Academic Background

Poomjai Nacaskul received his Bachelor of Arts degree cum laude in Physics and Economics (double majors) from WESTERN RESERVE COLLEGE, CASE WESTERN RESERVE UNIVERSITY (CWRU) in 1992, a Master of Science degree in Operations Research (w/ minor in Finance) from CWRU’s WEATHERHEAD SCHOOL OF MANAGEMENT in 1993, and a Doctor of Philosophy in Computational Intelligence and Operational Research from IMPERIAL COLLEGE, UNIVERSITY OF LONDON in 1998. Whilst at Imperial, Poomjai also interned as Quantitative Analyst with CHEMICAL BANK/CHASE MANHATTAN BANK (UK)’s QUANTITATIVE RESEARCH AND TRADING, where he developed object-oriented evolutionary optimisation programme for the ‘prop desk’ to optimise high-frequency foreign-exchange trading and model portfolio.

Upon graduation from Imperial College in 1998, Poomjai began his career as an Investment Officer with the BANK OF THAILAND (BOT)’s INTERNATIONAL RESERVES MANAGEMENT team, during which time he also took Level I, Level II, and Level III CERTIFIED FINANCIAL ANALYST (CFA) Examinations and passed them in succession. After a stint at BOT’s London Representative Office and being attached to the Basel II Capital Adequacy: Internal Ratings-Based (IRB) Approach programme, Poomjai went on to create BOT’s first QUANTITATIVE MODELS AND FINANCIAL ENGINEERING team, eventually graduating to the Principal Researcher position with BOT’s MONETARY POLICY GROUP. At BOT, Poomjai researched and developed cutting-edge analytics, from Relative Numeraire Risk in Multi-Currency Portfolio to Copula Modelling in Pricing Credit Derivatives, and Eigenvector Centrality Analysis of Systemically Important Financial Institutions.

Poomjai joined SIAM COMMERCIAL BANK (SCB) as First Senior Vice President, Head of CREDIT RISK ANALYTICS Department in 2013 and subsequently created the bank’s first QUANTITATIVE MODELS AND ENTERPRISE ANALYTICS unit, which itself was merged into the bank’s BUSINESS INTELLIGENCE/DATA ANALYTICS function in 2017, and became one of the bank’s first dedicated Lead/Principal Data Scientists. At SCB, Poomjai’s involvements reached beyond credit risk, ranging from Predictive Analytics (hourly branch-level customer queue prediction) to Financial Engineering (validation of Vanna-Volga method for pricing FX exotic derivatives), and Network Flow Modelling (intra/extra-SCB flows of wholesale liquidity funding).

He is currently a private Data Science consultant, principally contracted to UOB ASSET MANAGEMENT (THAILAND). He also taught "Machine Learning for Data Analysis" course for CHULALONGKORN UNIVERSITY SASIN SCHOOL OF MANAGEMENT and is a Digital Intelligence faculty with CHULALONGKORN SCHOOL OF INTEGRATED INNOVATION’s BACHELOR OF ARTS AND SCIENCE IN INTEGRATED INNOVATION (BASCII) programme.

Apart from risk management, quantitative finance, machine learning, and data science, Poomjai has keen research interest in Sufficiency Economy Philosophy, particularly as a global solution Sustainable Development challenges.

Poomjai and his research interests can be found online at: 

LINKEDIN [www.linkedin.com/in/poomjai-nacaskul-phd-dic-cfa-46b994142], 

SSRN [https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=363974], 

RESEARCHGATE [www.researchgate.net/profile/Poomjai-Nacaskul-2], and 

YOUTUBE [www.youtube.com/channel/UCoX6ghLzFf7eTNNCvzlrPPA/playlists].

Field of Interest

Sufficiency Economy Philosophy, risk management, quantitative finance, machine learning and data science