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 and NLP to the Financial Industry

Research Projects (click!)

Publications(selected)

FT50 Journals

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

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

Representative Publications

• • "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.

  • "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.

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) 

  • "After-Hours News and Realized Volatility Forecasting: An Attention-Weighted HAR Correction" (with Younwoo Jeong), under the 2nd round review (Journal of Financial Econometrics) 

  • "State-Dependent Macro Spanning in Nonlinear Yield Curve Forecasting: Evidence from Deep Learning Nelson-Siegel Models" (with Hyeontae Jo, Youngju Ahn, and Myung Jun Kim)

  • "Liability-Driven Portfolio Choice for Pension Funds under Regime-Switching Inflation" (with Myung Jun Kim, and Hyeontae Jo)

  • "Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model" (with Changeun Kim and Younwoo Jeong)

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

  • "Intentional Herding in Cryptocurrency Markets: Evidence from Structural Breaks" (with Daeyoung Jeon, Changeun Kim, and Jongho Park) 

  • "Job Displacement, Endogenous Reemployment, and Optimal Retirement under Incomplete Markets" (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).

  • "Short-Term Market Changes and Market Making with Inventory" (with Jin Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park), under the 2nd round review. (Operations Research Letters)

  • "Liquidation Shocks and Transaction Costs" (with Seungkyu Lee and Jongho Park)

  • "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)

  • "Deep Learning Approach for Solving Implicit Form of Hamilton-Jacobi-Bellman Equation with Stochastic Jumps" (with Jongho Park)

  • "Optimal Life-Cycle Decisions and Retirement: A Fresh Perspective" (with Seyoung Park), under revision for the 4th round review (Mathematical Control and Related Fields)

  • "Copula-Based Hierarchical Risk Parity: Modeling Nonlinear Dependence Structures for Portfolio Allocation" (with Changhui Choi, So Eun Choi, Bong-Gyu Jang, Minju Kim, and Ki Hwan Koo), under the 2nd round review (Applied Economics)

  • "Inflation Risks and Liability-Driven Investment for Pension Funds: Value-at-Risk versus Expected Shortfall" (with Myung Jun Kim)

  • "Welfare Interaction of Position Limits and Transaction Costs in Portfolio Choice" (with Doyeon Kim and Ung-gi Seo)

  • "Optimal Retirement and Changes in Risk Aversion and Elasticity of Intertemporal Substitution" (with Seungwoo Choe)

  • "Dynamic Term Structure forecasting with TIP-PCA" (with Jongho Park and Seungwoo Choe)

  ReFiRM | FIRM Lab. | Dpt. of IME