“On a New Approach for Analyzing and Managing Macrofinancial Risks” 

Speaker

Professor Robert C. Merton
Nobel Laureate, 1997
School of Management Distinguished Professor of Finance, MIT Sloan School of Management
University Professor Emeritus, Harvard University
Resident Scientist, Dimensional Fund Advisors

Date Thursday, 27 June 2013
Time 3:30 pm - 5:30 pm (followed by Tea Reception)
Venue Atrium, Mochtar Riady Building (map)
NUS Business School
15 Kent Ridge Drive Singapore 119245
Admission Complimentary

Abstract

Macrofinancial (Systemic) risk is a major challenge for both governments and large asset pools. The Financial Crisis of 2008-2009 and the ongoing European Debt Crisis were centered around credit risk. The potential for propagation of credit risk among financial institutions and sovereigns is related to the degree of “connectedness” among them. Connectedness changes materially as conditions in the markets change and the changes are complex. Tools for measuring connectedness and its dynamic changes are presented using network theory and econometric techniques. This is new research still in progress but the basic approach and the findings appear to be well-founded.


About the Speaker

Robert C. Merton is the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management and University Professor Emeritus at Harvard University. He was the George Fisher Baker Professor of Business Administration (1988-98) and the John and Natty McArthur University Professor (1998-2010) at Harvard Business School. Merton served on the finance faculty of MIT’s Sloan School of Management until 1988. He is currently Resident Scientist at Dimensional Fund Advisors, where he is the developer of Managed DC, an integrated retirement-funding solution system with global application that addresses the deficiencies associated with traditional defined-benefit and defined-contribution pension plans. He served as an independent director on the boards of the Dimensional Funds from 2003-2009.

Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new method to determine the value of derivatives. He is past president of the American Finance Association, a member of the National Academy of Sciences, and a Fellow of the American Academy of Arts and Sciences.

Merton’s research focuses on finance theory including lifecycle finance, optimal intertemporal portfolio selection, capital asset pricing, pricing of options, risky corporate debt, loan guarantees, and other complex derivative securities. He has also written on the operation and regulation of financial institutions. Merton’s current academic interests include retirement finance, financial innovation and dynamics of institutional change, controlling the propagation of macro financial risk, and improving methods of measuring and managing sovereign risk. He is the author of, Continuous-Time Finance, and a coauthor of Cases in Financial Engineering: Applied Studies of Financial Innovation; The Global Financial System: A Functional Perspective; Finance; and Financial Economics.

Merton has also been recognized for translating finance science into practice. He received the inaugural Financial Engineer of the Year Award from the International Association of Financial Engineers, which also elected him a Senior Fellow. He received the 2011 CME Group Fred Arditti Innovation Award. A Distinguished Fellow of the Institute for Quantitative Research in Finance (‘Q Group’) and a Fellow of the Financial Management Association, Merton received the Nicholas Molodovsky Award from the CFA Institute. Derivatives Strategy magazine named him to its Derivatives Hall of Fame as did Risk magazine to its Risk Hall of Fame. He also received Risk’s Lifetime Achievement Award
for contributions to the field of risk management.

Merton received a B.S. in Engineering Mathematics from Columbia University, a M.S. in Applied Mathematics from California Institute of Technology and a Ph.D. in Economics from Massachusetts Institute of Technology. He holds honorary degrees from the University of Chicago, Claremont Graduate University, and eight foreign universities.

Enquiries

Contact Ms Chow Pee Fun of CAMRI on tel: (65) 6601 1047 or at This email address is being protected from spambots. You need JavaScript enabled to view it.


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