Max Wong is a risk professional with 20 years experience in financial services, and author-researcher in the domain of financial risk management and Basel 3 reform. His career is an excellent mix of trading, market analysis, risk management and modeling experience which spanned two financial crises. He was an 'open outcry' trader at Simex during the Asian currency crisis (1997) and a quant risk manager during the global credit crisis (2008). He is currently Senior Vice President & Head, Risk Systems and Model Validation at the Singapore Exchange.
Max Wong is a subject matter expert in risk modeling and Basel 3 development. He is the author of two books and various journal articles on risks; recently looking at innovative ways to model risk more effectively during crises. He has spoken on the subject at conferences and seminars. Max is also experienced in quantitative portfolio investing using diversified futures and leverage strategies.
He holds a B.Sc. Physics and a M.Sc. financial engineering. He is an adjunct at the Singapore Management University, a member of the editorial board of the Journal of Risk Management in Financial Institutions, and a member of the Singapore chapter steering committee of Professional Risk Managers' International Association (PRMIA).
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.