices are aggregate

PDs and can be viewed as stress indicators, measuring credit

risk in economies, regions, and special portfolios.

RESEARCh INFRASTRUCTURECRI offers state-of-the-art research infrastructure to any

academic researcher who wishes to pursue a project on

credit rating – with access to a high quality database

covering 90,000 companies and data starting in the early

1900s. Additionally, company-specific data on financial

statements along with market data like daily stock prices are

maintained in our database. The data is continuously and

rigorously validated for accuracy and consistency.

RESEARCh PUBLICATIONSCRI publishes a report every Tuesday – the Weekly Credit

Brief, that spotlights key credit-related events of the past

week and what they mean for the RMI-CRI PDs of the

entities involved. Additionally, there are detailed reports like

the Global Credit Review and Quarterly Credit Report that

are published annually and quarterly respectively that offer

insightful analysis on economies, regulatory environment

and the recent advances in credit research.

TRANSPARENT AND “OPEN-SOURCE”In the spirit of “public-good”, CRI follows complete

transparency and an “open-source” approach with all

technical details of the credit risk model and its

implementation made available on the CRI website. Users

are free to adopt the CRI model, in full or in part, for various

purposes. This is major constructive step away from the

proprietary nature of the rating methodologies followed by

the major commercial credit rating agencies, which do not

disclose their internal credit rating systems.

COLLABORATIVE ACTIVITIESIn January 2015, the International Monetary Fund (IMF)

entered a formal collaboration with RMI-CRI through its

Monetary and Capital Markets Department (MCM) on the

advanced stress testing and risk modelling project. IMF

intends to adopt the jointly-developed automated stress

testing system into its Financial Sector Assessment Program

(FSAP), which involves periodic assessments of systemic

stability of its member countries, including the 33

jurisdictions that have been deemed systemically important

financial systems.


Comprising of a one-day Policy Forum and one-day

Scientific Program, the conference offers a unique

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. With the most

pertinent and current themes, the Risk Management

Conference has over the years become one of the premier

conferences on risk management in the region.

The conference, held in July each year, begins with a one day

policy forum where the focus of talks is on policy initiatives,

regulatory changes and industry developments. The second

day of the conference is a scientific program where

researchers present their papers 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 (IACPM).

RMI successfully hosted its Ninth Annual Risk Management

Conference in July 2015. For the first time RMI partnered with

GOSS Institute of Research Management, a Hong Kong-

based research institute, for its annual conference. The joint

conference was attended by more than 200 participants and

featured discussions on private equity (PE) and risk management.

Over the years, the Conference has attracted some of the

leading lights in policy and academia as speakers including

Nobel-laureates Robert Merton (Massachusetts Institute of

Technology), Myron Scholes (Stanford University) and

Robert Engle (New York University), Chung-Ming Kuan

(National Tiwan University), Janet Yellen (formally of the San

Francisco Federal Reserve), Nouriel Roubini (New York

University), John Hull (University of Toronto), and Ruey Tsay

(University of Chicago) among others.

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annual Conference

since 2007, rMi has held its annual flagship conference in July – the risk Management Conference. the conference brings together leading international academics, top industry practitioners, policy makers, and regulators.

ReseaRCh

15

Other Research activities

rMi strives to continuously engage in collaborative projects with the financial services industry with a vision to bring about synergistic benefits between our research efforts and practising professionals.

ReseaRCh

Industry EngagEmEntsOur present projects involve the practical applications and

extensions of the work being done with the Credit Research

Initiative and other numerous engagements pertaining to

credit research, scenario design, and stress testing.

rEsEarch WorkshopsRMI conducts research roundtables, seminars, and

workshops on a variety of topics related to risk management

and financial engineering.

rEsEarch Focus groupsIn order to streamline research activities and provide a focus

to ongoing research, over 60 affiliated researchers are

organized into 3 focus groups. These are:

Risk Management theory and PracticeSample topics: design of risk-mitigating financial

instruments, corporate risk management practice, hedge

funds, real estate, finance, and mortgage portfolio risk.

Financial Mathematics and engineeringSample topics: stochastic analysis of financial contracts,

optimization tools, Monte Carlo techniques, and grid

computing.

Financial econometrics and statisticsSample topics: time series modelling of financial data,

nonparametric statistical tools for financial problems, and

default risk analysis.

acadEmIc VIsItorsRMI has hosted numerous visitors in the past, for a period of

several days to months. Some visitors in the past include;

Arthur Dempster (Harvard University), Paul Glasserman

(Columbia University), Daniel Hardy (International Monetary

Fund), Raja Velu (Syracuse University), Michael Sobel

(Columbia University), Eric Ghysels (University of North

Carolina at Chapel Hill), Liu Hong (Washington University in

St. Louis), Darrell Duffie (Stanford University), Robert Engle

(New York University), Fan Jianqing (Princeton University),

Stefan Weber (Leibniz Universität Hannover), Robert

Anderson (University of California at Berkeley).

researCh annual COnFeRenCe | OtheR ReseaRCh aCtivities


CertifiCation Program From 2009 till 2015, RMI has been the leading course

provider for the Financial Industry Competency Standards

(FICS) in association with the Institute of Banking and

Finance, MAS, and the Workforce Development Agency

(WDA). RMI is currently offering the FRM® Certification

Program in association with Global Association of Risk

Professionals (GARP). Additionally, RMI conducts short

workshops on topical issues such as Consumer Credit Risk

Management, Corporate Banking, Operational Risk

Management, and others.

in-House training ProgramFor years RMI has designed and developed customized

courses to meet the unique needs of clients in the financial

sector, regulatory agencies, service industry as well as visiting

MBA and finance students from overseas universities.

16

executive training

leveraging its expertise in financial risk management and as a leading institute in risk management in asia, rMi offers a wide range of open-enrollment and certification programs as well as in-house training programs to develop and equip financial professionals of today and tomorrow.

Training Programs

We provide a comprehensive portfolio of programs suitable

for banks and companies from basic training to

benchmarking, capacity building, and facilitating decision-

making processes.

Topics include market risk management, credit risk

management, operational risk management, corporate

governance, performance measurement and attribution,

and equity derivatives and structured products, etc.

RMI has developed a leading-edge repository of research

and training content to draw from. We utilize lectures, case

studies, and group discussion to add varying dimensions to

the learning experience and sustain impact. The content

addresses the current marketplace best practices as well as

future requirements and trends.

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Financial Risk Manager (FRM®) Certification training Program

this program helps to prepare financial professionals for the rigorous examinations of the frM® certification program. this certification is globally recognized and administered by the global association of risk professionals (garp).

Training Programs

Course oBJeCtiVeThe Global Association of Risk Professionals (GARP) is a not-

for-profit organization and the only globally recognized

membership association for risk managers. GARP’s goal is to

help create a culture of risk awareness within organizations,

from entry level to board level.

In the areas of financial and energy risk management,

GARP sets the global standard in professional designation

with the FRM (Financial Risk Manager) and ERP (Energy Risk

Professional) certifications.

Through our educational programs, specialized content,

in-person or online events, and chapter program, GARP

promotes best practices in risk management and supports

ongoing professional and career development for risk

managers.

WHo sHouLD attenDThis program targets candidates of the FRM® Examination

in general but also benefits participants who are looking

for a systematic learning journey of the financial risk

management topics. They can be:

• Afinancialriskprofessionalwithworkexperienceinrisk

management or related field including auditing, trading,

portfolio management, academic/industry research, risk

consulting, and/or risk technology

• An individual with a sufficient amount of working

experience in a business field other than risk

management, but is interested in switching career paths

to risk management

• Arecentgraduatewithlittleworkexperience

Course toPiCsOur course closely maps to the comprehensive FRM

curriculum and participants can choose from the complete

course or individual modules that best fit their needs and

schedule. Topics consist of areas in foundation of risk

management and quantitative analysis, financial markets

and products, valuation and risk models, market risk and

credit risk: measurement and management, operational

risk, risk management and investment management, and

current issues in financial markets, etc.

traiNiNg prograMs exeCutive tRaining | FinanCial Risk ManageR CeRtiFiCation tRaining PRogRaM


in-House training: Professional Programs in Risk Management

over the years, rMi has developed a comprehensive curriculum framework on risk management that aims to benchmark industry’s best practices, and to develop tomorrow’s risk professionals. the curriculum includes the areas of Market risk, Credit risk, operational risk, and liquidity and Balance sheet Management.

Training Programs

toPiCs FoR MaRket Risk ManageMent • Essential Knowledge – Quantitative and Financial

Mathematics, and Financial Products

• Market Risk Management Framework, Objectives and

Strategies

•MarketRiskPoliciesandProcedures

• Risks Identification, Risk Measurement Methodologies,

Monitoring and Control of Market Risks

• TheMarketRiskUnit–StructureandSupervisoryFramework

• BestPracticesinMarketRiskManagement

• Understanding of the Financial Markets and Financial

Services Industry

• InternationalandLocalRules,RegulationsandLegislation

• Highly focused and specialized teaching

curriculum designed by internationally recognized

NUSfacultyandleadingmarketpractitioners.

• Comprehensive, practical-based (hands-on),

and cutting-edge training.

• Allowsprofessionalstoupgradetheirprofessional

skills without interrupting work or traveling

overseas.

• Interactive teachingby academics andmarket

practitioners.

Key Features of rmi’s Professional Program in risk management

interested clients can choose from the following main

focus areas. We will work with you to design and transfer

knowledge to enhance your capabilities.

•MarketRiskManagement

• CreditRiskManagement(CorporateorConsumerBanking)

• OperationalRiskManagement

• LiquidityandBalanceSheetManagement

toPiCs FoR CRedit Risk ManageMent (CoRPoRate and ConsuMeR Banking) • Essential Knowledge – Quantitative and Financial


• Credit Risk Management Objectives, Strategies and

Framework

• CreditRiskPoliciesandProcedures

• Corporate Credit Risk Rating Processes,Measurement,

Monitoring and Evaluation Tools for Corporate Credit

Portfolios

• CreditRiskControls,ToolsandProcesses

• The Credit Risk Management Unit – Structure and

Supervisory Framework

• BestPracticesinCreditRiskManagement

• UnderstandingthePrinciplesofCorporateandWholesale

Banking, Corporate and Wholesale Banking Products,

Financial Markets and the Financial Services Industry,


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toPiCs FoR oPeRational Risk ManageMent• Essential Knowledge – Quantitative and Financial


• OperationalRiskFramework,ObjectivesandStrategies

• Operational Risk Controls, Tools and Measurement

Methodologies

• OperationalRiskProfiling,ReportingandManagement

• TheOperationalRiskManagementUnit–Structureand

Supervisory Framework

• Understanding the Principles of Financial Markets,

Financial Products and the Financial Services Industry


toPiCs FoR liquidity and BalanCe sHeet ManageMent• Essential Knowledge – Quantitative and Financial


• AssetLiabilityManagement(ALM)Framework,Objectives

and Strategies

• ALMPoliciesandProcedures

• ALMRiskControls,EvaluationToolsandProcess

• TheALMUnit–StructureandSupervisoryFramework

• BestPracticesinALM

• UnderstandingthePrinciplesofALM,FinancialMarkets,

Financial Products and the Financial Services Industry


traiNiNg prograMs in-House tRaining: PRoFessional PRogRaMs in Risk ManageMent

19


ContaCt infoRMationRisk ManageMent institutenational university of singapore

21 Heng Mui Keng terracei3 Building #04-03singapore 119613tel: +65 6516 3380fax: +65 6874 5430

for enquiries in the following areas, please contact:

Master of Science in Financial Engineering (MFE) Degree & Double Master’s Degree Program (DDP)

email: [email protected] tel: +65 6516 4595

Training Programs email: [email protected]

tel: +65 6516 849720

University CUltUral Centre

NatioNal UNiversity of siNgapore | Risk ManageMent institute (RMi)

21 Heng Mui Keng Terrace I3 Building #04-03 Singapore 119613. Tel: +65 6516 3380 Fax: +65 6874 5430

rmi.nus.edu.sg

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