CHICAGO - University of Chicago Department of Economics

TANAPOOM DAMRAKS
5500 S Shore Dr Apt 1508, Chicago, IL 60637 Tel. (773) 733-1395
tanapoom@uchicago.edu
EDUCATION
Ph.D. in Economics UNIVERSITY OF CHICAGO (expected) June 2009
M.A. in Economics UNIVERSITY OF CHICAGO 2006
M.S. in Computer Networks UNIVERSITY OF TOKYO, Japan 2004
B.S. in Electrical Engineering, Summa Cum Laude CHULALONGKORN UNIVERSITY, Thailand 2001
CFA Level III candidate
FIELDS
Primary: Finance/Asset Pricing, Industrial Organization, Macroeconomics
Secondary: Computational Economics, Contract Theory
PAPERS
“Corporate Investment Structures in Dynamic Mechanism Design” (dissertation)
This paper analyzes how an optimal business organizational structure can be formed. Using mechanism design and
contract theory framework, I compare two types of organizations, hierarchical structure and distributional structure.
Hierarchical structure benefits by mutual monitoring among agents, while distributional structure can avoid collusive
strategies among agents. Optimal structure and contract are found by solving this model numerically with Matlab.
“Bank Lending and Relative Performance” joint with Jose M. Liberti and Robert M. Townsend
We study supply side of money lending business of a large international bank in Argentina. By disentangling the
macroeconomic/industry-wide aggregate shock, we prove whether the bank makes decision about lending based on
individual basis or by comparing performance of two firms. Both theoretical and empirical models are implemented.
“Liquidity Premium in Fixed Income Securities”
I constructed a measure of market-wide liquidity and utilized factor model to predict return of fixed income
securities based on sensitivity of return to market-wide liquidity. Result suggests that liquidity is an important factor in
pricing of fixed income securities.
WORK EXPERIENCES
• MERRILL LYNCH & CO., INC., New York, Associate, Global Fixed-Income & Equity-Linked Research 2008
-Global Derivatives & Commodities Research: developed econometric model and analyzed fundamental market and
macroeconomic data to predict petroleum product prices and volatility.
-US Rates & Structured Credit Research: analyzed past delinquency and fundamental data to predict default rate in
Mortgage-Backed Securities (MBS) and Asset-Backed Securities (ABS) market.
-Credit Derivatives Research: developed model to improve pricing of CDX & iTraxx tranches. Solved problems of
Gaussian Copula model such as negative delta & high base correlation of senior tranches.
• UNIVERSITY OF CHICAGO, Research Assistant for Professor Robert M. Townsend 2005-2008
-Developed financial models to predict the effect of Moral Hazard and Agency problems in financial markets. Simulated
and solved models using MATLAB.
• J.P. MORGAN SECURITIES, Tokyo, Japan, Associate, Quantitative Research/Trading 2007
-Derivatives Research: developed and tested Tree/Finite Difference/Monte Carlo pricing models for new products in
equity/rate exotics and hybrids.
-Equity Derivatives Quantitative Strategy: designed and tested automated trading system and market timing strategies.
Constructed trading strategies that outperform market index for 14% on average during the last 7 years.
• UNIVERSITY OF TOKYO, Japan , Researcher, Advanced Information and Networking Lab 2001-2002
-Developed algorithms for efficient data transfer. Constructed models using C language. Simulated data network models.
• SIEMENS LTD., Bangkok, Thailand, Project Engineer 2000
-Project Engineer of the Skytrain Project: designed and installed the fire alarm system of 3 stations.
AWARDS AND HONORS
-Henry Morgenthau Jr. Memorial Fund Dissertation Fellowship 2008-2009
-University of Chicago, Department of Economics Scholarship (full tuition + stipend) 2004-2008
-Best Paper Award, Institute of Electronics, Information and Communication Engineers (IEICE) 2003
-Japanese Government Scholarship (full tuition + stipend) 2001-2003
-Excellent Academic Record Awards (eight times consecutively), Chulalongkorn University 1997-2001
OTHER PUBLICATION
“Mobility Support for IEEE 802.11 Power Saving Terminal across Access Points Running TCP Proxy,” Institute of
Electronics, Information and Communication Engineers (IEICE), September 2003. Winner of the Best Paper Award.
SELECTED SKILLS
Languages : Fluent in Japanese and Thai.
Computer : Simulation using MATLAB, VBA, STATA. Microsoft Word, Excel, PowerPoint. Basic knowledge of C.
REFERENCES
Robert M. Townsend (chair) MIT, Economics (617) 452-3722 rtownsen@mit.edu
Roger B. Myerson University of Chicago, Economics (773) 702-6576 myerson@uchicago.edu
Milton Harris University of Chicago, GSB (773) 702-2549 fmharris@chicagogsb.edu