Home > About Sasin > Faculty > Wantanee Surapaitoolkorn, Ph.D., DIC
Adith Cheosakul, Ph.D.



Assistant Professor Wantanee Surapaitoolkorn, Ph.D., DIC

At Sasin: Faculty, Finance
Concurrent:
   Assistant Professor Dr. Wantanee is a mathematician, financial engineer and senior risk specialist consultant for the global financial banking sectors in BASEL II and risk engines.
     
Teaching Courses:
  

PhD (2006-Present) in Econometrics I and II.
EMBA (2008 – Present) in Risk Management for Executives
     
Expertise:
   Prior to coming back to Thailand in 2004, Dr. Wantanee spent over 18 years in the U.K. Her professional expertise is in Risk Management and BASEL II Accord. She spent 3 years working for the banking industry providing a risk management banking system for major investment banks including KBANK as a vice president role concentrating mainly on Market Risk, Credit Risk, and Operational Risk models. Dr. Wantanee's areas of academic expertise are Econometrics GARCH, Markov Chain Monte Carlo (MCMC) Simulation, Non-Normal Distribution, Reversible-Jumping Process, Changepoint Analysis, and Financial Time Series Models.
     
Financial Risk Consultant:
  
  • Market Risk: Thai Bond Market Association, Thailand (Apr 2005 – Feb 2006)
  • Market Risk: Department of Monetary Office, Ministry of Finance, Thailand (Sep 2007-Jan 2008)
  • Credit Risk: Deloitte Touche Tohmatsu Jaiyos Thailand (May 2007- Present)
Financial Risk Speakers:
  
  • “Catching the Future of Risk”, Landmark Hotel, Bangkok, Thailand, (27 Jun 2005)
  • “Enterprise Risk Management: Managing the Unknown”, SASIN Executive Program,(19-20 Jul 2006)
  • “Market Risk”, Risk Assessment workshop for Krug Thai Bank Plc., (28 Nov 2006)
  • “Risk Vision and Implementation of BASEL II”, Deloitte Touche Tohmatsu Jaiyos
    (12 Jan 2007)
  • “Stochastic Volatility Modeling in Financial Market Risk”, Bank of Thailand (30 Jan 2008)
Selected Publications:
  
  • “Quantitative Financial Risk Management (QFRM) and the Simulations of BASEL II", Sasin Journal of Management, Volume 13, Number 12, Special 25th Anniversary Issue, pp. 16-27, (September 2007).
  •  â€œMarket Risk VaR historical simulation model with autocorrelation effects”, International Journal of Banking and Finance, Volume 6 issue 2, (March-June 2009).
Other:
   Assistant Professor Dr. Wantanee is an author of a book named “BASEL II and Risk Management “in Thai on February 2006. This book sets out the introduction scene both theoretical and application of risk modeling to the Thai nation.
     
Academic Positions :
  

(i) Visiting Scholar: Kellogg’s Graduate School of Management, Northwestern University, Faculty of Finance, (Quantitative Finance) Evanston, IL 60208, USA, (9 Mar – 20 Jun 2006).
(ii) Member of faculty Senate of Chulalongkorn University (Mar 2009 - present)
     
Research Papers: (Presentation):
   2006: “Bayesian Stochastic Volatility Model For Asian FX Data”
  • 17th Annual Asian Finance Association (Asian FA) Meeting Bridging Finance Theory and Practice, Auckland, Carlton Hotel, New Zealand, (10-12 July).
  • 3rd Chinese Annual Meeting in Finance, Fudan University, Shanghai, China, (27-29 Oct).
  • Quantitative Methods in Finance (QMF), University of Technology at Sydney (UTS), Manly-Beach, Novotel Hotel, Sydney, Australia, (11-16 December 2006).
2007: “Bayesian MCMC For Stochastic Volatility Using FX Data”
  • FMA European, the IESE Business School, Barcelona, Spain (31 May – 1 Jun)
  • 7th Annual Hawaii International Conference on Business, Honolulu, USA, (24-27 May)
2007: “Bayesian GARCH(1,1) For FX Asian Crisis Market”
  • 12th Finsia and Melbourne Centre for Financial Studies Banking and Finance Conference, “Developments in Financial Services: Theory meets Practice”, RMIT, Australia, (24-25 Sep)
  • FMA Annual Meeting, Orlando, Florida, USA, (17-20 Oct 2007)
2008-2009: “Bayesian Student-t- GARCH Model For Asian FX Data”
  • MFA Annual Meeting, Marriott, San Antonio, Texas, USA, (27 Feb – 1 Mar)
  • 16th Annual MFS Conference, Crete, Greece, 2009 (28 Jun – 1 Jul)
2008-2010: “Market Risk VaR Historical Simulation Model with ACF Effects”
  • 4th International Conference Banking and Finance, Langawi, Malaysia, (15-16 Jan 2008)
  • International Business and Economy Conferece, Prague, Czech Republic, 2010, (7-10 Jan)
Credentials:
   All of Dr. Wantanee’s degrees were obtained from University of London, U.K.,
  • Ph.D. Mathematics,
    DIC. Statistics,
    Title: Bayesian Inference for Volatility Models in Financial Time Series
    Imperial College of Science, Technology and Medicine,
    (7 October 1996 - Viva: 17 December 2001)
  • MSc. Operational Research,
    London School of Economics and Political Sciences,
    (1 October 1995 - 30 September 1996).
  • BSc (Hons) in Mathematical Science For Business, Industry and Finance,
    with Upper Second Class Honours (2:1), Queen Mary College,
    (19 September 1992 - 31 July 1995).
Contact:
   wantanee.surapaitoolkorn@sasin.edu

 

 
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