Market Risk Management for Last Two Decades and New Challenges
Brian Lo Wing Tai , DBS Bank, Singapore
Date:
14 Jul 2015
Time:
12.30pm – 2.00pm
Venue:
I³ Building, 21 Heng Mui Keng Terrace, Seminar Room, Level 1
(This seminar is organized jointly with the Risk Management Institute)
About the Speaker
Brian Lo is the Managing Director and head of Market and Liquidity Risk in Risk Management Group for DBS. Reporting to Group Chief Risk Officer, Brian’s team supports the framework, policy, risk methodology and risk model development for the DBS Group. It supports independent pricing model validation, modeling of counterparty derivatives exposures and risk reporting and risk control for market and funding liquidity risks. Prior to joining DBS he was with BNP Paribas and Citibank in regional market risk and quantitative analytics roles. Brian has a PhD in Math from Penn State, MSc from Brown and first class honour from University of Hong Kong. He was on the Adjunct faculty list in SMU for a few years when he taught on risk management topics and he has been a frequent speakers at industry forum like RISK Conference, ISDA Conference and RiskMinds.
Abstract
Market risk management as a relatively new discipline entered the regulatory book only in 1996 with Basle I. Whilst the market risk measurement is thought to be standardized the Value-at-risk metrics based pillar 1 capital model was insufficient during the Global Financial Crisis of 2008. New regulatory proposal is therefore around the corner that would impact banks’ business strategy and behaviour, and not limited to the trading book.
