Speaker : Jin-Chuan DUAN(NUS)    
Date : 24Sep2011 (Sat)

Venue: LT2, Mong Man Wai Bldg.,
            The Chinese University of Hong Kong
Lecture : 4:00-5:30pm
Reception : 5.30-6.30pm  

Abstract : Credit rating agencies’ failure to uphold their gatekeeper role figured prominently in the 2008-09 financial crisis. In the aftermath, tighter regulation and oversight of credit rating agencies have been implemented in some jurisdictions.  A fully functioning RMI default prediction system was launched in July 2010 with an initial coverage of over 17,000 exchange-listed corporates in 12 Asian economies. I will discuss the conceptual foundation of the RMI credit rating initiative. A forward intensity approach for the prediction of corporate defaults over different future periods is proposed. Maximum likelihood analysis based on this new approach is then conducted on a large sample of US industrial and financial firms spanning the period 1991-2010 on a monthly basis. Several frequently used factors and firm-specific attributes are shown to be useful for prediction at both short and long horizons. The forward intensity model is also amenable to aggregation, which allows analysts to assess default behaviour at the portfolio and/or economy level.

Biography : Duan is the Director of Risk Management Institute at the National University of Singapore (NUS) and concurrently holds the Cycle & Carriage Professorship in Finance at the NUS Business School. He is also an Academician of Academia Sinica. He specializes in financial engineering and risk management, and is known for his work on the GARCH option pricing model. He has authored numerous scholarly publications, and written a book and occasional media commentaries on current financial/economic events. Before joining the NUS, Duan held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto, and also once taught at the Hong Kong University Science and Technology and McGill University. Duan is spearheading a non-profit credit rating initiative, which pioneers a “public good “approach to credit rating reform via a Wiki-style model development undertaking.

Centre for Financial Engineering, The Chinese University of Hong Kong


Centre for Financial Engineering,
4th Floor, Academic Building No. 1,
The Chinese University of Hong Kong,
Sha Tin, Hong Kong
Tel: +852 3943 9561