Bong-Gyu Jang

Head, Research Institute of Finance & Risk Management (ReFiRM), POSTECH

Head, Hana-POSTECH TechFin Collaboration Center / KB-POSTECH Digital Innovation Center

Professor, Dept. Industrial & Management Engineering (IME), POSTECH

4th Eng. Building #421, POSTECH, 77 Cheongam-Ro, Nam-gu, Pohang, Gyungbuk, Korea (37673)

Telephone: 82-54-279-2372, Fax: 82-54-279-2870, E-mail: bonggyujang@postech.ac.kr

Curriculum Vitae(click!) 

Research Interests

• • Asset Pricing, Portfolio Theory, Life-Cycle Asset Management (Pensions), Credit Risk, Interest Rates, and Derivatives

  • Financial Engineering, Mathematical Finance, and Fintech 

  • Application of Machine Learning to the Financial Industry

Research Projects (click!)

Publications(selected)

• • "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.

  • "Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao), Insurance: Mathematics and Economics, Vol 48, Issue 5, Sep. 2020, 549-551.

  • "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.

  • "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.

  • "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.

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

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

  • "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.

  • "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.

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

Working Papers (selected)

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

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

  • "Forecasting Realized Volatility of the Oil Future Prices via Machine Learning" (with with Byung-June Kim, Taeyoon Kim, and Myung Jun Kim), under revision for the 3nd round review in Applied Economics. .

  • "Asset Returns and Regime-Switching Consumption-Wealth Ratio“ (with Qi Li, Di Luo, Seyoung Park, Huainan Zhao), submitted.

  • "Bitcoin Price Direction Forecasting and Market Variables" (Taegyum Kim, Hyeontae Jo, and Woohyuk Choi), submitted.

  • "Liability-Driven Investment under Inflation Risk" (with Hyeontae Jo and Myung-Jun Kim).

  • "Herding in Cryptocurrency Market and COVID-19: Spillover Effects and Fundamental Information" (with Daeyoung Jeon, Changeun Kim, and Jongho Park).

  • "Temporary Layoffs, Reentry and Optimal Retirement" (with Shan Huang, and Seyoung Park).

  • "Involuntary Unemployment Due to Permanent Disability Risk and Unemployment Insurance Design" (with Jiwon Chae and Doyeon Kim). 

  • "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)

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

  • "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)

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

  ReFiRM | FIRM Lab. | Dpt. of IME