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About the Speaker:

Graduated with a PhD in Financial Economics from Stanford University, Professor Lim has worked in universities for over 30 years after an initial posting with the Singapore Administrative Service. He teaches and researches in the areas of quantitative finance, financial economics, financial econometrics, and applied probability and statistics. He has consulted for banks and companies in the areas of risk management and project valuation. He has also been actively involved in various roles related to academia including being Interim Dean of Business School, Head of Department, Journal Editor, Director of a University Research Centre, Director of Degree Programs, Faculty Senate Chair, Chair of University Task Force, President of a Professional Society, Advisory Board Member as well as External Academic Advisor of international associations and schools, and others. He started the MFE program at NUS in 1999. He has taught in various financial executive development courses at NUS, SMU, IBF, MIS, and others. He has published in international refereed journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, Journal of Futures Markets, Journal of Risk, Journal of Banking and Finance, ASTIN Bulletin, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Finance and Stochastics, Review of Economics and Statistics, Journal of Real Estate Finance and Economics, European Journal of Operations Research, Journal of Portfolio Management, Financial Analyst Journal, Decision Sciences, etc. He has also written two books on “Financial Valuation and Econometrics” (2nd edition) and “Probability and Finance Theory” (2nd edition) published by World Scientific Press. He was awarded the Singapore Public Administration Medal (Silver) in 2012 for contributions and services to the university.

Abstract:

"Global financial markets are facing new systemic challenges even as the 2008 Global Financial Crisis hangs in the background -- slowing global consumer demand, energy and commodity price difficulties, EM over-exposures to external debts, uncertain effects of quantitative easing, and geo-political risks. These create huge volatility in equity, bond, and FX instruments. Managing and hedging volatilities require sophisticated quantitative techniques and involve complicated derivative securities. Investing, trading, and asset strategy techniques are also key skill sets requiring strong mathematical background. Estimating and managing banks' and asset funds' risk exposures also require excellent mathematical and statistical skills. While exotic instruments have dwindled, some vanilla products such as CDS have become more important. Ongoing large regulatory changes also see market innovations in products such as AT1 bonds, and their pricing and modeling are all part of challenges to financial mathematicians preparing for an exciting career in the finance industry. In the talk, I will illustrate the use of some mathematical and statistical techniques and also emphasize the accompanying skill requirements of programming."