Poomjai Nacaskul, PhD, DIC, CFA

Siam Commercial Bank

FSVP, Quantitative Models and Enterprise Analytics

9 Ratchadaphisek Rd.

Chatuchak

Bangkok, Bangkok 10900

Thailand

http://www.scb.co.th

SCHOLARLY PAPERS

14

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CITATIONS
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10

Scholarly Papers (14)

1.

Toward a Framework for Macroprudential Regulation and Supervision of Systemically Important Financial Institutions (SIFI)

Number of pages: 16 Posted: 28 Dec 2010
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 269 (112,548)
Citation 1

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Systemically Important Financial Institution, Macroprudential Policy Framework, Regulation and Supervision, Too Interconnected To Fail, Entropic Eigenvector Centrality

2.

Survey of Credit Risk Models in Relation to Capital Adequacy Framework for Financial Institutions

Number of pages: 25 Posted: 15 Jun 2010
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 200 (150,806)
Citation 1

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Credit Risk, Capital Adequacy Framework, Basel II, IRB

3.

Financial Modelling with Copula Functions

Number of pages: 90 Posted: 21 Dec 2010
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 150 (194,313)

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Copula, Gaussian copula, Gaussian Slug Copula, Dependency Structure, Quantitative Finance, Lecture Notes

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Network Model, Systemic Risk, Risk-Based Supervision, Macroprudential Surveillance, Eigenvector Centrality, Entropy Measure

5.

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

22nd Australasian Finance and Banking Conference 2009
Number of pages: 17 Posted: 25 Aug 2009 Last Revised: 04 Jan 2016
Poomjai Nacaskul, PhD, DIC, CFA and Worawut Sabborriboon
Siam Commercial Bank and Financial Institutions Strategy Department, Bank of Thailand
Downloads 125 (224,658)

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Copula, Gaussian Copula, 1-Factor Model, Goodness-of-Fit, US, Thai, Equity Data

6.

Sustainable Development – Calling for Policy Analytics and (Wittgensteinian Turn Towards) Economics of Moderation

Number of pages: 35 Posted: 04 Oct 2013 Last Revised: 22 Oct 2013
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 113 (242,021)

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Sustainable Development, Sufficiency Economy Philosophy, Economic Development, Environmental Sustainability, Social Equity, Cultural Integrity, Moral Capitalism, Mindset, Policy Analytics, Infographics

7.

The Global Financial (nee US Subprime Mortgage) Crisis - 12 Contemplations from 3 Perspectives

Number of pages: 24 Posted: 16 Nov 2010
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 100 (263,515)
Citation 1

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financial crisis, subprime mortgage, US housing bubbles, originate-to-distribute model, asset-backed commercial paper (ABCP), collateralized debt obligation (CDO), structured investment vehicle (SIV), lessons learned, regulatory reform, supervisory surveillance

8.
Downloads 87 (288,191)
Citation 1

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Reserves Management, Currency-Asset Allocation, Numeraire Definition, Pareto Inefficiency

9.

Economic Rationales for Central Banking: Historical Evolution, Policy Space, Institutional Integrity, and Paradigm Challenges

BOT Symposium 2012, September 24, 2012
Number of pages: 80 Posted: 05 Oct 2012
Poomjai Nacaskul, PhD, DIC, CFA, Kritchaya Janjaroen and Suparit Suwanik
Siam Commercial Bank, Bank of Thailand and Bank of Thailand
Downloads 57 (363,616)

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central banking, lender of last resort, policy space, central bank mandate, monetary stability, financial stability, central bank independence, paradigm challenges, cybernetics

10.

Sufficiency Economy Philosophy: Conceptual Background & Introduction

Number of pages: 16 Posted: 07 Jul 2015 Last Revised: 04 Jan 2016
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 55 (369,887)
Citation 1

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Sufficiency Economy, Economic Paradigm, School of Economic Thoughts, Sustainable Development

11.

Systemic Risk -- Identification, Assessment and Monitoring based on Eigenvector Centrality Analysis of Thai Interbank Connectivity Matrices

Number of pages: 12 Posted: 05 Jan 2016
Poomjai Nacaskul, PhD, DIC, CFA and Worawut Sabborriboon
Siam Commercial Bank and Financial Institutions Strategy Department, Bank of Thailand
Downloads 54 (373,087)

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Network Model, Systemic Risk, Risk-Based Supervision, Macroprudential Surveillance, Eigenvector Centrality, Entropy Measure

12.

Financial Risk Management and Sustainability – The Sufficiency Economy Philosophy Nexus

Number of pages: 12 Posted: 24 Oct 2017
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 45 (403,388)
Citation 1

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Sustainability, Sustainable Capitalism, Financial Risk Management, Sufficiency Economy Philosophy

13.

Relative Numeraire Risk and the Currency Allocation of Sovereign Portfolios

Number of pages: 14 Posted: 05 Oct 2012
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 35 (442,336)

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relative numeraire risk, international reserves, sovereign portfolio management

14.

Toward a Framework of Economic Thoughts Based on Sufficiency Economy

Number of pages: 13 Posted: 05 Jul 2015
Poomjai Nacaskul, PhD, DIC, CFA
Siam Commercial Bank
Downloads 13 (559,995)

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Sufficiency Economy, Economic Paradigm, School of Economic Thoughts, Sustainable Development