Staff profile
Dr Warren Wu
More Information
Further information can be found at www.geocities.com/fynanz/papers
Educational & Professional Affiliations
1995 - Present, Alumnus of the J. William Fulbright Foreign Scholarship Program, The Bureau of Educational and Cultural Affairs, The United States Department of State
1998-Present, Doctoral Student Member of the FMA International, Financial Management Association (FMA) 2002-Present, Candidate in the Chartered Financial Analyst (CFA®) Program - Level I Association for Investment Management and Research (AIMR)
2002-2003, Candidate in the Financial Risk Manager (FRM®) Program Global Association of Risk Professionals (GARP)
Industry Experience
Professional
- Feb 2003-Present,Lecturer of Finance, Curtin University of Technology, Perth, Australia
Conduct two advanced courses in Financial Modeling and Financial Statement Analysis for the onshore and offshore (Hong Kong, Singapore, and Malaysia) Master of Finance students.
Orient financial modeling instruction towards the FRM® professional designation.
Develop risk analytic models, including but not limited to stochastic equity and fixed-income pricing using historical and Monte Carlo simulations, market value-at-risk (VaR) measurement using drift and volatility rates, credit risk and credit VaR (CVaR) measurement using actuarial default rates and mark-to-market credit spreads, and portfolio optimization with VaR and CVaR.
Orient financial statement analysis instruction towards the CFA® professional designation.
Develop fundamental security analysis models, including but not limited to pro forma financial statements based on GAAP and value-added drivers for more detailed evaluation of key performance indicators (KPIs) and more precise estimation of earnings for listed companies. - Sep 2001-Jan 2003, Assistant Professor of Finance, University of Macau, Macao Special Administrative Region
Conducted two advanced courses in Financial Management and Bank Management.
Focused financial management on real-options valuation and capital structure decisions.
Developed spreadsheet models for instruction and research purposes, including but not limited to investment flexibility valuation using discrete-time option pricing models and capital structure optimization based on tax-shield benefit vs. debt defaultability tradeoff.
Focused bank management on asset-liability management (ALM) and the Basel II bank capital.
Developed spreadsheet models for instruction and research purposes, including but not limited to pro forma financial statements comprising defaultable loan and risky investment portfolios, deposit and borrowed funds, off-balance-sheet hedging transactions, and risk-adjusted capital. - Feb-Aug 2001, Visiting Professor of Finance, University of Waikato, Hamilton, New Zealand
Conducted an advanced course in Corporate Finance.
Geared corporate finance towards leverage-adjusted discounted cash flow (DCF) valuation.
Developed corporate valuation models for instruction and research purposes, including but not limited to capital budget decision-makings based on the market-risk adjusted cost of capital measures with interaction to capital structure and/or dividend policy decisions. - Oct 2000-Jan 2001, Economic Policy Researcher, Ministry of Finance, Bangkok, Thailand
Conducted the World Bank-sponsored study on the restructuring of a near-collapsed Thai banking industry in response to massive loan defaults following the Asian Crisis in 1997.
Identified alternative policy measures on which the Thai Government could focus to lessen the direct and contagion effects due to the loss of public confidence in domestic financial systems.
Participated in the Thai Government's effort to appraise the liquidation value of nonperforming bank loan collateral to be acquired by qualified asset management firms or foreign banks. - 1995-1999, Instructor of Accounting, University of Akron, Akron, Ohio, USA
Provided university-wide consultative tutoring services for all enrolled accounting students. Emphasized the importance of accrual concept in measuring business income and its impacts on firms' operating and financial performance measures when reported and disclosed to the public. - 1991-Sep 2000, Director of MBA Program & Senior Lecturer of Finance, Maejo University, Thailand
Founded and headed the MBA Program with an average annual intake of 50 students.
Conducted two courses in Financial Management and Investment Management focusing on managers' capital budgeting and capital structure decision-making skill set as well as on individuals' dynamically optimal investment choices in asset allocation and portfolio selection.
Was the recipient of the J. William Fulbright Foreign Scholarship to conduct doctoral study in the United States while maintaining a faculty-member status with the university from 1995 to 2000.
Consulting & Training
July 2004, Advanced Credit Risk Assessment Trainer, Bank of Western Australia, Perth, Australia
Delivered a tailored training module on credit-risk quantification to mid-career bank staffs on how to evaluate different asset classes using state-of-the-art valuation technology, including relative valuation (e.g., price/earnings, price/cash flow, and price/book value multipliers), intrinsic valuation (i.e., risk-adjusted discounted cash flows and cost of capital estimation), and quantitative valuation (i.e., risk-neutral stochastic cash flows and contingent claim analysis).
Supported the trainees through a set of conceptual notes and follow-up workshop exercises to substantiate training effectiveness on theoretical valuation frameworks and practical exposures.
Jul-Aug 2001, Strategic Investment & Real Options Trainer, Wel Networks Limited, Hamilton, New Zealand
Provided a short-term customized corporate training service to a team of project analysts on how to undertake new project feasibility studies using the innovative real-options framework.
Assisted the team members in their modeling endeavor by providing insights and expert opinions on model inputs, mathematical calculation procedures, and various scenario analyses. Mar-Dec 2000, Project Valuation & Management Consultant, The Nation Group, Bangkok, Thailand
Verified the client's investment proposal to establish an Internet incubator to be initially funded by venture capital and subsequently financed through IPO issues and international listings.
Developed a customized spreadsheet model to validate the viability of this start-up venture with different phases of financing schemes in order to optimize total returns to shareholders.
Mar-Dec 2000, Commercial Appraisal Consultant, First Pacific (Thailand) Limited, Bangkok, Thailand
Performed field studies on land use and property value of various client companies with a goal to improve the utilization rates of their existing land before annexation or relocation is required.
Rendered unbiased recommendations for clients to buy or sell land or switch land usage based objectively on the combination of market-value and operational analyses.
Corporate Professional
1988-1991, Assistant Project Planning Manager, Thai Oil Company Limited, Bangkok, Thailand
Developed complex spreadsheet models for refinery expansion and petrochemical projects to evaluate their long-term impacts on future earnings and financing requirements.
Participated in soliciting syndicate project loans from various international banks and in evaluating competitive bids from the consortia of supply and construction companies.
1986-1988, Business Development Analyst, The Shell Company of Thailand, Bangkok, Thailand
Performed in-depth feasibility analysis on a non-petroleum project to plant eucalyptus trees on the concessionary arid land to supply paper pulp to the domestic market.
Participated in the development of an upstream oil refinery project to supply feeds to the downstream petrochemical industry that was promoted by the government during 1980s.
Publications
Books
Ongkrutaraksa, Worapot. Financial Modeling and Analysis. Sydney, Australia: Pearson Education Australia, 2005.
(PUB-CBS-SEF-AH-31053 A2 verified)
Book Chapters
Wu, Warren. "Understanding Business Valuations." In Advanced Credit Risk Assessment Training Program, edited by Curtin Consultancy Services, xxx-xxx. xxx: xxx, 2004.
(PUB-CBS-SEF-RG-33738 B2 entered)
Wu, Warren. "Hong Kong derivatives markets: Stock index futures, stock index options and interest rates swaps." In The Hong Kong financial system, 000-000. Oxford: Oxford University press, 2002.
(PUB-CBS-SEF-RG-37105 B2 entered)
Research Interests
Research Papers Risk Accounting: A Critical Analysis of FASB No. 119, Fall 1998.
Evaluation of the Bank of Thailand: Past Performance and Prospect for Credibility, Spring 1998.
Three Factor Model and Real Options of the Firm: A Correlation Analysis of Stock Excess Returns and Investment-Operating Flexibility, Spring 1997.
Effects of Industry Differences on Investment Strategies: A Comparison between Public and Private Sector Industries in a Real Options Framework, Fall 1996.
Efficient Capital Markets: A Review of Literature, Summer 1996.
Modern Investment Theory: A Review of Literature, Summer 1996.
Behavioral Finance: A Review of Literature, Summer 1996.
Financial Futures: A Conceptual Framework, Spring 1996.
Financial Options: A Conceptual Framework, Spring 1996.
Synthetic Investment: An Application of Asset Swaps in Less Developed Capital Markets, Fall 1995. Trade in Services and Balances of Payment: Factors Determination and Long-term Viability, Fall 1995.
Research & Professional Interests
1. Strategic Valuation and Performance Evaluation - Applications of real options framework on strategic investment and operating decisions. The focus of research is on measuring the value of investment flexibility of new projects (preemptive vs. delayed commitment options) and of operating flexibility (expansion/contraction, halting/restarting, abandonment/disposal, and rainbow/compound options) of existing business units using discrete-time contingent-claim valuation models. Advanced modeling techniques and spreadsheet design and programming is extensively deployed and utilized to simulate all possible stand-alone and combinations of flexibility paths through the passage of time. The research outcome is highly practical with tremendous potential for customized applications on project and business-unit management. - Operationalization of value-based management (VBM) framework in strategic financial decisions. The research emphasis is on the determination of operational risk-adjusted cost of capital of a stand-alone business unit under a corporate umbrella for use in forward-looking capital allocation and backward-looking performance evaluation of various business units. This research will extend the existing measurement of market risk- and credit risk-adjusted cost of capital. Combining real options with VBM analysis will allow corporate decision-makers to measure the impacts of strategic investment, financing, and operating activities on firm value more timely and accurately. - Extension of contingent claim analysis to corporate governance and performance evaluation. The research will underscore the theoretical and empirical results of real options and VBM on the design and implementation of executive compensations and incentive systems. With the timely and accurate measurements of ex post strategic activities, the firm's claimholders will be able to tie remuneration packages with the business-unit managers' performance, both short- and long-term, thereby minimizing the costly monitoring and governance resources.
2. Financial Risk Quantification and Management - Improvement on capital-based regulation to measure and manage market and credit risks. The research aims at capturing, through advanced spreadsheet modeling techniques, the contributions and impacts of market and credit risk exposures of investment and loan portfolios on the setting of bank capital. For empirical investigation, various levels of bank capital profiles can be used to trace how much the market and credit risk to which the banks have been exposed and how effective their risk management and control programs have been. The relevant extensions of the current generation of Value-at-Risk (VaR) models are expected to emerge from of this research. - Extension of activity-based functional regulation to measure and manage operational risks. By capitalizing on the research findings from real options and value-based management, this research can empirically capture the contributions and impacts of operational risk exposures of each business unit of the bank, which is another important risk dimension beside market and credit risks. Bank supervisory agencies can utilize the analytical framework from this research to monitor the banks' operating, business, and strategic activities more precisely. - Applications of incentive approach to strengthen supervision of opaque banking activities. Operational and functional risk measures of opaque activities are treated as derived input parameters in the design and implementation of incentive systems for banks. Like corporate governance issues for non-bank firms, supervision issues for the highly monitored banking industry are the promising area of applications for the capital- and activity-based international banking regulations.
3. Financial Engineering and Financial Modeling - Innovation and marketing of structured, synthetic, and boutique financial instruments. The studies focus on the origination processes of financially engineered over-the-counter products to help borrowers and investors, both individual and institutional, better manage their dynamic risk-return preferences. They include the augmentation as well as the unbundling of various exchange-traded vanilla underlying and derivative securities plus the originator's own contingent-claim contracts. With this cutting-edge financial technology framework, the users of financial innovation (products) will be able to compare among different financial engineers (processes) whether their quoted product prices are truly competitive and reflecting the actual market conditions at any given point in time. - Effective management and control of hedged portfolios and off-balance-sheet exposures. The studies are geared towards the bank's own use of financial engineering processes to minimize its overall portfolio risks through risk-sharing and risk-shifting among other banks and other non-bank counterparties. This research will provide many insights into the complex world of swap markets and how their functioning would affect the prices of exchange-traded securities and instruments. - Pedagogical and advanced financial modeling using Visual Basic for Applications (VBA). This is the by-product from the spreadsheet modeling efforts put into the above research areas. Many user-defined spreadsheet functions and procedures collected in various VBA modules are envisaged to result from designing and testing of various research hypotheses and modeling propositions. These VBA modules will be selectively disseminated to students and the general public to enhance the rigor and academic standards in the finance discipline.
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