English
장 봉 규
POSTECH 산업경영공학과 교수
POSTECH 금융및위험관리연구센터장
하나-POSTECH 테크핀 산학일체연구센터장
연구 관심 분야
- 투자론/금융위험관리(자산배분, 생애주기 자산관리, 채권, 파생금융상품, 신용위험, 연금/보험사의 자산부채관리 등)
- 금융공학/금융수학/핀테크/인슈어테크
전문활동
- 금융위원회 IFRS17(보험부채) 할인율 TF, 2019
- 한국자산관리공사 학술용역심의위원회 위원, 2019~현재
- 한국주택금융공사 리스크관리자문회의 위원, 2018~현재
- 국토교통부 주택도시기금 위험관리위원회 위원, 2017~2020
- 국민건강보험공단 자금운용성과평가위원회 위원, 2017~현재
- 보험개발원 경제적 가정 자문그룹, 2018~현재
- POSTECH 법인 재정운영자문위원회 위원, 2016~현재
학술 논문
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대한산업공학회지, 제45권, 제6호, 2019년 12월, 521-528.
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Economic Theory, Vol 62, Issue 3, 2016, 587-633.
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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.
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- "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)
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"Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo)
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"Optimal Reinsurance and Asset Allocation with Correlation Risks" (with Alain Bensoussan and Jin-Gi Kim)
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