Wantanee Poonvoralak, Ph.D.,DIC

  • Faculty, Finance
  • Member, Research Committee
  • Member, Finance Faculty Group


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
  • MBA (2007) Financial Risk Management

Academic Positions :

  • Visiting Scholar: Kellogg’s Graduate School of Management, Northwestern University, Faculty of Finance, (Quantitative Finance) Evanston, IL 60208, USA, (9 Mar – 20 Jun 2006)
  • Award: Chartered Statistician (CStat), Royal Statistical Society (RSS), London, UK (2016).
  • Members
    • Beta Gamma Sigma (BGS), USA (2013-Present)
    • The Royal Statistical Society, UK (2011-2015)
    • The International Society for Bayesian Analysis (ISBA), USA (2011-Present)
  • Chulalongkorn University (2008-Present)
    • Member of Faculty Senate (13 Mar 2009 – Present)
    • Appointed Assistant Professor (8 Oct 2010: Effective from 25th Sep, 2007)
    • Appointed Academic Committee (Apr 2011-2013: Elected by Member of Faculty Senate)
    • Appointed Secretary of Academic Committee (Apr 2011-2013: Elected by Academic Committee)

Professional Banking 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 full-time 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.

Academic Expertise:

Bayesian Inference, Bayesian Statistics, Bayesian Computation (MCMC), Monte Carlo Simulation, Statistical Inference, Stochastic Volatility Models, Deterministic Volatility Models (GARCH), Econometrics Modeling, Time Series Analysis, Reversible Jumping Process, Chang-point Analysis, Copula Models, Medical Statistics, Risk management and BASEL II-III accord, Risk modeling for Market Risk, Credit Risk, and Operational Risk.

Risk Management Consultant:  

  • 2014 May 21, Enterprise Risk Management: UNHCR: The UN Refugee Agency, Bangkok, Thailand.
  • 2012 Sep 6-7, Advanced Risk Management For Financial Institutions: Land Bank of Philippines, Manila
  • 2010 Mar 12, Risk Modeling: Kiatnakin Bank, Head offce, Bangkok, Thailand.
  • 2010 Feb 2, Enterprise Risk Management: Thai Airways International Executive, Sasin Faculty.
  • Credit Risk: Deloitte Touche Tohmatsu Jaiyos Co., Ltd, Thailand (May 2007-Present).
  • Market Risk: Department of Monetary Office, Ministry of Finance, Thailand (Sep 2007-Jan 2008).
  • Market Risk and Credit Risk: Thai Bond Market Association, Thailand (Apr 2005 – Feb 2006).

Risk Speakers in Bangkok, Thailand:

  • 2014 May 21, Enterprise Risk Management: UNHCR: The UN Refugee Agency, Bangkok, Thailand.
  • 2011 Jul 22, Financial Risk Management due to Effects of Distant Large Earthquakes on Infrastructure in Thailand: conference organizes by 10 institutes title “Stakeholder Consultation workshop on the effects of distant large earthquakes on infrastructure in Bangkok: Risk Reduction perspectives”.
  • 2010 Sep 10, Risk Management and BASEL II, for Cerebos (Thailand) Ltd, Sasin (SEP).
  • 2008 Jan 30, Stochastic Volatility Modeling in Financial Market Risk, Bank of Thailand.
  • 2007 Jan 12, Risk Vision and Implementation of BASEL II, Deloitte Touche Tohmatsu Jaiyos.
  • 2006 Nov 28, Market Risk, Risk Assessment workshop for Krug Thai Bank PLC.
  • 2006 Jul 19-20, Enterprise Risk Management: Managing the Unknown, Sasin (SEP)
  • 2005 Jun 27, Catching the Future of Risk, Landmark Hotel.


  • 2013 June 29, Variable dimension via Stochastic volatility model using FX rates, Journal of Applied Statistics, Vol 40, 10, pp 2110-2128 (Publish on line: 14 Jun 2013, IF=0.479). This paper was awarded the Best 2014 Upper Chula Research from Chulalongkorn University on 24th March 2015.
  • 2013 Feb, The Role of DMSA renal scientigraphy in the first episode of urinary tract infection in childhood, (co-Authors: S Supavekin, et al.), Annals of Nuclear Medicine, Vol 27, 2, pp 170-176, IF=1.502.
  • 2013 Jan, Tacrolimus in Steroid Resistant and Steriod Dependent Childhood Nephrotic Syndrome, (co-Authors: S Supavekin, et al.), Journal of the Medical Association of Thailand, Vol 96, 1.
  • 2012 Dec, Combined Renin Angiotensin Blockade in Childhood Steroid-Resistant Nephrotic Syndrome, (co-Authors: S Supavekin, et al.), Pediatric International, Vol 54, 6, pp 793-7, IF=0.626.
  • 2012 Sep, Asian FX Market Crisis: A Bayesian GARCH Models Approach, International Research Journal of Applied Finance (IRJAF), Vol 3, 10, Article 6, pp 1486-1496, No IF, E-Journal.
  • 2012 Aug, Risk Management of Flood: The Case of Thailand, World Journal of Social Sciences (Special Issue), Vol 2, 5, pp 198-206, No IF, Conference-Journal.
  • 2009 Feb-Mar, Market Risk VaR historical simulation model with autocorrelation effects, The International Journal of Banking and Finance (IJBF), Vol 6, 2, No IF, Conference-Journal.

Book: 2006 Feb, BASEL II & Risk Management (in Thai, Co-Author with Chuchai Srisansanee, Ph.D.): ISBN 9749382692, 1000 copies sold at Chula Press.

Presentation: (Research Papers at International Conferences)

  • 2013: Bayesian MCMC Student t-SV Model using FX rates
    Jan 10, 10:35-11:45AM: ISBA Regional Meeting on Bayesian Theory and Applications.
  • 2012: Bayesian Inference for Leverage SV Models using FX rates
    Jul 8, 10:50AM-12:30PM, International Finance 1 Session 40, AFA&TFA Join International Conference.
  • 2011: Risk Management for Thailand Flooding crisis
    Dec 12,11AM-1PM, Paper 318, World Business and Economics Conference, Auckland, New Zealand.
  • 2010 and 2008: Market Risk VaR Historical Simulation Model with ACF Effects
    • 2010 Jan 10: 9th International Business and Economy Conference, Prague, Czech Republic.
    • 2008 Jan 16, 2:30-4PM, Session 4B: 4th International Conference Banking and Finance, Langawi, Malaysia.
  • 2009 and 2008: Bayesian Student-t– GARCH Model For Asian FX Data
    • 2009 Jun 29, 2:15-4PM, Session 14, MC09-394:16th Annual MFS Conference, Crete, Greece.
    • 2008 Feb 29, 8-9:30AM, CS-530: MFA Annual Meeting, Marriott, San Antonio, Texas, USA.
  • 2007: Bayesian GARCH(1,1) For FX Asian Crisis Market
    • Oct 18, 9:45-11:15AM: FMA Annual Meeting, Orlando, Florida, USA.
    • Sep 25, 3:30-5PM: 12th Finsia Conference, RMIT, Melbourne, Australia.
  • 2007: Bayesian MCMC For Stochastic Volatility Using FX Data
    • Jun 1, 4-5:30PM, Session 87: FMA European, the IESE Business School, Barcelona, Spain.
    • May 24, 2:40-4:10PM: 7th Annual Hawaii International Conference on Business, Honolulu, USA.
  • 2006: Bayesian Stochastic Volatility Model For Asian FX Data
    • Dec 15, 4:20-4:40PM: Quantitative Methods in Finance (QMF), University of Technology at Sydney, Australia.
    • Oct 27-29: 3rd Chinese Annual Meeting in Finance (in Chinese), Fudan University, Shanghai, China.
    • Jul 11: 17th Annual AFA Meeting Bridging Finance Theory and Practice, Auckland, New Zealand.


After obtaining her G.C.S.E (1988) and A ’Level (1991) in the UK, Dr. Wantanee completed all of her university degrees at the University of London, U.K., from the followings colleges:

  • Ph.D. Mathematics, Imperial College (2004), viva 17th Dec 2002. Supervisor: Professor Dave Stephens, Ph.D. Thesis Title: A Bayesian Approach to Volatility Modeling and Econometrics Financial Time Series.
  • Diploma of Imperial College of Science (DIC). Statistics, Imperial College (2004).
  • M.Sc. Operational Research, LSE (1996).
  • B.Sc. (Hons: Upper 2:1) Mathematical Science For Business, Industry and Finance, Queen Mary College (1995).