Yonsei School of Business

EDUCATION

1996 Ph.D. New York University
1995 M.Phil. New York University, Finance
1986 M.S. Yonsei University
1984 B.B.A. Yonsei University

ACADEMIC AND PROFESSIONAL EXPERIENCE

Dean, School of Business, Yonsei University, 2017-
Associate Dean, School of Business, Yonsei University, 2009-2012
Professor, School of Business, Yonsei University, 2008-present
Associate Professor, School of Business, Yonsei University, 2002-2008
Assistant Professor, School of Business, Yonsei University, 1998-2002
Adjunct Assistant Professor,Graduate School of Business, Columbia University, 1997
Economist, Capital Market Function, Federal Reserve Bank of New York, 1996-1998
Visiting Researcher, Korea Development Bank, 1999-2000
Visiting Research Fellow, Korea Institute of Finance, 2006-2007
Board member, Kyobo Asset Management, 2003-2008
Board member, Korea Financial Investment Association, 2009-2010
Board member, Himart, 2010-2012
Advisory Committee Member, Korea Housing Finance Corporation, 2005-2007
Sales Committee Member, Public Funds Management Committee, 2009-2011

TEACHING INTERESTS

Financial Management
Investments
Futures and Options

RESEARCH INTERESTS

Bond Pricing
Derivatives Pricing
Financial Engineering

SELECTED PUBLICATION

"Understanding Corporate Bond Defaults in Korea Using Machine Learning Models," with Dojoon Park, Jun Kyung Auh and Giwan Song, Asia-Pacific Journal of Financial Studies, 2024.

"Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea," with Dojoon Park and Jaehooh Hahn, Pacific Basin Finance Journal 84, 2024.

"Global contagion of US COVID-19 panic news," with Yong Joo Kang and Dojoon Park, Emerging Markets Review 59, 2024.

“Asset pricing tests for pandemic risk,” with Dojoon Park and Yong Joo Kang, International Review of Economics & Finance 89, 2024, pp.1314 – 1334.

"Evaluating the Conditional CAPM using Consumption-based State Variables: Evidence from the Korean Stock Market," with Dojoon Park and Jaehoon Hahn, Korean Journal of Financial Studies, Vol. 50, No 3, 2021. 

"Estimating the Conditional Risk-Return Relation Using Consumption-based State Variables: Evidence from the Korean Stock Market," with Dojoon Park and Jaehoon Hahn, Asian Review of Financial Research, Vol. 34 No. 2, 2021.

"Forecasting Asset Returns Using Consumption-Based Measures," with Dojoon Park and Jaehoon Hahn, Journal of Money & Finance, Vol. 33 No. 1, 105 - 149, 2019.

“Covered Interest Parity Deviation and Counterparty Default Risk: US Dollar/Korean Won FX Swap Market,” with Hanbok Choi, Woon Wook Jang, Don H. Kim,  Pacific-Basin Finance Journal 44, 47 – 63, 2017.

"On the Theoretical Valuation of V-KOSPI 200 Futures," with Woon Wook Jang, Korean Journal of Futures and Options, Vol. 25 No. 3, 2017.

"Estimating the Risk-Return Relation in the Korean Stock Market," with Dojoon Park and Jaehoon Hahn, Korean Journal of Futures and Options Vol. 25 No. 1, 2017.

"Corporate Bond Pricing Model with Stochastically Volatile Firm Value Process," with Woon Wook Jang and Yong Joo Kang, ECONOMICS LETTERS 148, 41 - 44, 2016.

"A Study on Retail Structured Product Market and Financial Regulation in Korea," with Seunghyun Kim and Woon Wook Jang,  Korean Journal of Futures and Options Vol. 24 No. 3, 2016.

"Evaluating the Empirical Performance of Risk-based Portfolio Strategies in the Korean Stock Market,"  with Soonchae Park and Jaehoon Hahn, Korean Journal of Financial Studies, Vol. 45, No 2, 2016.

"An Analysis on the Stochastic Process underlying KOSPI200 Index Options : Focused on Jumps Process," with Woon Wook Jang,  Korean Journal of Futures and Options Vol. 23 No. 2, 2015.

"Who Overreacts to Overnight News?: Empirical Evidence from the Korean Stock Market," with Enjung Kwon, Woon Wook Jang, and Jaehoon Hahn, Asia-Pacific Journal of Financial Studies (2015) 44, 298?321.

"The Effect of House Prices on Mortgage Prepayment in Korea: A Two-Factor Structural Approach." with Jaehoon Hahn and Youngha Han, Asian Review of Financial Research Vol. 27 No. 3, 2014.

"Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects," with Woon Wook Jang and Don H. Kim, Asia-Pacific Journal of Financial Studies Vol 43, 2014.

"Unspanned Macroeconomic Factors and Term Structure of Interest Rates in Korea," with Kisik Kim and Woon Wook Jang, Asian Review of Financial Research Vol. 27 No. 2, 2014.

"On the Profits of the Financial Innovators: The Case of Korea ELS Markets," with Hyun Jun Ji and Woon Wook Jang, Asian Review of Financial Research Vol. 27 No. 1, 2014.

"The Variance Swaps based on KOSPI200 Index and the Term Structure of Variance Risk Premium," with Woon Wook Jang, Korean Journal of Futures and Options, Vol. 21 No. 4, 2013.

"Empirical Investigation on the Relationship of Firm Volatility and the Cross-section of Stock Returns,” with Sang Yong Yun and Bonil Ku, Asian Review of Financial Research, Vol. 24, No 1, 2011.

“An Empirical Study of KRW Interest Rate Swap Market: Focused on ‘Mispricing’ Compared to Theoretical Fair IRS Rates and Arbitrage Opportunities,” with Han Bok Choi and Boinl Ku, Korean Journal of Financial Studies, Vol. 39, No 1, 2010.

“Variable Annuity Pricing and Risk Analysis,” with Gyehong Kim, Korean Insurance Journal, Vol. 84, 2009.

“An Empirical Study on the Conditional Skewness Model for the Market Risk Management,” with Younwook Choo and Bonil Ku, Journal of Risk Management, Vol. 20, N0. 1, 2009.

“The Mean-VaR Framework and the Optimal Portfolio Choice,” with Younwook Choo and Bonil Ku, The Korean Journal of Financial Management, Vol. 26, No. 1, 2009.

“The Cross-section of Stock Returns in Korea: An Empirical Investigation,” with Sang Yong Yun, Jaehoon Hahn and Bonil Ku, Asian Review of Financial Research, Vol. 22, No 1, 2009.

“The Predictability of Volatility Index in KOSPI200 Option Market,” with Hyunjun Ji, and Woonwook Chang, Journal of Korea Money and Finance, Vol. 22, No 3, 2008.

“A Research on the Capital Structure of Korean Corporations: Comparison of the Trade-off Theory and the Pecking-Order Theory,” with Bonil Ku and Hyochan Chun, Journal of Korean Economic Analysis, Vol. 14, No. 2, 2008.

“The optimal Insurance Premium of the Reverse Mortgage Loan in the Stochastic Interest Rate Model,” with Ung Ki Lim, Jong Rak Chung and Hyun Jun Ji, Yonsei Business Review, Vol. 44, No. 2, 2008.

“Term Structure of Interest Rates and Monetary Policy in Korea,” with Joon-Hee Rhee and Hyunjun Ji, Journal of Korea Money and Finance, Vol. 12, No 4, 2007.

“An Efficient Numerical Method for Pricing Levy Option Models : With Variance Gamma process,” with Bonil Ku, and Woonwook Chang, Research on Futures, Vol. 15, No 2, 2007.

“An Empirical Study on the Pricing Model of Equity Linked Deposit,” with Bonil Ku, and Hyunjun Ji, The Korean Journal of Finance, Vol. 20, No 1, 2007.

“A Study on the Introduction of the Target Fund for the Insurance Industry,” with Changsu Oh, Chihong An, Jungryol Kim, and Sechang Jung, Korean Insurance Journal, Vol. 77, 2007.

“Pricing Barrier Options in a Stochastic Interest Rate Model,” with Bonil Ku, and Hyun-Joon Ji, The Korean Journal of Finance, Vol. 19, No 1, 2006.

“Validity of PSR as a Measure of Relative Value of Stocks,” with Bonil Ku, and Seungeun Cho, Yonsei Business Review, Vol. 42, No 1, 2005.

“Relative Valuations of KOSDAQ Stocks Using Multi-Factor Models,” with Bonil Ku, and Won Kang, Yonsei Business Review, Vol. 41, No 2, 2004.

“Structural Models of Corporate Bond Pricing: An Empirical Analysis," with Jean Helwege, and Jing-zhi Huang, Review of Financial Studies, Vol. 17, No 2, 2004.

"The Transmission of Swap Spreads and Volatilities in the International Swap Markets," with Marti Subrahmanyam and Jun Uno, The Journal of Fixed Income, Vol. 12, No 1, 2002.

“New Asymmetric Volatility Models: Spline-(E)GARCH Model,” with Bonil Ku and Wansoo Choi, The Korean Journal of Finance, Vol. 15, No 1, 2002.

“An Alternative Estimation Method of GARCH Model; EF Approach,” with Bonil Ku and Wansoo Choi, The Korean Journal of Finance, Vol. 14, No 2, 2001.

“The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets,” with Marti Subrahmanyam and Jun Uno, Economic Theory, Dynamics and Markets, K. Mino, T. Negishi and R. Ramachandran, (eds.), Kluwer Academic Press, 2001.

“A Study on the Pricing and Dynamic Relationship of the Bond and the Stock Market, Korean Journal of Finance,” with Bonil Ku and Wansoo Choi, Korean Journal of Finance, Vol. 12, No 2, 1999.

“On the Estimation of Yield Curves Using KDB Bonds,” with Sung-hyun Kim, Seung-ghon Oh, Sungwook Choi, KDB Monthly Bulletin, Vol. 528, 1999.

“Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis,” with Marti Subrahmanyam and Jun Uno, The Journal of Fixed Income, Vol. 8(2), 1998.

“Implied Foreign Exchange Rates Using Options Prices,” with Menachem Brenner and Yoram Landskroner, International Review of Financial Analysis, Vol. 5(3), 1996.

"Distress Classification of Korean Firms," with Edward I. Altman and Dong Won Kim, Journal of International Financial Management and Accounting, Vol. 6(3), 1995.

PROFESSIONAL ACTIVITIES AND AWARDS

Best Paper Award, Financial Management Association, 2001
Best Paper Award, Korean Finance Association , 2002.
Outstanding Research Award, The Alumni Association of the College of Business and Economics of Yonsei University, 2004
Best Paper Award, Korean Association of Futures and Options, 2007.
Best Paper Award, Korean Finance Association, 2009.
Best Paper Award, Korean Securities Association, 2010.
Best Paper Award, Korean Association of Futures and Options, 2013.
Participation Award, KRX Derivatives Research Award, KRX, 2014.
Best Paper Award, Korean Finance Association , 2014.
Best Paper Award, KRX Securities and Derivatives Research Award, KRX, 2017.
Best Paper Award, The Korea Money and Finance Association , 2019.

Associate Editor, Korean Financial Management Journal, 2001-2003
Associate Editor, The Journal of Korean Securities Associations, 2000-2002
Associate Editor, Korean Journal of Futures and Options, 2000-2002
Associate Editor, Korean Journal of Finance, 1999-2001