장 봉 규

POSTECH 산업경영공학과 교수 / 금융및위험관리연구센터장

하나-POSTECH 테크핀 산학일체연구센터장 /  KB-포스텍 디지털혁신연구센터장

경상북도 포항시 남구 청암로 77 포항공과대학교 공학 4동 421호 (37673)

전화: 82-54-279-2372, 팩스: 82-54-279-2870, 이메일: bonggyujang@postech.ac.kr

이력(CV,  클릭!) 

연구 관심 분야

• • 투자론/금융위험관리(자산배분, 생애주기 자산관리, 채권, 파생금융상품, 신용위험, 연금/보험사의 자산부채관리 등)

  • 금융공학/금융수학/핀테크/인슈어테크

  • 금융분야에서 기계학습의 활용 

전문활동 (selected)

• • 현, (주)현대해상화재보험 사외이사, 2022~현재

  • 현, 산업통상자원부 방사폐기물관리기금 위험관리위원회 위원, 2023~현재

  • 현, 보험개발원 자문위원회(인슈어테크 분과), 2023~현재

  • 현, 한국해양진흥공사 리스크관리위원회 위원, 2022~현재

  • 현, 서울시교육청 교육금고 전문가단, 2023~현재

  • 현, POSTECH 법인 재정운영자문위원회 위원, 2016~현재

• • 전, 한국주택금융공사 리스크관리자문회의 위원, 2018~2023

  • 전, 국토교통부 주택도시기금 위험관리위원회 위원, 2017~2020

  • 전, 국토교통부 자동차사고 피해지원기금 자산운용위원회 위원, 2020~2022

  • 전, 국민건강보험공단 자금운용성과평가위원회 위원, 2017~2021

  • 전, 금융위원회 IFRS17(보험부채) 할인율 TF, 2019

정부/공공기관/산업체 프로젝트(클릭!)

학술 논문

• • "확정급여형 퇴직연금의 동적자산배분" (이동행, 박지환, 김도연 공저), 금융정보연구, 제12권, 제2호, 2023년 6월, 109-133.

  • "Analytic Approach for Models of Optimal Retirement with Disability Risk" (with Seyoung Park and Jiwon Chae), Mathematial Social Sciences, Vol 126, 2023, 68-75.

  • "Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee), Finance Research Letters, Vol 48, 2022.

  • "Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Kyeong Tae Kim and Hyun-Tak Lee), European Financial Management, Vol 28, Issue 1, 2022, 208~232.

  • "Ambiguity Aversion and Optimal Investment with Transaction Costs" (with Taeyoon Kim, Seungkyu Lee and Seyoung Park), Economics Letters, Vol 207, 2021.

  • "Convertible Bond Valuation with Regime Switching" (with Byung-June Kim), Chaos, Solitons, & Fractals, Vol 150, Sep. 2021.

  • "Predicting Korea's Business-Cycle Regimes Using OnBid Auction Data" (wit Jin Gi Kim and Hyun-Tak Lee), Journal of Derivatives and Quantitative Studies, Vol29, Issue2, June 2021, 116-133.

  • "Value-at-Risk 하의 연기금의 자산배분" (채지원 공저), 한국증권학회지, 제50권, 제1호, 2021년 2월, 113-134.

  • "Annuitization and Asset Allocation with Borrowing Constraint" (with Jin-Gi Kim and Seyoung Park), Operations Research Letters, Vol 48, Issue 5, Sep. 2020, 549-551.

  • "Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao), Insurance: Mathematics and Economics, Vol 94, Sep. 2020, 25-39.

  • "의료 블록체인 비즈니스 활용 장벽 연구" (서웅기, 박준성, 김태윤, 곽지영, 한성호, 장혜지, 채지원, 고영인, 김진기 공저), 대한산업공학회지, 제45권, 제6호, 2019년 12월, 521-528.

  • "Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park), Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56.

  • "DNS 모형을 통한 금리 충격 시나리오 산출 및 분석 방안" (태현욱, 김병준, 노건엽, 박경국 공저), 보험금융연구, 제30권, 제2호, 2019년 6월, 3-53.

  • "주택연금을 고려한 개인의 생애주기 자산배분 연구" (김진기, 이상구, 안세륭 공저), 보험학회지, 제118집, 2019년 4월, 1-29.

  • "Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae), Finance Research Letters, Vol 24, 2018, 301-312.

  • "국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략" (강민정, 김병준 공저), 한국증권학회지, 제46권, 제5호, 2017년 12월, 1033-1060.

  • "한국형 자동이체식 주택저당증권에 대한 가치평가모형 개발" (태현욱, 서웅기, 김준석, 노종혁, 안세륭 공저), 선물연구, 제25권, 제3호, 2017년 8월, 305-337

  • "서울 아파트 매매가의 영구적, 일시적 요인 분석" (김진기, 이현탁 공저), 부동산학연구, 제23집, 제1호, 2017년 3월, 19-37.

  • "Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh), Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948.

  • "Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon), Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36.

  • "Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim), Finance Research Letters, Vol 18, Aug. 2016, 342-352.

  • "Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park), Finance Research Letters, Vol 18, Aug. 2016, 158-176.

  • "Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee), Economic Theory, Vol 62, Issue 3, 2016, 587-633.

  • "Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park), Operations Research, Vol 64, Issue 4, 2016, 1015-1032.

  • "보험부채 공정가치 평가목적 할인율에 관한 연구" (노건엽, 태현욱 공저), 보험학회지, 제107집, 2016년 7월, 75-108.

  • "서울아파트시장에서 영구적•일시적 가격충격의 시간에 따른 변화 분석" (김은영, 이현탁 공저), 금융공학연구, 제15권, 제2호, 2016년 6월, 1-28.

  • "인구변화를 고려한 자동차요율 최적화" (최창희 공저), 보험금융연구, 제27권, 제2호, 2016년 5월, 81-109.

  • "Retirement with Risk Aversion Change and Borrowing Constraints" (with Hoseok Lee), Finance Research Letters, Vol 16, Feb. 2016, 112-124.

  • "금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고" (태현욱, 임상규 공저), 한국증권학회지, 제44권, 제5호, 2015년 12월, 947-995.

  • "Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim), Journal of Banking & Finance, Vol 56, 2015, 37-47.

  • "Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin), Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74.

  • "경기주기와 베이지안 학습기법을 고려한 개인의 자산관리 연구" (박세영, 이현탁, 이유나 공저), 한국경영과학회지, Vol 39, No 2, 2014, 49-66.

  • "Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park), Operations Research Letters, Vol 42, Issue 3, 2014, 208-212.

  • "When Do the Unemplyed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park), Management Science & Financial Engineering, Vol 19, No 2, 2013, 43-47.

  • "Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee), Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604.

  • "A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim), Quantitative Finance, Vol 13, Issue 6, 2013, 885-895.

  • "수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정" (이승규, 김인준 공저), 대한산업공학회지, 제38권, 제4호, 2012년 12월, 244-248.

  • "Stock Returns and Market Making with Inventory" (with Seyoung Park), Management Science & Financial Engineering, Vol 18, No 2, 2012, 1-4.

  • "An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon), Operations Research Letters, Vol 39, Issue 3, 2011, 180-187.

  • "마코프 국면전환을 고려한 이자율 기간구조 연구" (이유나, 박세영, 최종오 공저), 대한산업공학회지, 제36권, 제3호, 2010, 203-211.

  • "Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon), Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145.

  • "Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh), Quantitative Finance, Vol 9, Issue 7, 2009, 819-825.

  • "일반상품 가격을 어떻게 모형화 할 것인가?: 국내 파생결합증권(DLS)의 가치평가" (임상규, 이호석 공저), 선물연구, 제17권, 제1호, 2009, 51-75.

  • "A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee), Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627.

  • "A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim), Operations Research Letters, Vol 36, Issue 2, 2008, 177-183.

  • "Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo,  Hong Liu and Mark Loewenstein), Journal of Finance, Vol 62, No 5, 2007, 2329-2366.

  • "An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo), Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252.

  • "Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends", Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150.

  • "한국시장에서의 이자율 스왑 스프레드 결정 요인 연구" (임상규 공저), 산업경제연구, 제20권, 제3호, 2007, 1105-1129.

  • "Transaction Costs and Asset Valuation" (with Hyeng Keun Koo and U Jin Choi), Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111.

진행 중인 논문 (selected)

• • "Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends" (with Jiwon Chae and Taeyoon Kim), under the 2nd round review (International Review of Financial Analysis).

  • "Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Byung-June Kim).

  • "Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee)

  • "Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo) 

  • "Short-Term Market Changes and Market Making with Inventory" (with Jin Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park)

  • "Optimal Reinsurance and Asset Allocation with Correlation Risks" (with  Alain Bensoussan and Jin-Gi Kim) 

  • "Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)

  • "Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)

  • "How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae)

  • "American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo), submitted for publication.

  • "Forecasting Realized Volatility of the Oil Future Prices via Machine Learning" (with with Byung-June Kim and Taeyoon Kim).

  • "A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)

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