Prof. Jerome YEN

Distinguished Professor of Business Information Systems
Interim Director of ​Institute of Collaborative Innovation
Head of Centre for Innovation

Faculty of Business Administration
University of Macau, E22
Avenida da Universidade, Taipa, Macau, China

Contact Information

Room: E22-3042
Telephone: (853) 8822-4858
E-mail: jeromeyen
  • PhD in Systems Engineering and Management Information Systems, University of Arizona, USA, 1992
  • Director, Internet Finance, ASTRI, Hong Kong SAR (January 2015 – December 2016)
  • Professor, School of Business, Tungwah College (January 2010 – August 2015)
  • Visiting Professor and Coordinator of BSc in Quantitative Finance Program, Department of Finance, Hong Kong University of Science and Technology (January 2007 – January 2010)
  • Senior Vice President (SVP) and Deputy Chief Risk Officer, Cathay Financial Holdings (December 2005 – March 2007)
  • Associate Professor and Professor, Department of Systems Engineering and Engineering Management Department, Chinese University of Hong Kong (December 1998 – December 2005)
  • Internet finance, especially the financial supermarket as well as its business model, technologies, and services
  • Risk measurement and management: credit, market, operational, and tail (extreme event) risk
  • Trading strategies, trade planning and execution of Algo Trading and High Frequency trading
  • Investment and portfolio management: equities, commodities, FX, fixed income, derivatives, and structured products
  • Pricing and risk assessment of structured products that built with derivatives and exotic options
  • Advisor of the Winning Team of the First Runner Up at the Chinese University of Hong Kong Business Model Writing Competition, January 2003
  • Advisor of the Final Round World Moot Corp Business Model Writing Competition Team at U. of Texas, Austin, May 2003 (Only one team from Hong Kong to participate in such competition)
  • Best Paper Award Nomination, Collaboration Systems and Technology Track, HICSS-31, 1998
  • Best Paper Award Nomination, Internet and Digital Economy Track, HICSS-31, 1998
  • Advisor of the First Prize Winner at the First SUN Cup Java Programming Contest, Beijing, China, April 1998 (more than 200 participants from the whole China)
  • Best Paper Award, Collaboration Systems and Technology Track, HICSS-28, 1995
  • “Delivery and Management of Healthcare Services and Social Services in the Twenty-First
  • “Development and Pricing of Structured Products and Reduced-form LGD and EAD Models based
  • “Development of Volatility Term Structured (VTS) based Trading Strategies for Index, FX, and
  • “Rule-Based Fuzzy Markov Chain Approaches to Behavioral Credit Scoring Models”, Academic
  • “Identification of the Use of Smile in Pricing Structured Products of Investment Banks”, Hang Seng
  • “Development of Asset Liability Management Framework for Post-Subprime Age”, Societe
  • “Invesco Greatwall Research Center for Research Assessment and Business Intelligence”, InvescoGreatwall, China, HK$ 1 M, Co-PI, July 2006- June 2009
  • “Establishment of the Center for Research Assessment and Business Intelligence”, Research
  1. “A Novel Term Structure-Based Stochastic Model with Adaptive Correlation” S. F. Zhou, K. K. Lai, and J. Yen, submitted to Expert Systems with Applications.
  2. “Modeling and Forecasting VHSI index using GARCH and HAR Approach” Y. H. Chen, K. K. Lai, and J. Yen, submitted to Asia-Pacific Financial Markets
  3. “Intraday Price Trend Forecasting – a Pattern Matching Approach”, X. T. Liu, K. K. Lai, and J. Yen, submitted to Mathematical Finance
  4. “Bi-cubic B-spline Fitting-based Local Volatility Model with Mean Reversion Process”. S. F. Zhou, K. K. Lai, and J. Yen, to appear in the Journal of System Science and Complexity
  5. “A Model of Stock Manipulation Ramping Tricks”, K Liu, KK Lai, J Yen, Q Zhu, Computational Economics, Vol. 45, pp. 135-150 (2015)
  6. “Bankruptcy Prediction Using SVM Models with a New Approach to Combine Features Selection and Parameters Optimization”, L. G. Zhou, K. K. Lai, and J. Yen, International Journal of Systems Science, Vol. 45, No. 3, pp. 241-253. (2014)
  7. “Model of Bias-Driven Trend Followers and Interaction with Manipulators”, K Liu, KK Lai, J Yen, Q Zhu, International Journal of Information Technology and Decision Making, Vol. 13, No. 1, pp.1- 18, (2014)
  8. “A Dynamic Meta-Learning Rate-Based Model for Gold Market Forecasting”, S. F. Zhou, K. K. Lai, and J. Yen, Expert Systems with Applications, Vol. 39, No. 6, pp. 6168-6173 (2013)
  9. “Empirical Models Based on Features Ranking Techniques for Corporate Financial Distress Prediction”, L. G. Zhou, K. K. Lai, and J. Yen, Computers and Mathematics with Applications, Vol. 64, No. 8, pp. 2484–2496 (2012)
  10. “Ensemble Forecasting of Value at Risk via Multi Resolution Analysis based Methodology in Metals Markets” K. J. He, K. K. Lai, and J. Yen, Expert Systems with Applications, Vol. 39, No. 4, pp. 4258-4267 (2012)
  11. “Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach”, K. J. He, K. K. Lai, and J. Yen, Energy Economics, Vol. 33, No. 5, pp. 903-911 (2011)
  12. “Corporate financial distress diagnosis model and application in credit rating for listing firms in China”. L. Zhang, E. Altman, and J. Yen. Frontiers of Computer Science in China, Vol. 4, No. 2, pp. 220-236 (2010)
  13. “A Hybrid Slantlet Denoising Least Squares Support Vector Regression Model for Exchange Rate Prediction”, K. He, K. K. Lai, and J. Yen. Procedia Computer Science. Vol. 1, pp. 2391-2399 (2010)
  14. “Credit Scorecard Based on Logistic Regression with Random Coefficients”, G. Dong, K. K. Lai, and J. Yen. Procedia Computer Science. Vol. 1, pp. 2397-2405 (2010)
  15. “A hybrid slantlet denoising least squares support vector regression model for exchange rate prediction” K. He, K. K. Lai, and J. Yen. Procedia Computer Science. Vol. 1, pp. 2463-2468 (2010)
  16. “Credit Scoring Models with AUC Maximization Based on Weighted SVM”, L Zhou, K K Lai & J Yen, International Journal of Information Technology and Decision Making, Vol. 8, No. 4, pp. 677- 696 (2009)
  17. “False Financial Statements: Characteristics of China’s Listed Companies and CART Detecting Approach.” B. Bai, J. Yen, and X. G. Yang. International Journal of Information Technology and Decision Making, Vol. 7., No. 2, pp. 339-359 (2008)
  18. “Modeling VaR in Crude Oil Market: A Multi Scale Nonlinear Ensemble Approach Incorporating Wavelet Analysis and ANN”, K K Lai, K He and J Yen, Lecture Notes in Computer Science, LNCS 4487, Springer-Verleg, pp554-561 (2007)
  19. “An Analysis of the China Aviation Oil (Singapore) Incident Based on Risk Management”, Z. F. Li, J. Yen, J. Yao, T. Fan, and L. Chang. Journal of Systems Engineering, Theory, and Applications, Vol. 27, No.1, pp.23-32 (2007)
  1. “Emerging Financial Derivatives: Understanding Exotic Options and Structured Products”, Jerome Yen and Kin Keong Lai, Taylor and Francis, 2015
  2. China Financial Markets: Issues and Opportunities, Wang Ming, Jerome Yen, and Kin Keong Lai, Taylor and Francis, 2014
  3. “Volatility Surface and Term Structure-based Modeling and Analysis: High-profit Options Trading Strategies”, Shifei Zhou, Kin Keong Lai, and Jerome Yen, Taylor and Francis, 2013
  1. “Credit Scorecard Based on Logistic Regression with Random Coefficients”, G Dong, K K Lai & J Yen, Proceedings of the International Conference on Computational Science (ICCS), Netherlands, 2010
  2. “A Hybrid Slantlet Denoising Least Squares Support vector Regression Model for Exchange Rate Prediction”, K He, K K Lai & J Yen, Proceedings of the International Conference on Computational Science (ICCS), Netherlands, 2010
  3. “Theoretical Model of stock Trading Behaviour with Biases”, K Liu, K K Lai & J Yen, Proceedings of the 2010 International Conference on Financial Engineering (ICFE), World Congress on Engineering, London, June 2010
  4. “Morphological Component Analysis based Hybrid Approach for Prediction of Crude Oil Price”, K. He, K. K. Lai, J. Yen, The Third International Joint Conference on Computational Sciences and Optimization (CSO 2010), Huangshan (Yellow) mountain, China, May 28 – 31, 2010, p 423-430
  5. “Modeling of Boom and Burst of Shadow – A Game Theory Approach”, H D Liang, K K Lai, J Yen and M Wang, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p256-260
  6. “Analysis of Shadows behind Financial Bubbles”, H. D. Liang, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p274-278
  7. “Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis”, K. J. He, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Computational Finance, Hong Kong, IEEE Computer Society, Aug 2010, p381-385
  8. “Corporate Bankruptcy Prediction using Support Vector Machines Approach”, L Zhou, K K Lai & J. Yen, Proceedings of the Conference on Technologies and Applications of Artificial Intelligence, Taiwan, Nov 2010
  9. “An ICA-MDN Based Multi-stage Model for portfolio Value-at-Risk Analysis”, X L Chen, K K Lai & J Yen, Proceedings of the Third International Conference on Business Intelligence and Financial Engineering (BIFE 2010), Hong Kong, August, 2010
  10. “Crude Oil Price Prediction using Slant Denosing Based Hybrid Models”, K He, K K Lai & J Yen, Proceedings of the International Conference on Computational Sciences and Optimization, Sanya, China, April 2009: 12-16
  11. “A Statistical Neural Network Approach for Value-at-Risk Analysis”, X Chen, K K Lai & J Yen, Proceedings of the International Conference on Computational Sciences and Optimization, Sanya, China, April 2009: 17-21
  12. “A New Approach with Convex Hull to Measure Classification Complexity of Credit Scoring Database”, L. Zhou, K. K. Lai, and J. Yen, BIFE 2009: 441-444
  13. “Quantitative and Qualitative Analysis of the China Aviation Oil (Singapore) Incident -Was Volatility Severe Enough to Destroy the Company?”, J Yen, Z F Li T Fan & K K Lai, Proceedings of the First Asia Conference on Financial Engineering, Hong Kong, June 2008, pp384-397
  14. “Multi-Scale Estimation of Value at Risk Based on Wavelet Analysis”, K K Lai, K. J. He & J Yen,Proceedings of the International Conference on Industrial Engineering and Systems Management, Beijing, China, May 2007
  1. Economic Journal (信報) Column Writer: Over 100 articles and one 6 interview articles, where five articles also appeared in the book entitled: 金融海嘯 edited by Prof. Leonard Cheng and published by HKUST Press
  2. Hong Kong Economic Journal (信報月刊) Two (2) articles and two (2) interview articles
  3. Several speeches made in Hong Kong and China transcribed and appeared in leading newspapers in Hong Kong and China
  4. 鐵礦石價格高漲的原因與對策,汪壽陽,顏至宏,信報財經新聞
  5. CEPA貨物貿易零關稅的經濟影響,汪壽陽,顏至宏,信報財經新聞
  6. 建內地權威資訊發布機制,汪壽陽,顏至宏,信報財經新聞
  • Founding Member, Hong Kong Professionals and Senior Executive Association (HKPASEA)
  • Member, the Hong Kong Institute of Directors
  • Member, Hong Kong Society of Economists
  • President, Asia Pacific Association of Financial Engineering
  • Co-Chair, First Asia Pacific Conference on Financial Engineering, Hong Kong, 2008
  • President, Asia Pacific Association of Financial Engineering (APAFE)
  • Subject Matter Expert, PRMIA’s Advisory Groups: Energy Risk (Commodities) Complexity, New Products, Emerging Risks