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HONG KONG BAPTIST UNIVERSITY
FACULTY OF SCIENCE

Department of Computer Science Seminar
2010 Series

Credit Risk Strategy Models and Mechanisms (in Putonghua)

Prof. Sulin Pang
Professor and Director
Institution of Financial Engineering
Jinan University Management School
Jinan University

Date: August 12, 2010 (Thursday)
Time: 4:30 - 5:30 pm
Venue: SCT716, Cha Chi Ming Science Tower, Ho Sin Hang Campus

Abstract
Since 80s of last century, credit decision mechanism had attracted a lots researchers’ attention, which included Nobel prize winner Stiglitz(1981), Bester(1985), Besanko(1987) and Jin Wu(1996-1997). The feature of credit decision mechanism modeling is that considers the condition of incomplete information, establishing credit decision model from the viewpoint of maximizing the expected profit of company, then establishing credit decision mechanism for the model.

Prof. Sulin Pang (1999) take the condition of incomplete information into account, and found that even though company maximize expected profit by pursuing opportunity benefit, because of the existence of moral risk, the credit risk is not necessary minimum.

For improving the known results, Prof. Sulin Pang (1999) proposed credit risk decision mechanism under the condition of incomplete information. She introduced the theory of incentive mechanism design into credit risk decision model, and established a appropriate credit decision mechanism for the model, furthermore, she explored the credit rationing and non-rationing mechanism design. Under the considering of default risk, Prof. Sulin Pang (2007) established two credit decision models with default risk parameter from the viewpoints of maximizing the expected profit of banks and minimizing the credit risk respectively, and established credit decision mechanisms for them. The results of applying the credit decision models and credit decision mechanism on real data are acceptable.

Resent years, Prof. Pang focused on the research of credit activities between bank and company, and credit market. She studied deeply on theory and methods of credit risk decision mechanism, specially focused on adverse selection, moral hazard, credit rationing and opportunity benefit in credit market. The research finding have been applied into real business, and been found it worked efficiently.

Biography
Suling Pang, PhD, professor (exceptional promotion) of Jinan University Management School. Dr. Pang currently is the director of Institution of Financial Engineering at Jinan University Management School. She also has a joint appointment at the Department of Mathematics of Jinan University.

Dr. Pang is a Senior Member of IEEE (2005). She is the executive council member of System Engineering Association of Guangdong Province and the president of Resource and Environment Statistics Chapter of Chinese Association for Applied Statistics (CAAS). She was elected and supported by Program for New Century Excellent Talents in University (2008) from Minister of Education of P.R.C. She also serviced as procedure chair or organization chair of several international conferences and peer review expert for National Natural Science Foundation of China (NNFC).

Dr. Pang’s research mainly focuses on financial engineering and risk management. She especially interests in the area of credit risk decision modeling and analysis, credit evaluation modeling, financial crisis warning system, financial time series forecasting modeling, mobile network fault identification analysis, Crisis Management and Emergency Response and MIS system development and application. Dr. Pang has authored over 70 publications, including her two treatises on credit rating of financial market. She has developed 5 software applications, and owns 4 software patents. Her research on Credit Evaluation and Warning System based on Neural Networks was awarded a 2nd Prize of Advanced Science & Technology Award of Guangdong Province (2008). She hosts several grants or projects from NNFC, government and companies.

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(For enquiry, please contact Computer Science Department at 3411 2385)

http://www.comp.hkbu.edu.hk/v1/?page=seminars&id=145
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Department of Computer Science, Hong Kong Baptist University
Hong Kong Baptist University