Faculty Members Directory

Biography

Dr Siu is an Assistant Professor and the Associate Programme Director of BBA(Hons) in Finance and Banking.  He joined the Hang Seng University of Hong Kong in August 2013. Before he joined the University, he was with the Hong Kong Securities and Investment Institute where he organized and delivered many professional training courses to finance practitioners. Prior to that, he was a practitioner himself and had worked in several renowned financial institutions. He specializes in equity, derivatives and financial/risk control, portfolio management and private wealth management. Professionally, he is a holder of CFA, FRM and MHKSI designations.

Research and Teaching Interests

• Convolution, expected shortfall, market risk, numerical simulation, portfolio management, risk management, value at risk, volatility index.

Intellectual Contributions (Publications, Conferences, Books, Book Chapters, etc.)

Publications:
• Siu, Y.W. (2019) “Impact of Expected Shortfall Approach on Capital Requirement Under Basel”. Review of Pacific Basin Financial Markets and Policies, V.22, No.04, 1950025.
• SIU, Y.W. (2018), "Volatility Forecast by Volatility Index and its Use as a Risk Management Tool under a Value-at-Risk Approach", Review of Pacific Basin Financial Markets and Policies, Vol.21, No.02, 1850010.

Conference Papers:
• Siu, Y.W. (2019). “Practical Value at Risk and Expected Shortfall Estimation for Securities Market”. International Conference on Research in Business, Management and Finance, Vrije Universiteit Amsterdam, July 12~14, 2019.
• Siu, Y.W. (2018). “Value at Risk and Expected Shortfall Estimation for Asia-Pacific Markets”. The 26th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Rutgers University, New Jersey, US, September 6~7, 2018.
• Siu, Y.W. (2017) “Value at Risk and Expected Shortfall Estimation for China Securities Market”, The 29th Annual Conference of Chinese Economics Society Australia (CESA), Perth, Australia, 12~14 July, 2017.
• Siu, Y.W. (2016) “Volatility Forecast by Volatility Index and its Use as a Risk Management Tool under a Value-at-Risk Approach”, The 24th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, Hsinchu, Taiwan, June 11~12, 2016.
• Siu, Y.W. (2015) “How does model-free volatility index compare to model-based method in forecasting volatility and is it an investor fear gauge?”, The 22nd Annual Global Finance Conference, Hangzhou, China – April 24~26, 2015.

Business and Professional Engagement/Membership

• Healthy Budgeting Family Debt Counselling Centre of Tung Wah Group of Hospitals: Evaluation of the Effectiveness of Financial Education Programs and Youth Entrepreneurship Programs for the Students of Secondary Schools.
• CFA, Charterholder of CFA Institute
• FRM, Certified Member of the Global Association of Risk Professionals
• MHKSI, Ordinary Member of Hong Kong Securities and Investment Institute