香港恒生大學
商學院 - 香港恒生大學

Dr Yam Wing SIU

Associate Director, The Start-up and SME Resource Center
BBA-FB Associate Programme Director
Assistant Professor
Department of Economics and Finance

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活躍的學者
  • 66引用
  • 3H指數

學術及專業資歷

PhD (University of London)
MSc (Distinction) (University of London)
BEng (Hons) (PolyU)

簡歷

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.

研究與教學範疇

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

學術貢獻（出版、學術會議、著作、著作章節等）

Journal Papers:

  • Siu, Y.W. (2022). Convolution Approach for Value at Risk Estimation, Review of Pacific Basin Financial Markets and Policies, V.25, No.1, 2250005. (ABDC: B)
  • 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.4, 1950025. (ABDC: B)
  • 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, V.22, No.2, 1850010. (ABDC: B)

Book Chapters:

  • Siu, Y.W. (2025). Convolution Approach for Value at Risk Estimation, Chapter 136, Handbook of Financial Econometrics, Statistics, Technology, and Risk Management, edited by CF Lee, Alice Lee and JC Lee, World Scentific Publishing Co. Pte Ltd. https://www.worldscientific.com/doi/epdf/10.1142/9789819809950_0136

Conference Proceedings:

  • Tung, B., Man, T., Chan, V., and Siu, Y.W. (2024). Examining the effectiveness of cross-generation financial education programme as an innovative approach to learning financial matters and developing soft skills of university students, Proceedings of the 8th International Conference on Education and E-Learning (ICEEL 2024), Tokyo, Japan. 
  • SIU, Y. W. (2024). Evolution of Probability Distributions: A New Convolution Algorithm, Proceedings of the 7th International Conference on Business, Management and Finance, June 

商業與專業參與

  • 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