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【北航​经商大讲堂】新加坡国立大学段锦泉教授特邀报告

发布时间: 2017/06/30 14:17:45     点击次数:次   打印本页

【北航经商大讲堂第13期】

新加坡国立大学段锦泉教授特邀报告

题目:From Big toSmart and on to Actionable Data — A New Credit Risk Analytics Paradigm

主讲人:Prof. Jin-ChuanDuan(段锦泉),National University of Singapore

主持人:范英教授

时间: 2017年7月21日14:00-16:00

地点: 北航新主楼A座212

摘要:

Tounleash the power of Big Data, it is better to first transform Big Data intoSmart Data so that with further and simple processing, Actionable Data canemerge to assist decision making. The Credit Research Initiative (CRI)launched at the National University of Singapore in 2009 was a concrete “publicgood” response to the need for credit rating reform post the 2008 globalfinancial crisis, and the CRI research/service infrastructure showcases such aSmart Data paradigm in action. The Smart Data are the daily updatedprobabilities of default (PDs) and actuarial spreads (ASes), a CDS-like creditrisk measure, on all exchange-traded firms globally, including around 35,000currently active companies in 120 economies and over 20 years of historicaltime series on more than 60,000 companies inclusive of those inactive ones dueto bankruptcies, M&As or other reasons. These freely accessible PDsand ASes are products of scientific research conducted by the CRI researcherswith contributions from both researchers and practitioners globally, and thedevelopment and maintenance of the live CRI platform is staffed by a team of 40plus dedicated members (rmicri.org).

TheCRI Smart Data platform has created a new possibility for scientific research;for example, researchers can develop and/or test their credit solutions/ideason live data which typically present a different level of challenges. Throughreal-world applications of its deep credit analytics, the CRI has alsodemonstrated new possibilities of creating Actionable Data via Smart Data inFinTech. As an example, the CRI has, in collaboration with the InternationalMonetary Fund, developed a Bottom-up Default Analysis (BuDA) toolkit currentlyused by the IMF staff to translate the live CRI-PDs under presumed economicscenarios into impacts on the credit risk profile of a target group offinancial institutions or nonfinancial corporates (i.e., stress testing) in a timelyfashion.

主讲人简介:

Duanis the Cycle & Carriage Professor of Finance in the Business School ofNational University of Singapore (NUS). Previously, he served as the Directorof the NUS Risk Management Institute from July 2007 to June 2014. During thattenure, he pioneered the “public good” Credit Research Initiative (CRI) inMarch 2009 and continues to lead the CRI team of 40 strong to this day. In2017, Duan co-founded a FinTech startup, CriAT, specializing in deep creditanalytics. Duan was elected in 2008 an Academician of the Academia Sinica forhis scholarly contributions, and also became a fellow of the Society forFinancial Econometrics in 2013. Duan completed his undergraduate education atthe National Taiwan University, an MBA from the State University of New York atAlbany and a PhD in Finance from the University of Wisconsin-Madison. Duan’sresearch expertise is in financial engineering and risk management, and isknown for his earlier work on developing the GARCH option pricing model and morerecent corporate default research in connection with the CRI. In addition tonumerous scholarly publications on derivative securities, financial time seriesand risk management, he has written a book and occasional media commentaries oncurrent financial/economic events. Before joining NUS, Duan held the ManulifeChair Professorship at the Rotman School of Management, University of Toronto,and also once taught at the Hong Kong University Science and Technology andMcGill University.