ngan ngiap teng - iora · 2015 – (probability and statistics) formulated the framework...

NGAN Ngiap Teng Curriculum Vitae An experienced middle-level manager with knowledge of the financial markets and strong quantitative skill sets, with proven track records of public policy formulations. Core Competencies Strong analytical capabilities, both quantitative and qualitative. Key person for resolving difficult and non-routine problems. Strategic thinking and planning. Key Achievements Formulated the margining framework and the stress-testing framework for the Singapore Exchange in preparation for launch of the clearing of OTC Financial Products. These frameworks successfully obtained approvals from the Monetary Authority of Singapore. Revised risk control framework to prevent rouge trading and P&L manipulations. Identified and revised incorrect valuation and price-testing methodologies for complex financial products. Influenced several public policy changes in Singapore in the areas of education, housing, transportation, economy and cost of living. Performed analysis instrumental for Singapore to avoid a property bubble burst. Instructor for the Singapore National Mathematical Olympiad Training Team since end 2009. The team performance improved from achieving one gold medal in 23 years (from 1988 to 2010) to at least one gold medal every year (from 2011 to 2018). Research Achievements 2001 – (Probability and Statistics) Formulated the methodology framework to analyse the term structure of default probabilities, which was an open problem in the financial industry at that time. The work was subsequently used in a thesis for a Master of Financial Engineering, which was awarded a distinction grade. 2001 – (Probability and Statistics) Formulated the framework to analyse the pricing and risk management of the passport option, which was an industry secret at that time. The work was subsequently used in a thesis for a Master of Financial Engineering, which was awarded a distinction grade. 2004 – (Probability and Statistics) In the aftermath of the National Australian Bank fraud, formulated the methodology framework to valuate exotic options to the vanilla volatility smiles and skews. This was an open problem in the financial industry at that time and the work was subsequently used in a talk in the 2004 FOW conference. 2010 – (Probability and Statistics) Formulated the stress-testing framework methodology for highly correlated asset classes, which was an open problem in the financial industry. The framework methodology was approved by the Monetary Authority of Singapore and served as the precursor to MAS “Industry Wide Stress Test” framework introduced in 2012. 2013 – (Probability and Statistics) Used the Extreme Value Theory to formulate a robust and stable Shortfall Model that can be back-tested using historical data, which was an open problem in the Financial Industry at that time. 2015 – (Probability and Statistics) Formulated the framework methodology to use copulas to impute the volatility surface of a cross currency from the volatility surfaces of its two base currencies pairs. This was an open problem in the financial industry at that time. 2015 – (Applied Mathematics) Formulated the framework methodology to numerically compute the solution of a system of nonlinear equations to be used in the calibration of exotic pricing models against market prices. The framework methodology was used in a Final-Year Project on “Numerical Solution of a System of Non-linear Equations”. The project was awarded “A-“ grade. 2015 – (Topology) Co-supervisor for a Final-Year Project on “Applications of Topology to Economics”. Several new results were derived in this project and the project was awarded “A“ grade. 2017 – (Probability and Statistics) Formulated a solution to the problem, “Optimal Number of Clusters”, which was an open problem in Big Data, Unsupervised Learning.

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NGAN Ngiap Teng

Curriculum Vitae An experienced middle-level manager with knowledge of the financial markets and strong quantitative skill sets, with proven track records of public policy formulations.

Core Competencies

Strong analytical capabilities, both quantitative and qualitative.

Key person for resolving difficult and non-routine problems.

Strategic thinking and planning.

Key Achievements

Formulated the margining framework and the stress-testing framework for the Singapore Exchange in preparation for launch of the clearing of OTC Financial Products. These frameworks successfully obtained approvals from the Monetary Authority of Singapore.

Revised risk control framework to prevent rouge trading and P&L manipulations. Identified and revised incorrect valuation and price-testing methodologies for complex financial products.

Influenced several public policy changes in Singapore in the areas of education, housing, transportation, economy and cost of living. Performed analysis instrumental for Singapore to avoid a property bubble burst.

Instructor for the Singapore National Mathematical Olympiad Training Team since end 2009. The team performance improved from achieving one gold medal in 23 years (from 1988 to 2010) to at least one gold medal every year (from 2011 to 2018).

Research Achievements

2001 – (Probability and Statistics) Formulated the methodology framework to analyse the term structure of default probabilities, which was an open problem in the financial industry at that time. The work was subsequently used in a thesis for a Master of Financial Engineering, which was awarded a distinction grade.

2001 – (Probability and Statistics) Formulated the framework to analyse the pricing and risk management of the passport option, which was an industry secret at that time. The work was subsequently used in a thesis for a Master of Financial Engineering, which was awarded a distinction grade.

2004 – (Probability and Statistics) In the aftermath of the National Australian Bank fraud, formulated the methodology framework to valuate exotic options to the vanilla volatility smiles and skews. This was an open problem in the financial industry at that time and the work was subsequently used in a talk in the 2004 FOW conference.

2010 – (Probability and Statistics) Formulated the stress-testing framework methodology for highly correlated asset classes, which was an open problem in the financial industry. The framework methodology was approved by the Monetary Authority of Singapore and served as the precursor to MAS “Industry Wide Stress Test” framework introduced in 2012.

2013 – (Probability and Statistics) Used the Extreme Value Theory to formulate a robust and stable Shortfall Model that can be back-tested using historical data, which was an open problem in the Financial Industry at that time.

2015 – (Probability and Statistics) Formulated the framework methodology to use copulas to impute the volatility surface of a cross currency from the volatility surfaces of its two base currencies pairs. This was an open problem in the financial industry at that time.

2015 – (Applied Mathematics) Formulated the framework methodology to numerically compute the solution of a system of nonlinear equations to be used in the calibration of exotic pricing models against market prices. The framework methodology was used in a Final-Year Project on “Numerical Solution of a System of Non-linear Equations”. The project was awarded “A-“ grade.

2015 – (Topology) Co-supervisor for a Final-Year Project on “Applications of Topology to Economics”. Several new results were derived in this project and the project was awarded “A“ grade.

2017 – (Probability and Statistics) Formulated a solution to the problem, “Optimal Number of Clusters”, which was an open problem in Big Data, Unsupervised Learning.