NUS-Stanford Workshop on Risk & Regulation

08:30 – 08:50
Registration

08:30 – 09:00
Registration

08:50 – 09:00
Opening Address

09:00 – 09:45
Jin-Chuan DUAN
Multiperiod Corporate Default Prediction
with the Partially-Conditioned Forward Intensity

09:00 – 09:45
Tuang Lee LIM
Risk Management Amidst a Changing Financial Landscape – A Central Bank’s perspective

09:45 – 10:30
George YUAN
The Current Situation and Challenge of Chinese Bank Risk Management under the Framework
of Basel II&III Accord in the Practice

09:45 – 10:30
Bala RAJARATNAM
High Dimensional Covariance Estimation with Applications to Modern Portfolio Theory

10:30 – 11:00
Break

10:30 – 11:00
Break

11:00 – 11:45
Haitao LI
Affine Jump Term Structure Models:
Expectation Puzzles and Conditional Volatility

11:00 – 11:45
Steven KOU
Expected Shortfall or Median Shortfall: An Implication
for BIS Trading Book Capital Requirements

11:45 – 12:30
Matthew YIU
Emerging Risk Areas and Macro Risk Management
in the Region of ASEAN, China, Japan and Korea

11:45 – 12:30
Rita CHAKRAVARTI
Legislating Responsible Lending – Regulator’s Favorite

12:30 – 14:00
Lunch

12:30 – 14:00
Lunch

14:00 – 14:45
Lian Sim YEO
From OTC to Centralised Clearing: An Exchange’s Perspective

14:00 – 14:45
Jussi KEPPO
The Impact of Volcker Rule on Bank Profits
and Default Probabilities

14:45 – 15:30
Larry CURTIS
Risk Management Transparency and Lessons Learned

14:45 – 15:30
Yimin YANG
Compliance-driven Risk Quantification and Management – from Basel to Recent Financial Regulation Overhaul

15:30 – 16:00
Break

15:30 – 16:00
Break

16:00 – 16:45
Masaaki KIJIMA
Risk Evaluation of Interest-rate Sensitive Products
under the Low Interest-rate Environment

16:00 – 18:00
Tze Leung LAI
(Short Course)
Active Risk Management:
Financial Models and Statistical Methods

16:45 – 17:30
Kevin G KINDALL
A Quant’s View of the Energy Business

17:30 – 17:40
Closing Address