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MISC
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BIOGRAPHY
RESEARCH
PUBLICATIONS
MISC

Education

    • Ph.D., Systems Engineering with minor in Management Information Systems, University of Arizona, May 1992.

Industrial Experience

    • September 2015 – December 2016: Director, Internet Finance, Applied Science and Technology Research Institute (ASTRI), Hong Kong SAR.
    • December 2005 – March 2007: Senior Vice President (SVP) and Deputy Chief Risk Officer, Cathay Financial Holdings (CFH) – a Forbes 500 and Fortune 500 firm.

Academic Experience

    • January 2010 till August 2019: Adjunct Professor, Department of Finance, HKUST
    • June 2016-June 2018: Department of Mathematics, HKUST
    • September 2013 till August 2019: Honorary Professor, Department of Electrical and Electronic Engineering, HKU
    • January 2010 – August 2015: Professor, School of Business, Tungwah College.
    • January 2007 – January 2010: Visiting Professor and Coordinator of BSc in Quantitative Finance Program, Department of Finance, HKUST
    • January 2002 – May 2002: Associate Professor, Arizona State University (on leave from Chinese University of Hong Kong).
    • December 1998 – December 2005: Associate Professor and Professor (promoted to Professor in May 2002), Department of Systems Engineering and Engineering Management Department, Chinese University of Hong Kong.
    • July 2000 – August 2000: Visiting Scholar, Department of Electrical Engineering and Computer Science, University of California at Berkeley.
    • September 1999 – September 2002: Adjunct Associate Professor, School of Computer Science and Institute for eCommerce Research, Carnegie Mellon University.
    • July 1996 – December 1998: Assistant and Associate Professor (promoted to Associate Professor in May 1997), Information Systems Program Coordinator, Dept. of Comp. Science and Information Systems and Co-Director of Authorized Academic Java Campus and Center for Electronic Commerce, HKU
    • August 1994 – July 1996: Visiting Assistant Professor, Department of Information and Systems Management, Hong Kong University of Science and Technology.
    • June 1992 – June 1994: Post-doc Fellow, Department of Management Information Systems, University of Arizona. Tucson, Arizona.

Professional Activitiess

Professional Community
    • Founding Member, Hong Kong Professionals and Senior Executive Association (HKPASEA)
    • Member, the Hong Kong Institute of Directors
    • Member, Hong Kong Society of Economists
    • President, Asia Pacific Association of Financial Engineering
    • Co-Chair, First Asia Pacific Conference on Financial Engineering, Hong Kong, 2008
    • President, Asia Pacific Association of Financial Engineering (APAFE)
    • Subject Matter Expert, PRMIA’s Advisory Groups:
      • Energy Risk (Commodities)
      • Complexity, New Products, Emerging Risks
Other Consulting Services

    • Stock Exchange of Hong Kong (HKEx): Feasibility study of prototype development of Integrated Trading Environment and Electronic Disclosure.  We developed a prototype of both systems to prove the concept, study the potential impacts to all the parties involved, and analyze the issues in microstructure.

    • Hong Kong Securities and Futures Commission (HKSFC):  Studied and analyzed the strategies used by attackers in attacking various Asian markets during Asia Financial Turmoil in 1998. Which included the multi-market attacks that launched by powerful players. The scope included futures and options, money, and equities.  Based on the results we had, we further developed a Cross-Market Monitoring System to support monitoring of suspicious activities.  Mathematical and analytical models used include Black Scholes, Interest Rate, Data Mining, and Principal Component Analysis.

    • Simplex Securities Ltd.: Development of pre-IPO firm asset valuation, calculation of default probability and volatility estimation based on GARCH, VaR, and jump-diffusion models.

    • Audit Commission of Hong Kong SAR Government: Development of methodology to estimate the efficiency of resources allocation and utilization of Hong Kong SAR Government.

    • Lippo Group and subsidiary TechnoSolve Ltd.:  Establish risk management division including staffing and development of Basel II Compliance Solution, which include Credit Risk Engine and Market Risk Engine.  Beta version of Credit Risk Engine was ready in October 2005 and Market Risk Engine was also ready in 2006 to capture the timing of helping banks to comply with requirements of Basel II.

    • Invesco-Greatwall China: Invesco-Greatwall is one of the best fund houses in China with assets under management greater than 100 B RMB.  We developed a Scalable Asset Allocation and Stock Selection Systems based on optimization of returns (alpha) and risks (betas) for China Stock Market.  Our research team also developed the methodology and procedures for Cross Market Index – China50 Index, China50 Exchange Traded Fund (ETF), China50 Index Futures, etc for Shenzhen and Shanghai A Shares.  We also provided consulting services to support new funds and equity structured products development.

    • Essences Securities: Essences is one of the top ten securities firms in China. I provided consulting services to help them to develop risk management division, set up the policies, and to create core competence by training and knowledge transfer.

    • Societe Generale:  Development of pricing model for equity structured products, such as, Alpha Accelerator, and framework that based on CVaR for asset liability management (ALM).

    • Hang Seng Bank:  Verify pricing of equity and FX structured products that done by counter parties (investment banks) based on advanced models, such as, Dupire and Heston.  Develop new pricing models for popular products in Asia market, such as, accumulator and EKIKOs.

    • AIA Insurance:  Development of Bubble Index and Investment Index, weekly market forecasting and optimized asset allocations.

    • Head and Shoulders China Core SPC: Development of options trading and pair trading strategies as well as the needed numerical models and computation modules.

    • Goldenway Group:  Development of Hang Seng Index (HSI) Volatility Term Structure (VTS) model and systems to support algo options trading and pair trading with other correlated assets.

    • Bank of East Asia (BEA): Pricing of 45 structured products and verifying pricing templates that developed by a leading financial engineering firm – Numerix.  Development of credit risk models that include the models for estimation of EAD and LGD.

    • China Construction Bank: Develop pricing models and systems for 37 commodities, foreign exchanges, and interest rate structured products with state-of-the-art models.