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財務金融系暨研究所
Welcome to Finance
分類清單
Lee, Chih-Wei
 Lee  Chin-Wei

 
Research lab:Cheng-Hsi Bldg.911
Tel:(02)2322-6514

Fax:(02)2322-6378
E-mail: arthurse@ntub.edu.tw


 Education

 

.Ph.D. in Finance, National Taiwan University 


 Courses

 

.International Financial Management, Credit Derivatives,  Fund Management, Financial Risk Management


 Journal papers

 

."Evaluation of Multi-Asset Value at Risk:Evidence from Taiwan,"with Wu, Po-Cheng, and Cheng-Kun Kuo, Global Journal of Business Research 6(4),pp.23-34, 2012.

."Kernel Local Fisher Discriminant Analysis Based Manifold-regularized SVM Model for Financial Distress Predictions,"with Huang, Shian-Chang, Yu-Cheng Tang, and Ming-Jen Chang, Expert Systems with Applications 39(3) , pp. 3855-3861,2012.

."Pricing of Payment Deferred Vulnerable Options and its Application To Vulnerable Range Accrual Notes,"with Wu, Po-Cheng, and Cheng-Kun Kuo, The International Journal of Business and Finance Research 6(2), pp.91-100,2012.

."How Issuer Default Risk Affects Basket Credit Linked Note Coupon Rate,"with Po-Cheng Wu, and Lie-Jane Kao, International Journal of Information and Management Sciences 22,pp.59-71, 2011.

."Announcement Effects and Asymmetric Volatility in Industry Stock Returns:Evidence from Taiwan,"with Ming-Jen Chang, Emerging Markets Finance and Trade 47(2),pp.48-61,2011.

“A Joint Interest Rate Model on the Application of International Bond Portfolio Risk Management,” with Ming-Jen Chang, to be published in Journal of Management & Systems 18(3), 2011.

“The Impact of Interest Rates on Bond Market Integration - An Application of a Joint Interest Rate Model,” Journal of National Taipei College of Business 16, pp. 25-37, 2009.

.“Evaluation of Employee Stock Options Using Dynamic Programming,” with Min-Jen Chang, Shian-Chang Huang, and Lieh-Ming Luo, Journal of Futures and Options 2(1), pp. 99-116, 2009.

.“A Credit Risk Model with Dynamic Frailties for Default Intensity Estimation,” with Ming-Jen Chang, Asia Pacific Management Review 13(3), pp. 557-566, 2008

.“Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure,” with Cheng-Kun Kuo, The Journal of Fixed Income 17(1), pp. 48-58, 2007.

.“Estimating Extreme Correlation for the EVT-Type VaR: A Copula Approach,” with Cheng-Kun Kuo, Review of Securities and Futures Markets 17(4), pp. 121-152. 2005.

.“A Poisson Model with Common Shocks for CDO Valuation,” with Cheng-Kun Kuo, and Jorge Luis Urrutia, The Journal of Fixed Income 14(3), pp. 72-81, 2004.

.“Pricing Collateralized Debt Obligation: A Model of Common Shock for Loss Functions,” Journal of Risk Management 6(3), pp. 291-306, 2004.

.“VaR Stress Testing for Two-stage Transmission Stress Events,” with Cheng-Kun Kuo, and Hung Chen, Taiwan Academy of Management Journal 2(2), pp. 21-38, 2002.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 Conference papers

 

."Optimal Bank Capital Allocation and Securitization: The Caxe of Corporate Loans for U.S. Commercial Banks," with Ming-Jen Chang, Presented at the 2011 Annual Paris Conferencr on Money, Economy and Management, in Paris.

."Monetary Policy and Return Volatility in Equity Markets: The Case of Japan," with Ming-Jen Chang, Shian-Chang Huang, and Wan-Ju Ou, Presented at the 2010 Money Macro and Finance Conference, in Limasol, Cyprus. Presented at the 2009 Taiwan Economic Association Annual Meeting, in Taipei, Taiwan.

."A New Perspective for Comparing VaR Estimation Methods," with Po-Chen Wu, and Cheng-Kun Kuo, Presented at the 2010 Midwest Finance Association Annual Meeting, in Las Vegas, Nevada.

." Acoverage Test on Performance of a Two-Stage Transmission VaR," Presented at the 2009 Global Business and Management Conference, in Taipei, Taiwan.

“Pricing of Payment Deferred Vulnerable Options and its Application to Vulnerable Range Accrual Notes,with Po-Cheng Wu, and Cheng-Kun Kuo,Presented at the 2009 International Symposium on Finance and Accounting, in Kuala Lumpur, Malaysia.

“On Bond Market Integration: Using a Joint Term Structure Model,”

  Presented at 2008 Taiwan Finance Association Annual Conference, in Hualien, Taiwan.

“The Chaos Phenomena Appearing in an Anticipated Market”, with Cheng-Kun Kuo, Presented at the 6th International Conference on Computational Intelligence in Economics and Finance (CIEF2007), part of the 10th Joint International Conference on Information Sciences (JCIS2007) , in Salt Lake City, Utah, USA.

“Optimal Investments under Incomplete Information: An Application to TFT-LCD Industry,with Ming-Jen Chang, and Shian-Chang Huang,Presented at 2007 Taiwan Finance Association Annual Conference, in Taichung, Taiwan.

“Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure,” with Cheng-kun Kuo, Presented at the 2007 Midwest Finance Association Annual Meeting, in Minneapolis, Minnesota.

“Optimal Securitization Strategy: The Case of CDO Issuance for Banks,” with Ming-Jen Chang, Presented at the 2006 19th Australasian Finance & Banking Conference, in Sydney, Australia.

“A Modification to the Copula Approach for Pricing Correlation-Dependent Credit Derivatives,” with Cheng-Kun Kuo, Presented at the 2006 International Business Conference, in Taipei,Taiwan.

Presented at the 5th International Conference on Computational Intelligence in Economics and Finance (CIEF2006), part of the 9th Joint International Conference on Information Sciences (JCIS2006), in Kaoshiung, Taiwan.

“Optimal Securitization Strategy: the Case of CDO Issuance for Banks,with Ming-Jen Chang, Presented at 2006 Taiwan Finance Association Annual Conference, in Taipei, Taiwan.

“The Pricing of Correlation-Dependent Credit Derivatives,”Presented at 2005 The Chinese Institute of Probability and Statistics Annual Conference, in Tainan, Taiwan. 

“A Generalized Model to Price a Guaranteed Equity-Linked Life Insurance,” with Lieh-Ming Luo, and Her-Jiun Sheu, Presented at 2005 Taiwan Finance Association Annual Conference, in Kaoshiung, Taiwan.

“Optimal Asset Allocation for Pension Plans Using Conditional Performance Evaluation,” Presented at 2004 , in Taipei, Taiwan.

“Optimal Selection of Collateralized Debt Obligation Portfolio,” Presented at 2004 National Science Council Finance Conference, in Taipei, Taiwan.

“Value at Risk: Computation for Fixed-income Portfolios,”Presented at 2004 National Science Council Finance Conference, in Taipei, Taiwan.

“VaR Stress Testing for Two-Stage Transmission Stress Events,” with Cheng-Kun Kuo,Presented at 2002 Taiwan Finance Association Annual Conference, in Taichung, Taiwan.

“Valuation of the Bond Futures Delivery Option,” (Top 10% paper)Presented at 1995 Chinese Management Association Thesis Conference.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 Research projects

 

National Science Council 2009, Title: Applying Behavioral Finance to Currency Hedging and Bond Market Integration.  

.National Science Council 2008, Title: Risk Management of Foreign Fixed-Income Portfolio.  

.National Science Council 2007, Title: A Maximum Likelihood Estimation Method for a New Credit Risk Model and its Application.

.National Science Council 2006, Title: Optimal Design of Collateralized Debt Obligation Securities under Asymmetric Information.

.National Science Council 2005, Title: A Selection Model for Collateralized Debt Obligation Reference Portfolio: Using the Liquidity Approach.