Financial Risk Management

Learn more about the different projects we offer and its details such as pre-requisites, duration, deliverables, etc.
(CLOSED) Enabling timely and effective portfolio risk mitigation strategies by developing a novel framework for forward-looking stress testing of the MAS portfolio.
Department Risk Management Department
Preferred internship window  Between Mar - Sep 2022
Description of Project

Formulate a framework that

(i) identifies portfolio stress scenarios that could emerge in the horizon;

(ii) enables close surveillance of the stress scenarios amid a fast-evolving economic/market environment by tapping on traditional and alternative indicators; and

(iii) quantifies the likelihood, imminence of each scenario and forecast the potential impacts on asset prices over a prolonged period of time by using state-of-the art and novel approaches, models and datasets.

Expected deliverables for the project

1. A structured approach to identify and comprehensively map out the relevant key drivers, dependencies and economic/financial transmission channels of plausible tail risk scenarios that could emerge in the horizon.

2. A novel methodology to track and analyse the evolution of the scenarios over time by leveraging on carefully curated sets of economic/market indicators and sign-posts.

3. A suite of models and/or methodologies for the calibration of scenario likelihood and imminence as well as for forecasting of asset price impacts.

Experience and/or skills that the intern(s) may gain from the internship 

1. Opportunity to work on a ground-breaking and high importance project that will directly impact how MAS shepherds our investment portfolio through future crises.

2. Opportunity to interact with thought leaders at top global fund management houses and understand how they conduct market risk surveillance, perform stress testing, and navigate their investment portfolios through financial crises and apply these tools and techniques to a longer time horizon.

3. Opportunity to deepen understanding of economic and financial risk drivers, dependencies and transmission channels and how these knowledge can be translated into impacts on asset prices.

4. Opportunity to explore the frontiers of and push against the boundaries in stress testing and scenario analysis within the context of a diversified multi-asset class portfolio.

Pre-requisites preferred from the intern(s)  Economics/Statistics preferred, but not compulsory
Other Job Functions  Data Analytics
Keywords related to the project Risk Management, Investments, Stress Testing, Market Surveillance, Models
Apply Now  Apply through our chatbot . Shortlisted candidates can expect to be notified within a month from the date of application.