- Faculty, Finance
- Member, Finance Faculty Group
- Chartered Statistician
- Financial Engineer
- Senior Risk Consultant for the global financial banking sectors in BASEL II-III and Financial Risk Engines
- Her academic name was previously Wantanee Surapaitoolkorn
- 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
- Medical Statistics
- Cryptocurrency Market
- Ph.D. (2006-2011) in Econometrics I and II.
- EMBA (2008-Present) in Risk Management for Executives
- MBA (2017-Present) Risk Management For Financial Business
- MBA (2007) Financial Risk Management
Awards:
- Chartered Statistician (CStat), Royal Statistical Society (RSS), London, UK (2016).
- Best Research Paper (Upper class), Chulalongkorn University (2014)
- Graduate Statistician (GradStat), Royal Statistical Society (RSS), London, UK (2013).
- Beta Gamma Sigma (BGS), USA (2013-Present)
- The Royal Statistical Society, UK (2011-Present)
- The International Society for Bayesian Analysis (ISBA), USA (2011-Present)
- Member of Faculty Senate (13 Mar 2009 – Present)
- Appointed Assistant Professor (8 Oct 2010: Effective from 25th September 2007)
- Kellogg School of Management, Northwestern University, Faculty of Finance, (Quantitative Finance) Evanston, IL 60208, USA, (9 Mar – 20 Jun 2006)
Prior to coming back to Thailand in 2004
- Dr. Wantanee spent over 18 years in the UK.
- Her professional banking expertise is in Risk Management and BASEL II-III Accords.
- She spent 3 years working full-time for the banking industry providing a risk management banking system for major investment banks including
- Misys UK, Kbank as VP concentrating mainly on Market Risk, Credit Risk, and Operational Risk models.
- 2017 November 15-16, Judge Role for the 8th PPM Regional Business Case Competition together with Bank Mandiri, Jakarta, Indonesia.
- 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 Office, 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).
- 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.
- 2022: Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19, Journal of Applied Statistics. Published online: 26 Apr 2022. https://doi.org/10.1080/02664763.2022.2064440
- 2019: Variance Bounds Test of Volatility Expectations in Eurodollar Futures Options Markets, Global Business and Economics Review. Volume 24, Issue 2, (co-Author: Kim Kwanho) https://doi.org/10.17549/gbfr.2019.24.2.20
- 2013: Variable dimension via Stochastic volatility model using FX rates, Journal of Applied Statistics, Vol 40, Issue 10, pp 2110-2128. *Awarded 2014 Best Great Research CU Paper. https://doi.org/10.1080/02664763.2013.807330
- 2013: 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. PMID: 23203209. DOI: 10.1007/s12149-012-0671-7
- 2013: 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. PMID:16792133. DOI: 10.5414/cnp65393
- 2012: Combined Renin Angiotensin Blockade in Childhood Steroid-Resistant Nephrotic Syndrome, (co-Authors: S Supavekin, et al.), Pediatric International, Vol 54, No 6, pp 793-7. PMID: 22621380. DOI: 10.1111/j.1442-200X.2012.03668.x
- 2019: Frontiers in Artificial Intelligence and Applications: Proceedings of Fuzzy Systems and Data Mining V (Scopus), Title: Local Metropolis Move-in Variable Dimension Model for Finance: A Bayesian Markov Chain Monte Carlo Approach.
- 2006: BASEL II & Risk Management(in Thai, Co-Author with Chuchai Srisansanee, Ph.D.): ISBN 9749382692, 1000 copies sold at Chula Press.
- 2019:(i) Bayesian inference in GARCH(1,1) Model for Cryptocurrency: Dec 17-21, QMF, UTS, Australia(ii) Local Metropolis Move-in Variable Dimension Model for Finance. A Bayesian MCMC Approach: Oct 18-21, 5th International FSDM, Kitakyushu City, Japan.(iii) Bayesian inference for GARCH Model for Cryptocurrency: Sep 2-5, RSS Conference, Belfast, UK.
- 2013: Bayesian MCMC Student t-SV Model using FX rates: Jan 10, 10:35-11:45AM: ISBA, Varanasi, India.
- 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(i) 2010 Jan 10: 9th International Business and Economy Conference, Prague, Czech Republic.(ii) 2008 Jan 16, 2:30-4PM, Session 4B: 4th International Conference Banking and Finance, Langkawi, Malaysia.
- 2009 and 2008: Bayesian Student-t– GARCH Model For Asian FX Data(i) 2009 Jun 29, 2:15-4PM, Session 14, MC09-394:16th Annual MFS Conference, Crete, Greece.(ii) 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(i) Oct 18, 9:45-11:15AM: FMA Annual Meeting, Orlando, Florida, USA.(ii) Sep 25, 3:30-5PM: 12th Finsia Conference, RMIT, Melbourne, Australia.
- 2007: Bayesian MCMC For Stochastic Volatility Using FX Data(i) Jun 1, 4-5:30PM, Session 87: FMA European, the IESE Business School, Barcelona, Spain. (ii) May 24, 2:40-4:10PM: 7th Annual Hawaii International Conference on Business, Honolulu, USA.
- 2006: Bayesian Stochastic Volatility Model For Asian FX Data(i) Dec 15, 4:20-4:40PM: Quantitative Methods in Finance (QMF), UTS, Australia. (ii) Oct 27-29: 3rd Chinese Annual Meeting in Finance (in Chinese), Fudan University, Shanghai, China.(iii) Jul 11: 17th Annual AFA Meeting Bridging Finance Theory and Practice, Auckland, New Zealand.
Dr. Wantanee completed all of her university degrees at the following University of London, UK:
- 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 London (DIC). Statistics, Imperial College London (2004).
- M.Sc. Operational Research, London School of Economics and Political Sciences, LSE (1996).
- B.Sc. (Honors: Upper 2:1) Mathematical Science For Business, Industry and Finance, Queen Mary College (1995).