Message from the Chairman Dear Alumni and Friends, Welcome to this issue of the Newsletter. Last year was a year of changes. The University admitted its double cohort, and the Faculty of Science started a broad- based admission scheme in which the undergraduate statistics programme took part, | am pleased to report that these missions have been achieved seamlessly with the concerted effort from the faculty, staff, and alumni. | would lke to thank everyone for helping during this transition. ‘Over the past decade, we have witnessed many changes and much growth in the University and the Department. After almost a decade, the Department has @ new chairman in the person of Professor Gi-Man Shao. Professor Shao is a world- renowned probabiist and statistician who joined the Department in September 2012, He assumed the chairmanship starting January 1, 2013. More on the vision and, mission of Professor Shao can be found on page 2. Do join me in welcoming him aboard. | am certain the Department will rise to a new level of excellence under his leadership. Finally, | would like to thank everyone for their unequivocal support in the past 10 years. Without your contribution, the Department would not have been able to achieve its current status. Working with you for the last 10 years has been a privilege and honor. | sincerely hope that you will continue to render your support to Professor Shao in the next decade or so. | wish everyone a healthy and prosperous 2013! ce Ngai Hang Chan Chairman and Professor of StatisticsInterview with Professor Shao Qiman CUE EEF RNA z SPEAR M « 2012 OAM BCA + 201371 AA BE cena RRR PAP EROE ei Rat ER 2 Suan BAAR? PAST BF OL (CPRARETSH CHANT ATT “MERA ONAL Alt BRT REBRT - PAPARPLUEAEN RECAR DASTAAOARBAES AMAAARRARALAN SHE SRS ROE L RADIA TAT RMT ANAR: SORT RISE RAL » TERT AERA TLE EE SHARAN - HR: TRELHORT SAH OWRANG REOT RAMSAR ARO dA AMOBET PAEANT ARR + RAM MSCS RAINE « — ArH RRR STANT TEE erin < mRNA Ea © ed AELERRNAR LIFE : RESTA RSME LE - AMIEL MOS AAO INAST IE: MES MEARS AR HADE EAM * 1992-0 RRMA ABER » MEERA REAL ERATE 12» ADSRARA RARERSRAVKLENT AEN A HRARR BRIO: SRST ENT - SEMAN MMAR RAR LEAR AN HARARE ee SRSA RABAT AAARR ROS » REREOANERE CRRLROLRR PERE RM MILI eee AE RAAOREREARE MRAM G EN ATMA ATR + HOME MORE IR » EAE PERSIE RRM ETRE RE RIE RAR © SRAKTRERSL EAR RAR MAR PORT RATION HRA SNOT - SMCS ASL RR Best TA (ERD) » SEARBERILLAE AMMAR T eaO tt » thre An bisa TAF « FHBRAM ROLARLS RL PAO RAARHER ERA RMR LNE MD» RAAT BAER WVRRERMAA LE ROMMEL « ERTS AOR SURES» GERM R RUD MBE « ERSEDE ANSARI - ARERR HRA R Ee ees SSH AIEEEDepartment News PABRARAAUREREM RANERIRRACRITR - BARA! ASM RALRSATS RACER - er RRS Meer» HOT MMILRACE BURBANK RAE TIA A Hes URE RHI He SRABIARNS OAS ose aE aH BEBE Sekt BAARAWMEARTO SOARS REMAIN TEBINAMT OAR ANIEE - GAR (erate AC AAT AIE ASHAMSRER BALOMEASRA ELA MART LR TAN LIMA SRR TIE - he RRS HANES ALARELMSN ast AMG HA « Statistics Alumni Association BRAB BET! TARAS CME» CRRAAE ABEL T SaaS RUSRETAS BSE APBAORHATRERS ERATE HALO RMS Ree IRA ERBOME IQR ABER: Website: aiumnistacuhkeduhk Facebook: www.facebookcom/custaaa mai: alurmni@sta.cuhiceduhkeDepartment News Awards 2012 Professor Chan Ngai Hang is the Professor recipient of the Research Excellence Award Wong Hoi Ying — 2011/12, The objective ofthe Award is was awarded the to provide a long-term, overall postive Facuity Exemplary ctfect on promoting research excellence Teacting Award atthe University In addition, Professor 2010-11 (Chan has been awarded the Choh-Ming U Professorship in recognition of his distinguished scholastic performance. Congratulations to Professor Chan and Professor Wong ! Admission Highlight for the Academic Year 2012-13 MPril in MPhil ee FRM Statistics in RMS 20(3-Year 13 (3-Year curriculum) curriculum) 17 @-Year Scholarships Scholarships have been given to the following students in recognition of thelr outstanding academic performance CONOR ee a eee Major Year ema) ‘Mr. Chan Kin Wat MrChan Sing Yan Mr Fu Beavis ‘Mr Ho Shing Yan Wiliam Mr. Hui Ts Shing Mi: Kwok Kal Yin Metal Sai Mr.Leung Kam Tat Mr Ma Ting Fung Ms-TangTs2 Ki Ms.Wong Pai Man MrWong Wing Nung MeYauYu Fung Barry MeYiu Chi Chiu Mr-Zhou fall Breit M DE Sea a tiara iene Major pons ema) Ms. Lee Mei Wah STAT 2nd $3300Department News LEST Ae Professor Shao Ciman (FREER) has joined the department as Professor since 31" August, 2012. Professor Shao received his BS and MS in Statistics & Probability from Hangzhou Unversity and his PhO in Statistios and Probabilty ftom University of Science and Technology of China. He has assumed the chairmanship of the Department of Statistios with cffect from 1 January 2018, Ae Dr Lee Pak Kuen Philp 88:1) has joined the department as Lecturer since 3" July, 2012. Or Lee received his MS in Statistics and PhO in Statics from Camegie Mellon University, He got his BSc and MPhil n Statistics from the Hong Kong University of Science and Technology. ‘Ar 0+ John Alexander Wright has joined the department as Lecturer since 1* August, 2012. Dr. Wright recoived his PMD in Financial Mathematics ftom the University of Hong Kong. Before that, he got his BA in Mathematical Sciences with Fist Gass Honours from the University of Oxford, and MAST in Mathematics from the University of Cambridge. AL 01. No Chi Tim has resigned from the department as Instructor wth effect from 1 July 2012. PATO ‘Master of Science in Data Science and Business Statistics Programme ‘The Annual Dinner of the MSc in DSBS was held on 4° February 2012 at Hyatt Regency Hotel, Shatin, 92 petsons attended the event including teaching staff, guest lecturers, students and alumni. Prizes and Certificate of Excellence were presented to the eight 2011 graduates with outstanding academic performance. Master of Science in Risk Management Science Programme ‘The Annual Dinner of the MSc in RMSC was held on 18 May 2012 at Royal Plaza Hotel, Mong Kok. 70 persons attended the event including teaching staff, quest lecturers, students and alumni. Awards were presented 1o the sx 2011 graduates with outstanding academic performance, Recipients of Academic Excellence Award SYEUNGHng Yan *HAUPuch KWAN GhiCn Samoting ts SYP Waiting SLEEWng Yan Luka NG Ho Fai cnn rue ann n2011/12, the Department has conducted the programme light review for three undergraduate programmes and ‘2 Programme review for the MSc in Risk Management Scionce. The programme light review aims at folowing up the action plan that have been addressed inthe programme review, and to enhance the programme design of 334 ‘curriculum for each individual programme. ‘The results ofthe light reviews are very encouraging. The light review panel is impressed with the good progress on the action plans and the responsiveness to folow up the recommendations of the programme review panels on the MSC and STAT Programmes. Regarding the programme design, the light review panel considered that all three Recipient ofthe Best Student Award: LING Ka Kin Recipients of the Academic Excellence Award * CHUNG Kiwun Wa FONG Yuk ® TAI Ho Man Herman + WONG Siu Shen CHAN Kam Chuen Programmes: RMSC, QFRM and STAT are good, with an ‘exemplary area in the varity of learning activities offered to students. Likewise, the reviow result of the MSc in RMS Programme '8 also very encouraging, The Programme is considered excollentandis commended as a leading Risk Management ‘Science programme that enjoys @ good reputation with practitioners in industry. ‘Computers Upgraded ‘To further enhance the teaching and learning environment for our students, the computers and server were upgraded in summer 2012,Department News - Seminars BISA De eee ge ee ee ee eee De OOM ea Ane oe nc Frofescor Koi Nagai Yokorama National Unversity Professor. Tony Cal January 10, 2012 Joruany 11, 2012 Univorety of Pennevania Professor Ling Shing aruary 18.2012 Hong Kong Universi of Scene and Technology Profeagor Davis. van Dyke Jaruay 17,2012 Profeasor Professor Junyi Guo aruary 18.2012 great of Mathorratical Sconces Nankal Uivesty : Professor Zhou Wang, erway 19,2012 less re Professor Fong Liang January 31, 2012 Pee eon Profeasor Shae Gian Fabris 22072 ong Keng Univers of Science and Technolgy Professor Zhu Living Febraay 7.2012 Hong Kong Baptist Unversity Professor Yo Gin, Kenny | February 68,2012 sine Enstan Calage of Medicina 14,2012 Professor Zhao Xinggis Fepmsy 14,2092 The Hong Kong Potiechnic University Professor Katsuto Tanaka | Mochi, 2012 a an Profeseor Jun Zhu Maren 19,2012 Resear an Br Se Moon Tong ‘Aptis, 2012. City University of Hong Kong & HKU SPACE Communty College roe Pak Kun, Philip foliaa.zote “The Chinaso University oF Hone Kong) Dr: Leuna Chi Man Porites ao “The Chinese University of Hong Kong 7 Dr. uotn Alsxandor Went ee ‘The Chinese Univorsty of Hong Kong / Professor Masanobu Tarigueh | Mee Bat ‘Waseda University 5 Professor Yunong Yang rs Ea Univer of Mimoscta Professor Yoshihide Kekizawa une 5, 2012, ee Professor Kenneth A. Bolen eee Univers of North Casi Professor KC. Gary Cten ‘Seplember 25, 2012 SS Dr. Cri Chung Siu Cotocer 16,2012 Talgo Metropotan Uniersty & University of Technology, Shey Pro JK Woo | Novemborz7, 2012 Frc aoe Professor Takash Shibata December 11,2012 Tokyo Matropottan University ‘Sequential Unt-Roct Tests ‘Statetcalinforncs on Covariance Stuctue and Sparse Descrminant Analyte Eatimaion of Change-points in ARMA-GARCH/GARCH ‘rd General Tie Series Modes ‘Accouning to Calsation Uncertainty in High Eneray ‘Astropnyses va the Paral Gotapsed ibos Sarplrs wath MH updates ‘On the Didend Problems of the Dual Model ‘Smocthed Empiical Spectral Distibuton of Sample ‘Covariance Matioss Empirical ikatnood Matnods fr High Dimensional Data “Testing for Independence and m-Dependence High ‘and Utza-+igh Dimension ‘Could Linear Method Sole Nonlinear Problems? —A Now Alert in Regression Estimation ‘Genotype Copy Number Vaations using Gaussian Mature Modes: Theory and Algorithms Eficient Estmaten or Semiparametic Paral Linear \arvina-Goeficent ods win Panel Count Data Distbutlons of Quacatic Functions ofthe Fractional ;Brwrian Motion Based en a Martingale Approximation ‘A Probabilistic Framework for Integrating Mut-omiee Daa trations ot Application of informational Grtana for ‘Stalsioal Model Solecton “The Genoralzed Laribds Dstibuton Applied to Spot xchange Fates “The Pricing Problam of European Option Enlargement of Ftraton on Polson Space and Some Resuts on the Sharpe Ratio ackhnted While Estimators ‘Adaptive Mirimax Estimation over Sparel Hus ‘Aarpioie Brparcions for Saveral GEL based Test ‘Sialchos ‘A General Pares Moc wth Random and Fixed Erect ‘A iructural Equations Approach Mutiple Model Assisted Estimation of Average Teatrrent Etec: Robustness, Bost Linear Mode! Averaging ad ‘Grace Somiparamoti Ect Frat Passage Time under Regime: Switting Jump Dituson Process Discounted Compound Renewal Sums Under Dependency Irvestment Ting, Debt Structure and Facing ConsvaintsStudent Activities - Internship Internship Albert Chi The frst fye months of yeor 2012 has certainly been a wondedul journey for ma, ‘when | completed the internship program i the Financal Services Risk Management Department (FSRM) at Ernst and Young, Itwas a great ‘opportunity to grab a pook at how the financial market functions and [Tam glad | was able to contre to the teams effclenay with my knoredge anc vision Ir FSM, my job mainly invabed two paris. The fst part was about dervatves valuation. Every year audtors in Est and Young will review and audit the clentstnancial statements. Whenever there are ervatve contracts held by the clnts, ou team comes into ply. The ‘valuation process covers a variety of darvatves, namoly PX forwards, structured forwards, convertble bonds, interest rato swaps and so forth, During my werk, had to use Bloombarg, Rautors and other ‘soureas 1o obtain market factor paramotors anc company nfermation, Several dervatve pricng engines were provided to implement the valuation. had to thorough understand the products. methodologies and assumptons of madels before the valuation was. conducted. Sometimes | also neaded o bud new models with the aid of VBA or ‘ther programming languages. However pricing accuracy was not the only concern in this work. Since the dervatves are part ofthe ancial statements, cetain accounting and aucing knowledge was requiced before risk management decisions or suggestions could be mace for the audit toa and the clients, The integration of school knowledge ‘and market practice was the fs lesson | learned from the internship. The other part of my job was related to risk menagerent projects “These projects aimed to bull a comprehensive system forthe cents, Eee ay ‘Naver could | have known how diferent it Would have aoa if had made a dfferent choice, yet | al not reget not taking what might have been as my decision has led to remarkable expesence that! wil never ever forget ‘What | gainod in the past few months 2s an intern in the Financial Sonvices Risk Managoment Taam at Emst & Young is beyond campus ‘and is uset for eine, | was responsible for valuating diferent kinds of franca instruments, ranging from plain forwards to exotic dervatives that | had never ‘encountered during my stucles ~~ as we covered whatever clits held. Therefor, I'had @ great exposure to the diferent products avaiable in the market, as well as the market practices of valuating ‘them, However untamiar these products wore tome, the traning | had luring my university equoped me every technical skil fo understand ‘and vate them, Understancing the product and aiving ata reasonable number was et the end of my work had to decide the most appreciate valuation banks for example, to better manage their various isk exposures ke market isk, cre rk Equity risk anc to help the clents koop in compliance wath the Francia regulations. Projects often requred more resources and |inad to collaborate wth mare colleagues. Not to mention that the system bulking process was a completely diferent siory form what | came across at school, the sities to undestend the cents’ pre-eising systems, comprehend the cients’ requrements, and communicate with colleagues about their specie. reeds are the keys to the success of the project. This lternship alowed me to have a good taste of the real, cient facing and toam- working job envionment. Fve months passed Ike a birk of an eye but the memories stayed deepinmy rind. Ihaveto say this intorship instiled meth many new ideas end thoughts about a career in france and risk management. 's fortunate that | vias one ofthe few guys who could take internship, programs as a ful-tie postgraduate student. | hope more and mare felow students can benef from the internship programs and fad ther true passion inthe industry. approach according tothe engagement, and had to understand thie partys aperoach and communicate withthe audtors, agpedaly wnen ‘hare were materal ferences between our valuation and the party's one. The opportunity to communicate and ciscuss with others, of which trahied up my soft skis, was another thing that treasured and enjoyed vary much ‘Yet the reatest enjoyment care nat ont rom applying what | earned in university, nor only from product knowledge and soft skills I gained, ‘but ware in combine withthe independence | was given to bar an iy, as well as the endiness and sincerity within the team {realy enioyed thintemship very much and wilnever forget the experience of working ‘with such great colleagues Lastly, | woud tke to take this opportunity to express my sincere gratitude to everyone who has taught me and worked wth me, as wall as to those who ware Inoved in organizing such a grt internship. | ‘uly wish this kind of programs could continue and more students can be benefited rom them in the futurePTGS TEB ECR Thehal-year internship in Emet & Young is the most meaningulintership expecence {havo everhad. Nt only can | apply what | have eamtin unverty, but there are aso chances fr me to acquire some practical shlls requicod at work Let me begin by introducing the job nature of ur teem. We have two types of work. The frst one is to very if values of derivatives adopted by clents in the Announcement Report are correct. The method adopted is performing valuation on that dervatves based on ‘aseurptions and parameters accocing to accounting standard. We ‘then have fo comer the ciference between cur result and cient’, I itis within our tolerance love, the value is shown to be verified ‘The socond type of work is valuation serioes for clots cect I is ‘more challenging than the previous type of wrk since other accounting {ims would aucit what we have done. We coula be questioned by ‘thom on why we adopt cortain methods and assumptons. Dospito of the chaleng, this made me leant a lot as lave to think very clearly before | adopted any assumptions and valuation methods. | would say thsintership provides an opportunity forme to consolidate my knowledge acquited in unversty, especially valuation ekiis such as ‘modeling and sinesation. Besides that, | could learn some specie toms, foc exctic darvativas and also what Kinds of parameters are adopted in real market valuation, wrich | could not learn in textbooks. Apart from the job nature, | eal enjoy the working endronment of ou team. Al my colleagues are supportive and viling o teach the new members. Athough sometimes the workload may be heavy in peak ‘seasons and may need to work overtime, my coleagues woud never put pressure on me but ty to assist me to fish the tasks, This relly made me fel | am part ofthe team. It wore giver a chance fo choose again | would apply forthe same internship as | really have gained a lot fram it. The experiance is conducive to my career and personal grow. ogee eae Boing the only intem inthe programming eld, needed to deveoa the algorithm and model structure independently. The workioad was heavy yet chalenging and enjoyed it My supendsors gave me much flexi, to try and lear, By consuting Dr. Philp Lee and discussing with superisors, leat lots of statistical practices and aviation knowedge. ‘oar fom the solid knowledge, | have also improved many sot skiks trough interacting vith other coleagues, such as ciical thinking and Interpersonal communication sk ‘Working with other coleagues fom oiferent backgrounds, | discovered my inadecuacies in problem-solving skils and communication ski ‘Whenever I encountered aifcuties at work, they vee always wing to discuss and solve the prablems with me. Their postive worténg atitude motkated me to think fem diferent pol oF viens order to enhance elfcency and performance at work. They also encouraged ime to communicate vith cthers beyond work, Flowing their advice, | ‘made lots of now frends and my socal network was expanded. ove working wth then, This internship serves a great opportunity for me to make transition from campus to corporate. The actual working ervirorment is far iferent from studying at campus. Thee would be no lecturer oF tule to guide me stop by step. hod to take tho intatve at work, to ead relevent materials end to conduct regular set-revews. In order to comolete the niterim report and the project on time, | also bad to set my personal working scheduie. The deadline deadine. The practoun progam equips me with the essential skils required for my future career. The hands-on experience | gained during the sic months Is a precious asset. | am gratetul end WoUls lke 10 express my sipcore gratitude 10 those vine were voted in oganizng this great intemship program and fered -me such an ‘opportunity Ityou do not wich to cave tls newslto in future, ploase sand an oma ostatdept@cunk eduhk