現職

• 新加坡國立大學榮譽退休教授

• Criat(深信數科)和ADBIZA(優算智科)聯合創始人及董事長

經歷

• 中研院院士
• 新加坡國立大學商學院Jardine Cycle＆Carriage金融講座教授

授課領域：數位金融專題研討 Special Topic in Digital Finance – Credit risk analytics and management

課程介紹：

Competent credit risk management today must incorporate digital technologies. Managerial practices in the credit space should not be confined to single-name credit applications, such as ratings, because marginal risks in isolation fail to reflect default correlations vital to any credit portfolio. To effectively utilize both the conventional and digital measurements, a minimal level of domain knowledge is a must while engaging machine-learning/AI tools is better viewed as an add-on enhancement.

Managerial decision making on credit risk must be compliant with laws and regulations (domestic and/or the likes of the Basel Capital Accord) and in accordance with professional practices such as international financial reporting standards. One should also factor in an organization’s current state and institutional legacies. In short, acceptable AI technology will have to be managerially interpretable.

Evidently, the above cannot all be covered in one short course. With the limited lecturing hours, I will focus on a few selected topics, intending to discuss issues in a holistic manner but leaving the background knowledge needed for students to fill in. Given the increasing popularity of cryptocurrencies/assets, one lecture will focus on the credit risk of stable coins.