||Risk Management Department
|Preferred internship window
||Between Mar - Sep 2023 (12 weeks)
|Description of Project
Formulate a framework that
- identifies portfolio stress scenarios that could emerge in the horizon;
- enables close surveillance of the stress scenarios amid a fast-evolving economic/market environment by tapping on traditional and alternative indicators; and
- 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.
Formulate a framework that enables close surveillance and management of the tail risk of private credit market investments by tapping on traditional and alternative market indicators, measures and signposts.
Study the risk challenges of private credit markets including:
- differences relative to public markets;
- lessons from any historical stress events;
- risk surveillance and management approach and indicators;
- key market trends and topical issues.
|Expected deliverables for the project
- 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.
- 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.
- A suite of models and/or methodologies for the calibration of scenario likelihood and imminence as well as for forecasting of asset price impacts.
- A paper that comprehensively maps out the key risks of investing in private credit markets, and highlights the stress events that could result in substantial losses on the investments.
- A structured approach to monitor, analyse and manage the investment risks on an ongoing basis. This should include a range of market indicators, risk measures and signposts to address the key investment risks
- A novel methodology and risk modelling techniques to assess the stress impact on the investments under a range of tail risk scenarios.
|Experience and/or skills that the intern(s) may gain from the internship
- Opportunity to work on a ground-breaking and high importance project that will directly impact how MAS shepherds our investment portfolio through future crises in an increasingly uncertain and volatile world.
- 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.
- 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.
- 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.
- Opportunity to deepen understanding of private credit market investments, including the risk drivers and how these impact asset prices.
|Pre-requisites preferred from the intern(s)
||Economics/Statistics preferred, but not compulsory
|Other Job Functions
|Keywords related to the project
||Risk Management, Investments, Stress Testing, Market Surveillance, Models
||Apply through our chatbot here . Shortlisted candidates can expect to be notified within a month from the date of application.