Poomjai Nacaskul, Ph.D.

Siam Commercial Bank PCL (SCB) First Senior Vice President (FSVP) – Principal Data Scientist, Business Intelligence/Data Analytics, Bangkok

• 2017-19/8
• Business-focused projects, inter alia – model validation w.r.t. Vanna-Volga method for pricing exotic Foreign Exchange (FX) derivatives, network-centric flow modelling of wholesale liquidity flows (Markov state simulation/eigenvector centrality analysis), heuristic method for determining excess balance in wholesale operational deposits for regulatory Liquidity Coverage Ratio (LCR) calculation, sequential pattern mining credit card utilisation/consumption baskets, unsupervised learning product portfolio cluster migration propensity, etc.

FSVP – Quantitative Models and Enterprise Analytics (QMEA)

• 2013-16
• mandate – spearhead SCB’s strategic drive to bring quantitative analytics to the forefront of any and all aspects of banking business, over and above risk quantification; aggressive talent recruitment program to build up in-house model building and analytics prototyping capability
• domain – computational intelligence, machine learning, stochastic search, evolutionary optimisation, pattern discovery/data mining/consumer analytics, anomaly detection/fraud analytics, ‘big data’ analytics

FSVP – Head of Credit Risk Analytics Division (CRA), Risk Management Group (RMG)

• 2013
• responsibilities – SCB’s credit model development & validation, all wholesale/retail credit scoring (discriminant analysis & pool analytics), PD/LGD/EAD estimation; economic capital, stress testing, risk governance framework; risk data/information system; portfolio risk analytics, risk/executive committee & regulatory reporting

Bank of Thailand (BOT) Principal Researcher – Economic Research Department, Monetary Policy Group (MPG), Bangkok

• 2011-12

Team Executive – Quantitative Models & Financial Engineering (QMFE), Financial Institutions Policy Group (FIPG)

• 2007-11
• responsibilities – systemic risk, network interconnectivities/centrality analysis, credit risk, operational risk, risk aggregation, economic capital, model validation, credit derivatives, term structure models, application of copula theory e.g. to impute implied default correlation parameterisation/calibration from Collateralized Debt Obligation (CDO) prices during crisis market condition.
• modalities – policy-oriented research studies unit, in-house quantitative technical consultancy, and organisational knowledge management function
• www.bot.or.th/English/FinancialInstitutions/New_Publications/QMFE

Senior Analyst – New Capital Accord/Basel II, International Banking Standards Division, FIPG

• 2005-07

Senior Analyst – Operational Risks, Capital Policy Department, FIPG

• 2003-04

Investment Officer, Senior Investment Officer – London Representative Office, Financial Markets Operations Group (FMPG) London

• 2001-03

Analyst – International Affairs, International Economics Department, MPG, Bangkok

• 2000-01

Investment Officer – Reserves Management, Banking Department

• 1998-2000

Chemical Bank/Chase Manhattan Bank Quantitative Analyst – Quantitative Research and Trading Group (QRT) London

• 1995-96
• Responsible for developing a portfolio optimisation model for the management of a portfolio of foreign exchange and futures trading models. The multicriteria risk and return mearures are based on utilitiy-weighted fuzzified model-trading risk and return measures. The algorithm was implemented on a Sun UNIX platform as well as software-prototyped on Visual C++Ò platform
• Responsible for engineering a time-series trading model based on an integrated ensemble of technical-trading component sub-models. The optimisation is achieved with the innovation of a new evolutionary optimisation paradigm based on phenotypic coevolution with embedded genotypic search. The algorithm was software-prototyped on Visual C++Ò platform

Thailand Sustainable Development Foundation (TSDF) Sustainable Development Strategist – Bangkok

• 2015-18
• mandate – intellectual, pedagogical and field proponent of Sufficiency Economy Philosophy as the paradigm for Global Sustainable Development programmes

CFA Level I, II, III Qualification Exams. Bangkok

• 1999–2001

Ph.D.– Applied Systems and Decision Support Research Section,  Department of Computing, Imperial College of Science, Technology and Medicine, University of London, London

• 1998          
• field – Computational Intelligence & Operational Research
• thesis – Evolutionary Optimisation and Financial Model–Trading
• problem domain: financial time-series trading and portfolio optimisation models for treasury (proprietary desk) management
• methodology – computational intelligence engines: Artificial Neural Networks, Genetic/Evolutionary Algorithms, and Fuzzy Sets/Systems
• contribution – optimisation framework based on neural-architecture encoding of fuzzified performance multi–criteria and evolutionary optimisation of discrete variables, software-prototyped on Visual C++^Ò platform
• contribution – novel evolutionary optimisation paradigm whose algorithm performs optimisation search over a multi-level combinatorial-parametric solution space, software-prototyped on Visual C++^Ò platform
• contribution – mathematical notation system for capturing Object-Oriented Programming constructs and numerical optimisation problems
• contribution – pseudo-inner product ‘metric’ and ‘algebra’ over Cartesian space

M.S. – Weatherhead School of Management, Case Western Reserve University (CWRU), Cleveland, Ohio

• 1993          
• field – Operations Research with minor in Finance
• core courses – Matrix Theory, Linear Programming, Nonlinear Programming, Large-Scale Optimisation, Hierarchical and Multiobjective Optimisation, Computer Simulation, Stochastic Processes, Corporate Finance, Options Pricing and Financial Engineering

B.A. – Western Reserve College, CWRU

• 1992          
• graduate – cum laude
• field – Physics & Economics (double majors)
• Physics courses – classical mechanics, special relativity, statistical mechanics, quantum mechanics, solid-state physics, high-energy physics, general relativity
• Economic courses – microeconomics, macroeconomics, developmental economics, managerial economics, international economics, economics of innovation
• scholarship – Dean’s Honor Award

High School Diploma –Chaminade College Preparatory School, St. Louis, Missouri

• 1987          
• Advanced Placement (AP) undergraduate degree credits – AP Physics, AP Chemistry, AP American History

[www.researchgate.net/profile/Poomjai_Nacaskul3/publications] re: Data Science & FinTech

• 2019           “Fuzzy Multi–Criteria Portfolio Optimisation w/ Python … and maybe a lil’ bit of Mathematica”, PyCon Thailand 2019, June 15^th-16^th, True Digital Park, Bangkok, [www.youtube.com/watch?v=gN3WIx6DYfw].
• 2019           “Cracking Open the ‘Black Boxes’ in Machine Learning Models”, Machine Learning and Artificial Intelligence for Quantitative Analytics Conference, February 25^th-27^th, Grand Copthorne Waterfront Hotel, Singapore, [www.marcusevans-conferences-panasian.com/marcusevans-conferences-event-details.asp?EventID=24918].
• 2019           “Machine Learning Fundamentals”, SCB In-House Lecture.2019           “Algorithmic Trading Lectures #2, #1”, SCB In-House Lecture.
• 2018           “Quantum Computing as Disruptive Technologies’Disruptive Technology”, Digital Society – SCB Future Banking, October 26^th-27^th, Mahisorn Hall, SCB Park, Bangkok, [www.researchgate.net/publication/ 335690545_Quantum_Computing_as_Disruptive_Technology]
• 2018           “Playing with Social Network, Geo-Spatial, Financial Flow, and Banking System Data: Graph-Theoretic Computation in Python”, PyCon Thailand 2018, June 16^th-17^th, Knowledge Exchange (KX) Building, Bangkok, [https://www.youtube.com/watch?v=1-aSxYDiyZM].

re: Quantitative Finance & Risk Management

• 2018           “Model Monitoring: How Should It Look in Practice?”, Model Risk and Validation in Credit Models Conference, December 5^th-6^th, Kuala Lumpur, Malaysia, [www.g-fmi.com/marcusevans-conferences-event-details.asp?EventID=24869].
• 2018           “Model Validation for Data Science, Financial Engineering & Risk Management: Vanna-Volga Method for Pricing/Calibration of 1st Generation FX Exotics”, Murex Conference, July 17^th, Bangkok.
• 2016           “Survey of Credit Risk Models in Relation to Capital Adequacy Framework for Financial Institutions”, Journal of Governance and Regulation, vol. 5, issue 4, pp. 68-84, [http://virtusinterpress.org/SURVEY-OF-CREDIT-RISK-MODELS-IN.html] [http://papers.ssrn.com/abstract=1625254].
• 2016           “Applied Mathematics in Banking & Finance: Quantitative Models and Enterprise Analytics”, Keynote Speaker at the Annual Pure and Applied Mathematics (APAM) Conference, May 23^th-25^th, Faculty of Science, Chulalongkorn University, Bangkok.
  • (version) APAM 2013, May 9^th-10^th, Bangkok.
  • (version) APAM 2011, May 19^th-29^th, Bangkok.
• 2014           “Model Validation Fundamentals”, Model Validation, Control and Governance Conference – Preventing model risk by innovating your validation process, data management and resource allocation, June 16^th-17^th, Singapore.
• 2013           “Operational Risk Model Framework – the (Missing?) Heart of Basel II Advanced Measurement Approach (AMA)”, 2^nd Annual Operational Risk (Marcus Evans) Conference – “Build a robust operational risk management strategy through optimised KRI, AMA and RCSA measures”, April 8^th-9^th, Singapore.
  • (version) 3^rd Annual Operational Risk Conference (2012), March 5^th-6^th, Singapore.
• 2012           “Credit Risk for the Next Decade – Forging the New Nexus between Regulatory Framework and Quantitative Models”, Credit Risk Asia (Flemming Gulf) Conference – Best Practices, Insights and Expertise, February 15^th-16^th, Singapore.
• 2010           “Financial Modelling with Copula Functions”, Lecture Notes, Master in Finance International Program (MIF), Thammasat University,  [http://papers.ssrn.com/abstract=1726313].
• 2009           (w/ Sabborriboon, W.) “Gaussian Slug – Simple Nonlinearity Enhancement to the 1–Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness–of–Fit Tests on US and Thai Equity Data”, 22^nd Australasian Finance and Banking Conference, December 16^th-18^th, Sydney, [http://papers.ssrn.com/abstract=1460576].
• 1999           (w/ Dunis, et al.) “Optimising Intraday Trading Models with Genetic Algorithms”, Neural Network World, vol. 5, pp. 193-223.
• 1998           (w/ Dunis, et al.) “An Application of Genetic Algorithms to High Frequency Trading Models: a Case Study”, ch. 12, pp. 247-278, in Dunis, C. & Zhou, B. (eds.), Nonlinear Modelling of High Frequency Financial Time Series, [Chichester: John Wiley & Sons].
• 1997           Evolutionary Optimisation and Financial Model-Trading, Doctoral Thesis, Imperial College of Science, Technology and Medicine, London.
• 1997           “Phenotype–Object Programming & Phenotype–Array Datatype: an Evolutionary Combinatorial–Parametric FX Trading Model”, Proceedings of the 1997 International Conference on Neural Information Processing (ICONIP’97), Dunedin, [Singapore: Springer-Verlag].
  • (version) Forecasting Financial Market (FFM) ’97, London.
  • (version) Emerging Technologies Workshop ’97, University College London.
• 1996           “A Neuro–Evolutionary Framework for Fuzzy Soft–Constraint Optimisation: An FX/Futures Trading Portfolio Application”, Proceedings of the 1996 International Conference on Neural Information Processing (ICONIP’96), Hong Kong, [Singapore: Springer-Verlag].
  • (version) Forecasting Financial Market (FFM) ’96, London.
  • (version) 1996 International Symposium on Forecasting (ISF), Istanbul.

re: Central Banking, Regulatory Analytics & Financial Crisis

• 2012           (w/ Janjaroen, K. & Suwanik, S.) “Economic Rationales for Central Banking: Historical Evolution, Policy Space, Institutional Integrity, and Paradigm Challenges”, Bank of Thailand Annual Symposium, September 24^th, Bangkok, [www.bot.or.th/Thai/EconomicConditions/Semina/symposium/2555/Paper_1_EconRationalesCentralBanking.pdf] (w/ Thai abstract) [http://papers.ssrn.com/abstract=2156808] [mms://broadcast.bot.or.th/magstream/20120924_01.wmv] (video).
• 2012           “Systemic Import Analysis (SIA) – Application of Entropic Eigenvector Centrality (EEC) Criterion for a Priori Ranking of Financial Institutions in Terms of Regulatory–Supervisory Concern”, Bank for International Settlements (BIS) Asian Research Financial Stability Network Workshop, March 29^th, Bank Negara Malaysia, Kuala Lumpur, [http://papers.ssrn.com/abstract=1618693].
• 2012           “Relative Numeraire Risk (RNR) – What You’d Need to Know Before Involving ‘Non–Traditional’ Reserve Currencies in International Reserves Portfolios”, Panelist at the 5^th National Asset–Liability Management Forum for Central Banks, Investment Authorities, State Pension Funds, Treasuries, July 18^th-19^th, Singapore, [www.nationalalm.com/singapore/static/programme].
• 2011           (w/ Sabborriboon, W.) “Systemic Risk – Identification, Assessment and Monitoring based on Eigenvector Centrality Analysis of Thai Interbank Connectivity Matrices”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=2710476].
• 2011           “Relative Numeraire Risk and Sovereign Portfolio Management”, ch. 7 in Park, Donghyun (ed.), Sovereign Asset Management for a Post–Crisis World, pp. 71-84, London: Central Banking Publications, [ISBN: 978–1–902182–71–1] [http://papers.ssrn.com/abstract=2156855] [http://riskbooks.com/sovereign-asset-management].
• 2011           “Basel II Capital Adequacy: Internal Ratings–Based (IRB) Approach”, Mathematica Demonstration, [https://demonstrations.wolfram.com/BaselIICapitalAdequacyInternalRatingsBasedIRBApproach].
• 2010           “The Case for All Asset Investing – What You Need to Know about Relative Numeraire Risk (RNR)”, Institutional Investor’s Americas Sovereign Funds Roundtable, March 8^th-9^th, Coral Gables, Florida, [www.iimemberships.com/dl/usi/ASFR 2010 Summary.pdf] (summary) & [www.euromoney.com/videos/asfr/03082010-0814-1034.htm?LS=EMS396453] (video highlight).
• 2010           “Toward a Framework for Macroprudential Regulation and Supervision of Systemically Important Financial Institutions (SIFI)”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=1730068].
• 2010           “The Global Financial (nee US Subprime Mortgage) Crisis – 12 Contemplations from 3 Perspectives”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=1677890].
• 2009           “International Reserves Management and Currency Allocation: A New Optimisation Framework based on a Measure of Relative Numeraire Risk (RNR)”, Joint BIS/ECB/World Bank Public Investors Conference, November 16^th-17^th, Washington DC, [http://papers.ssrn.com/abstract=1618692].
• 2006           “Adopting Basel II – Policy Responses in Case of Thailand”, ch. 12, pp. 80-97, in Kim, H.-K. & Shin, H. S. (eds.), Adopting the New Basel Accord: Impact and Policy Responses of Asia–Pacific Developing Countries, Proceedings of the Korea Development Institute (KDI) 2006 Conference, July 6^th-7^th, Seoul.

re: Sustainable Development & Sufficiency Economy Philosophy

• 2018           “Financial Risk Management and Sustainability – the Sufficiency Economy Philosophy Nexus”, The Buddhist Path to Sustainable Development Goals Conference, World Fellowship of Buddhists Headquarters, December 4^th-5^th, Bangkok,
• (2017 paper) SSRN Working Paper Series, [https://www.ssrn.com/abstract=3057886].
• 2015           “Did we fail Corporate Governance or did Corporate Governance fail us? Sufficiency Economy Perspective on Capitalism and Corporate Social Responsibility”, Proceedings of the National Research Alliance Dialogue on Corporate Governance, November, 10^th, Sasin Hall, Sasin Graduate Institute of Business Administration of Chulalongkorn University, pp. 8-15 Bangkok.
• 2015           Panellist at the “Caux Round Table” on Sustainable Development Goals, January 29^th, House of Lords, London, March 2^nd, Academie des Sciences Morales et Politiques, L’Institute de France, Paris, March 4^nd, The Hague, March 6^nd, Madrid.
• 2015           “Sufficiency Economy Philosophy: Conceptual Background & Introduction”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=2625967].
• 2013           “Sustainable Development – Calling for Policy Analytics and (Wittgensteinian Turn Towards) Economics of Moderation”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=2334765].
• 2013           “Challenges in Global Sustainable Development Efforts”, Panellist at the Bangkok Conference – ‘Global Dialogue on Sustainable Development’, [www.SDGlobalDialogue.com], October, 10^th, Bangkok.
• 2001           “Toward a Framework of Economic Thoughts based on Sufficiency Economy”, SSRN Working Paper Series, [http://papers.ssrn.com/abstract=2625942].
• 2000           “New Challenge to the New Century – How to Design the Global Economy System of Harmonization for the 21st Century”, The Outstanding Young Person (TOYP) 2000 Program, 1 of 7 Recipients/International Delegates worldwide, selected from essay compentition, at the invitation of the Osaka Junior Chamber, Osaka.