2020 - Covid-19 Tracker
2019 - Expected Credit Losses IFRS 9 Approach with R
2019 - Introductory Econometrics with R
2017 - The Hunger Eagles Lecture Note: Quantitative Analysis in Risk Management
2017 - The Hunger Eagles Lecture Note: Foundations of Risk Management
[Link](http://hieunguyenphi.com/Archive/Foundations of Risk Management.ibooks)
The Long-term Memory of Risk in Vietnamese Stock Market
- Conduct study on the long memory property in the measures and forecasts of the volatility of Vietnamese stock market by applying FIGARCH models.
- Evaluate modeling performance by using News impact curve test and structural breaks test with the iterated cumulative sums of squares (ICSS) algorithm.
- Evaluate forecast performance by comparing FIGARCH to longer-memory EWMA and shorter-memory GARCH models.
VIB - MyVIB 2.0 Membership Program with Machine Learning
- Design a membership program with Reward based on periodic Marketing campaigns and customer behavior
- Rank the customer value based on their engagement to mobile banking.
- Monitor Report Automation at Transaction base and Customer base
Facilitate the RFM approach with the adjustment of input calculation with Artificial Neural Network, followed by various clustering algorithms for customer segmentation and customer profile design.
This project changes completely the current mobile banking ecosystem of VIB with more focus on customer experience, assisting key management levels (Cs and the Board) be capable of making important strategic. decisions.
DePaul University - Ecosystem simulation
- Simulating lives in a hypothesized separate island with creatures: berries, rats and cats with rules of survival and giving birth followed the Probability distributions.
- Reporting the interaction of lives in the island.
- Tool: Python
VIB Hackathon - Datarathon: Machine Learning Application (Link)
- It is the first competition hosted by VIB, aiming to become the annual conventional competition. - Looking for the best talented employees, assisting in building the Data Science core team for VIB.
- Diffusing the Data Science awareness in banking environment.
- My key role is Main Judge in all of 3 Rounds in the Datarathon with the total prizes of over VND 200 million (≈USD 8,700).
VIB - Credit scoring automation in the mobile application
- Automating the credit risk scoring when a customer applies a loan/lending product with the mobile banking application.
- Designing the schema to fulfill the Basel II requirements in terms of risk capital calculation.
- Automating in recommend potential customer for lending and deposit products, optimizing the risk capital allocation for Digital Banking sector in VIB.
- By using logistic regression based on Weight of Evidence inputs with the Score Scaling techniques and Point-in-Time-to-Through-the-Cycle default rate transformation, combined with the Calibration with the Moody’s practices (Global Big 3 in Credit Agencies).
DePaul University - Credit Risk Predicting Algorithms: Comparison
- Proposing Decision Trees and Logistic Regression in the light of imbalanced data problem which are solved by Synthetic Minority Oversampling Technique (SMOTE) algorithm.
- Tool: R
DePaul University - Hotel average daily rate modeling in Portugal
- Investigating the Average Daily Rate in two distinct hotels in a separate resort and in a city with taking into account the season effects (i.e. spring, summer, fall and winter) by using multiple regression.
- Tool: R
VIB - Behavior scoring schema in the mobile application
- Predicting the churn rate of individual customers as using mobile banking application.
- Segmenting the customer profiles to develop the campaign to make the churn return using mobile banking services.
- Reinvestigating the Churn definitions.
- Using classification algorithms in the light of interaction between customer activities in the mobile application and their financial habits and their linked banking products.
VIB Customer commitment modeling
- Developing a formal calculation for customer commitment in mobile banking environment.
- The measurement must fulfill three requirements: (i) monitor ability (ii) predictability (iii) warning ability
- The measurement takes into account the time factor and probability factor based on Survival analysis.
VIB - Customer segmentation based on their behaviors
Proposed a complete segmentation profile by using Principle Component Analysis, Multiple Correspon- dence Analysis with Hierarchical Clustering based on Components.
VIB - MyVIB Rewards: Marketing strategy performance analysis (Link)
Using Event studies to investigate the Marketing campaign effect in various nuances: financial performance with stock analysis, Daily-Active-User - to - Monthly-Active-User Ratio (Retention rate).
VIB Churn rate prediction in mobile banking application
Based on the current definition that was used by the C-levels, predicting the churn rate based on linear regression and decision trees.
VIB - Marketing: the active customer analysis
Delving into the active user profiles to suggest some Marketing strategies. Gamification the approved Marketing strategies.
Calorie Counter and Nutrition recommendation system for fitness
- Create the database of food materials for typical Vietnamese cuisines in regular meals. Based on such database, estimating the calories for a Vietnamese dish.
- Based on BMI index and the corresponding goals in fitness (i.e. muscle-improving, weight-keeping, weight- losing), recommending the mixture of dishes per day and scheduling on weekly basis in the light of calorie optimization.
Bond investment analysis
- Concentrating the bond duration and immunization strategies in the bond portfolio context.
- Generating a simple term structure modeling based on: Yield-to-Maturity, Pure discount yield and employment of Nelson-Siegel model (1987).
- Gather stock information by using web scrawling: overall information, organizational structure, ownership information, etc.
- Return analysis on daily basis
- Risk analysis on daily basis with volatility analysis (GARCH, GJR-GARCH, Asymmetric GARCH), cor- relation analysis (GARCH-DCC, GJR-DCC-NL), long run Value at Risk based on Extreme Value Theory.
PwC - Default Correlation Model: Asset value approach
- Investigating joint default probability
- Using two estimation methods: method of moments approach and maximum likelihood approach.
- Testing the reliability of estimators with Monte Carlo Study.
Risk management Gaussian Copulas in a Cambodian bank
- Implementing default-mode model for credit portfolio with the asset value approach.
- Testing the reliability of the model via Monte Carlo Simulation.
NCOV (Covid -19) Tracker dashboard
- Gathering data from WHO, CDC and Tencent.
- Tracking day-by-day mapping confirmed cases in the world.
- A formal model to predict 5-day-ahead confirmed prevalence.
- Au courant reproduction indicator estimates with distinctive approaches.
- The simplest epidemiological model SIR.
VCCB - Expected credit capital under IFRS 9 and Basel requirements
- One-year probability of default model: Logistic regression
- Lifetime probability of default model: stress test - based
- Loss given default model: micro-structure based
- Exposure at default: with prepayment risk and competing risk
- Expected credit loss model: based on scenario analysis
VCCB - Introduction to Econometrics in R
- Part in the training program in Viet Capital Bank for risk analysts and risk intelligence division for credit risk and market risk monitoring teams.
- Cooperating with Data Camp for interaction with website and reproducible learning.
- Content: Linear Regression, Assumptions, Hypothesis testing and Statistical inference, Non-linear Regression, Panel data Regression, Regression on Binary Dependent Variable.
VCCB - Credit risk scoring based on Basel II: LC segment
- KPMG cooperation.
- Building the credit risk scoring system for Large Corporates focusing on Basel II approach.
VCCB - Credit risk scoring based on Basel II: SME segment
- KPMG cooperation.
- Building the credit risk scoring system for Small-Medium Enterprises focusing on Basel II approach.
VCCB - Credit risk scoring based on Basel II: Financial segment
- KPMG cooperation.
- Building the credit risk scoring system for Financial Intermediaries focusing on Basel II approach.
VCCB - Credit risk scoring based on Basel II: Consumer segment
- KPMG cooperation.
- Building the credit risk scoring system for Consumers focusing on Basel II approach.
VCCB - Revolvable Asset Portfolio Risk Performance Monitor Tools
- Vintage analysis the revolvable credit asset portfolio.
- Early warning system for revolvable portfolio.
- Risk performance monitoring tools.
VCCB - Supervisory Report on Branches Automation
Facilitating the MIS system (below), developing and implementing the supervisory reports on real time basis in an automatic way with Basel II Pillar II concentration.
VCCB - Management Information System (MIS) for Risk Division
- Pulling in data from Core banking system to Oracle data management.
- Standardizing the input data for future extracting and monitoring.
- Facilitating Oracle Business Intelligence to automate the management reports for risk divisions in general.
- Several reports are run in real time concerning credit risk, market risk, aggregating risk and future Basel II adoption.
VCCB - State Bank of Vietnam Report Automation
Automating the reports for Vietnamese Central Bank in terms of credit risk management.
VCCB - FOREX transaction Reconciliation
- Reconcile a statement line imported into VCCB base currency bank account with a foreign currency invoice or bill entered in Automation system. If an invoice or bill is paid in a currency different to the transaction entered in Automation system and VCCB base currency, reconcile it using a clearing account.
- C++ development and integration with banking management system of VCCB.
SSI - Financial banks credit ranking
- Automating the data aggregation from StockPlus API.
- Based on financial indicators, conducting analyses in terms of liquidity, credit worthiness, etc.
- VBA development and integration with banking management system of SSI.
Teaching & Training
VBA for beginners
The class is hosted in
Viet Capital Bank. In this class, I have talked about how useful as a staff applies VBA for his/her daily works. The main theme of this class is introducing VBA as a tool to speed up and improve the productivity in their work.
Slide link is available (Vietnamese only). In the near future, I will supply English version.
Financial Statement Analysis - Risk Management Perspective
The class is organized at Foreign Trade University. In the class, I shared about some practical facets of banking sector, as well as risk management in banks as an overview. Then I introduced Linear Discrimination Analysis and Merton models as tools to classifying and predicting potential borrowers based on their risk profiles and Black-Scholes-Merton option pricing equations.
Also, I have enclosed a real dataset in the slide, thanks to
R, to guide my students how those risk management techniques perform in real life.
In the end of class, I had an interesting question for them: how they bond from financial statement analysis to investment from risk management viewpoint, beside the approach of accounting practice over-deep-learning.
Slide link is available. English version will be provided in the future.
Introduction to Econometrics with
This course is replicated my real-life classes in undergraduate schools. This course is available at my subdomain. The course is divided into three main parts: preconditions of econometrics fundamentals, regression in econometrics, and application in several aspects of economics and finance, including nonlinear regression, regression on discrete dependent variable, time series regression. All additional topics is limited at introductory level, which is suitable for those studying in around second or third year. The excellent of the online version is the ability of programming
R directly on the website without any disruptions when you change tabs between website and
R basics or
Rstudio, which possibly intervene in the students' thoughts. For further details and experience, feel free to access my subdomain.
Financial Data Analysis
- Instructing how to employ R in financial data analyses.
- Topics include: Price, Return, Risk, Factor model, Financial Performance, Optimization, Fixed Income, Options.
Scientific approach in management in banking environment
- Play the role as an expert.
- An internal conference talk about the management style in VIB with a scientific approach in cost-benefit tradeoff balancing.
- Involving C-levels and Board of Director of VIB.
Foreign Trade University - Financial Leverage
- Play the role as an expert.
- Advising junior students for financial study route.
- Introducing the financial risk management career and data science career.
Basel II in Practice
- Play the role as host in a coffee talk about the practice as adopting Basel II in Vietnam.
- Involving several managers in Viet Capital Bank, Eximbank, Asia Commercial Bank, and some lecturers from Law University of Ho Chi Minh City, Banking University of Ho Chi Minh City and University in Economics of Ho Chi Minh City.
Probabilistic approach in management in banking environment
- Play the role as an expert.
- A coffee talk about the management in banking sector with probabilistic approach in a scientific way.
- Involving several managers in several divisions of Viet Capital Bank.