Professor Ser-Huang Poon

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Profile photo of: Professor Ser-Huang Poon Email: Show Email Address
Position: Professor of Finance
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Academic unit: Accounting and Finance


Dr Ser-Huang Poon graduated from the National University of Singapore with a degree in Accountancy, and obtained her Masters degree in Accounting and Finance and PhD degree in Finance from Lancaster University. She is currently a Professor of Finance at Manchester Business School.
Dr Poon has been contributed to doctoral training programming in the UK and Europe over a long period. In 2002, she setup the first ESRC funded UK wide Advanced Doctoral Training Programme in Finance and set up MSc Quantitative Finance and Financial Engineering and MSc Mathematical Finance at Manchester Business School in collaboration with the School of Mathematics in 2004. She managed the European framework 6 doctoral training program at Manchester. In 2008, she successfully led a European consortium of university and industry partners on a 3.7 million euro bid for research training in the theme of Risk Management and Risk Reporting, with £929,023 Manchester based funding. In 2012, she is part of another consortium that looks into the use of high performance computing in Finance with £220,400 direct funding with a specific focus on computer platform comparison and evaluation for the purpose of real-time risk management.
Dr Poon is internationally renowned for her volatility research which was cited as reference readings on Nobel website. More recently, her interests have extended to derivatives and credit risk, liquidity and quantitative aspects of risk management. She has written three books and published widely in peer reviewed journals including the Review of Financial Studies, Journal of Econometrics, Journal of Economic Literature, Journal of Banking and Finance, Journal of Business Finance and Accounting, Journal of Derivatives, Journal of Futures Markets and Journal of European Financial Management. She is the joint recipient of two best paper awards.

Research Interests

Theoretical, empirical and HPC aspects of:
  • Volatility time series modelling and forecasting
  • Volatility surface dynamics for financial derivatives (i.e. equity, FX and interest rates, in contrast to commodity and energy derivatives)
  • Asset pricing; jump & volatility risk premium, credit and default risk premium, premium for (idiosyncratic real, risk neutral) high moments
  • HPC (GPU & multi-core) and financial modelling for Counterparty Credit Risk, Solvency II, and Basel
Note: I am not taking new PhD students just now till further notice.

Additional Information

Recent grant income:
  • 2012: £220,400 from Marie Curie on high performance computing in Finance with a specific focus on computer platform comparison and evaluation for the purpose of real-time risk management.
  • 2011: £16,000 (with Golub and Keane) from UK HMT Foresight Programme 'The Future of Computer Trading in Financial Markets', commissioned report on 'The Impact of Internalisation on the Quality of Displayed Liquidity'.
  • 2009: €3.7 million Marie Curie (£929,023 direct funding in Manchester) Research Training Grant in the theme of “Risk Management and Risk Reporting”. Lead coordinator in a consortium of universities and industry partners.
Recent research students:
  • Mark Ke Chan (job market candidate), Volatility models and derivatives, Year 3, MBS GTA Scholar.
  • Yong Woong Lee (job market candidate), Portfolio Credit Risk Model and Value-at-Risk, Year 3, MBS GTA and Bursary Holder.
  • Stephan Schwill, Extreme Crash Point in FX markets, Year 2, DBA.
  • Dai Shiji, Downside Risk Aversion, Currently year 2 (co-supervise with Dick Stapleton)
  • Stan Przemyslaw Stilger, Year 1, 2011. ESRC Research Council and MBS GTA Scholar.
  • Ming Tsung Lin, Systematically Important Hedge Fund, Year 1, 2011 (Joint supervision with Olga Kolokolova)
  • Heikki Seppala, Counterparty Credit Risk, Marie Curie Senior Fellow (from January 2012)
  • George Dimitrakopoulos, High performance computing in Finance, Marie Curie Fellow (from September 2012)
  • Zaid Ait Haddou, Dataflow Computing and CUDA-GPU in high performance computing in Finance, Marie Curie Fellow (from September 2012)
  • Jenny Bai Hua, Portfolio Concentration Risk and Marginal Economic Capital, Marie Curie Fellow (from September 2012)

Programme involvement

Specialist fields




Publication summary




Showing 48 publication(s)



  • Stilger, P., Kostakis, A., & Poon, S-H. (2015). What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?Management Science. . Publication link: 1240119e-4b3c-4709-98a5-43326d5fe377
  • Lidan, G., & Poon, S. H. (2015). Estimating dynamic copula dependence using intraday data. Studies in Nonlinear Dynamics & Econometrics, 19(4), 501-529. . Publication link: 3d4c01f1-c32c-484b-b452-1b9a7a27a9b6
  • Christodoulakis, G., Batiz-Zuk, E., & Poon, S-H. (2015). The Robustness of Estimators in Structural Credit Loss Distributions. The Journal of Credit Risk. . Publication link: 3261936c-2200-4b91-810c-71fd455aedfd


  • Bai, J. H., Seppala, H., & Poon, S. H. (2014). Fast Approximation of Loan Portfolio Loss. Global Credit Review, 4, 67-85. . Publication link: d50ac16a-5a93-4bad-9b4d-f7779c07d090
  • Batiz-Zuk, E., Christodoulakis, G., & Poon, S-H. (2014). The Robustness of Estimators in Structural Credit Loss Distributions. The Journal of Credit Risk. . Publication link: f412fbfa-a7ad-462b-bd6a-e4c92e03f7be
  • Lee, Y., & Poon, S-H. (2014). Credit contagion channel and its consequences via the standard portfolio credit risk model. The Journal of Credit Risk, 10(1), 33-62. . Publication link: 9b21dc7d-f56b-4f04-a4b9-f32dc714b5d7


  • Chen, K., & Poon, S. H. (2013). Derivatives pricing with affine models and numerical implementation. In Handbook of Research Methods and Applications in Empirical Finance|Handb. of Res. Methods and Appl. in Empirical Finance. (pp. 148-168). Edward Elgar Publishing. DOI: 10.4337/9780857936097.00013. Publication link: 195f580a-2feb-45ac-8101-3db93379bd7b
  • Poon, S-H., & Ke, C. (2013). Consistent Pricing and hedging with Two Volatility Surfaces. (Social Science Research Network; No. 2205582).. Publication link: 771bf458-bbf8-4c9c-b19e-d30a329418a1
  • Poon, S-H., Heikki, S., & Schröder, T. (2013). Closed Form Approximations of European Options on Cross Currency Swaps. (Social Science Research Network).. Publication link: 7b41b78d-0413-4ed1-b7b4-4446a4419fcd
  • Poon, S-H., & Lee, Y. (2013). MCMC nesting Particle Filtering. In Handbook of Research Methods and Applications in Empirical Finance.. Publication link: f42b2790-b602-402f-a0d9-f2c5ebe3b94a
  • Poon, S-H., & Stilger, P. S. (2013). Multi-level Simulations and Importance Sampling. (Social Science Research Network; No. 2273215).. Publication link: b9acc076-dc00-49cb-a14f-dc7366930500


  • Golub, A., Keane, J., & Poon, S-H. (2012). The Impact of Internalisation on the Quality of Displayed Liquidity. Special commission report by the UK HMT Foresight Programme. . Publication link: 72fe3625-17ac-4ac8-a424-54360a8f93bf
  • Poon, S-H., Golub, A., & Keane, J. (2012). High Frequency Trading and Mini Flash Crashes. (Social Science Research Network; No. 2182097).. Publication link: b783b0cd-ba1d-4b5d-80e0-4488d5f55388
  • Poon, S-H., Stilger, P. S., & Acomb, S. (2012). Pricing and Risk Management with Stochastic Volatility Using Importance Sampling. (Social Science Research Network; No. 2168415).. Publication link: de55452d-cf14-4c0a-b69c-7c5c07fe2c6d
  • Chen, Y. W., Poon, S. H., Yang, J. B., Xu, D. L., Zhang, D., & Acomb, S. (2012). Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints. European Journal of Operational Research, 223(3), 775-784. DOI: 10.1016/j.ejor.2012.07.008. Publication link: f002ac11-b181-432e-82be-bf28deffe682





  • Poon, S-H., Guan, E., Gan, B., & Khan, A. (2008). Choice of Interest Rate Term Structure Models for Assets and Liability Management. (Manchester Business School Working Paper Series,). UK and USA.. Publication link: ec9c8a98-4f3b-4881-8a2f-6699b591b860
  • Poon, S-H., & Cairns, A. (Ed.) (2008). Pricing Flood Insurance Using Option Pricing Theory. In A. Cairns (Ed.), host publication.. Publication link: d734b6be-4e39-4eab-b110-484d2b6fa477
  • Poon, S-H., Ruban, O., & Vitiello, L. (2008). GDP-Linked Bonds: Contract Design and Pricing. (Manchester Business School Working Paper Series). United Kongdom.. Publication link: dd2a28be-1f50-42c0-8306-e43b810e6df6
  • Poon, S-H., Khan, A., & Guan, E. (2008). Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM. (Manchester Business School Working Paper Series,). UK and USA.. Publication link: 82f6bfcd-2a2f-4b32-a876-99bf3b7af710
  • Poon, S-H., Gan, B., & Guan, E. (2008). Swap Market Model: Theory and Empirical Evidence. (Manchester Business School Working Paper Series, SSRN: UK and USA.. Publication link: 3f4ea32e-9e9b-438a-af75-e2a4e9acc37d


  • Poon, S-H., Hyung, N., Granger, C. W. J., Rapach, D. E. (Ed.), & Wohar, M. E. (Ed.) (2007). The Source of Long Memory in Financial Market Volatility. In Forecasting in the Presence of Structural Breaks and Model Uncertainty. USA: Elsevier Series. . Publication link: 31660461-a5d7-4d10-b0c6-6aebf9fdb44a