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Dr. Min-Teh Yu
Chair Professor
Job title Chair Professor
Name Dr. Min-Teh Yu
Office Tel No. 03-5731883
Email mtyu@nctu.edu.tw
Fax 03-5729915
office Room 404, Management Building 1
Research expertise Financial Institutions; Risk Management and Insurance; Derivatives Markets.
Education PhD, Ohio State University
Year Paper Title
2017 C. W Chang, E. M.-H. Lin, Y. Zhao, and M.T. Yu, Interconnectedness, Non-core Activities, and Systemic Risk in Insurance Sectors: Evidence from Taiwan, International Review of Economics and Finance, (SSCI)
2017 E. M.H. Lin, E. W. Sun, and M.T. Yu, Systemic Risk, Financial Markets, and Performance of Financial Institutions in Taiwan, Annals of Operation Research, (SCI)
2017 C. -C. Chang and M.T. Yu, Bank Contingent Capital: Valuation and Market Discipline, Journal of Financial Services Research, (SSCI)
2016 C-W Wang, S-W Tzang, and Min-Teh Yu, Systematic Risk and Volatility Skew, International Review of Economics and Finance, 43, pp72-87, (SSCI)
2016 T.-L Liao, H.-C. Sung and M.T. Yu, Advertising and Investor Recognition of Banking Firms: Evidence from Taiwan, Emerging Markets Finance and Trade, 52, 4, pp812-824, (SSCI)
2016 A. Y F Ho, C.-T. Huang, and Min- Teh Yu, Why Do Firms Issue SEOs and Increase Dividends Simultaneously? Evidence from U.S. Firms, Journal of Accounting, Auditing and Finance
2016 S.-C. Lee, C.-T. Lin, and M.T. Yu, A Comparative Analysis of Accounting Based Valuation Models, Journal of Accounting, Auditing and Finance
2016 C. -C. Chang, and M.T. Yu, Valuing Vulnerable Mortgage Insurance under Capital Forbearance, Journal of Real Estate Finance and Economics, (SSCI)
2016 C. -C. Chang and Min-Teh Yu, Catastrophe Risk Management with Climate and CO2 Indices, Journal of Risk and Insurance
2016 T. C. Chiang and Min-Teh Yu, Empirical Finance of Financial Institutions and Market Behavior, International Review of Economics and Finance, 43, pp1-2, (SSCI)
2015 46, 1, pp103--141, (SSCI)
2015 19, 4, pp445-467, (SSCI)
2015 Y.T. Chen, E. Sun, M.T. Yu, Generalized Optimal Wavelet Decomposing Algorithm for Big Financial Data, International Journal of Production Economics , 165, pp194-214, (Others)
2014 223, pp403-432, (SCI)
2014 21, pp103-122, (SSCI)
2013 A Fractional Cointegration Approach to Testing the Ohlson Accounting Based Valuation Model, Review of Quantitative Finance and Accounting, 41, 3, pp535-547, (Others)
2013 Price and Liquidity Effects of Switching Exchange Listings, Emerging Market Finance and Trade, (SSCI)
2013 (Others)
2013 (SSCI)
2011 Research Performance of Finance Departments in Taiwan: 2003-2008, Journal of Financial Studies, 19, 1, pp97-132, (TSSCI)
2011 Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes, Journal of Risk and Insurance, (SSCI)
2010 Pricing Unemployment Insurance - An Unemployment-Duration-Adjusted Approach, ASTIN Bulletin - The Journal of the International Actuarial Association, (SSCI, SCI)
2008 Futures Margin Requirement - A Comparison of Value-at-Risk with Expected Shortfall Measures, Advances in Financial Planning and Forecasting, (Others)
2008 Volatility Estimation and the Performance of Multifactor Term Structure Models for Pricing and Hedging Euribor Options, Review of Futures Markets, (Others)
2007 Valuation of Catastrophe Reinsurance with Catastrophe Bonds, Insurance Mathematics and Economics, (SSCI)
2007 Premium Setting and Bank Behavior in a Voluntary Deposit Insurance Scheme, Review of Quantitative Finance and Accounting, (Others)
2006 Optimal Reset Ratio for Reset Options with Liquidity Cost, Journal of the Chinese Statistical Association, (Others)
2006 Valuation of Euro-Convertible Bonds with Embedded Options, Journal of Financial Studies, 14, 3, pp35-68, (TSSCI)
2006 Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates, Quarterly Review of Economics and Finance, (Others)
2006 Margins and Price Limits in Taiwan’s Stock Index Futures Market, Emerging Markets Finance and Trade,, (SSCI)
2005 Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk, Journal of Banking and Finance, (SSCI)
2005 Bank Capital Forbearance and Valuation of Deposit Insurance, Canadian Journal of Administrative Sciences, (SSCI)
2005 Capital Requirements for Financial Holdings Companies in Taiwan, Geneva Papers on Risk and Insurance, (Others)
2005 Risk Aversion and Price Limits in Futures Markets, Finance Research Letters, (SSCI)
2003 The Effectiveness of Coordinating Price Limits Across Futures and Spot Markets, Journal of Futures Markets, (SSCI)
2003 Valuation of Pension Benefit Guarantees and Termination Conditions, Research in Finance, (Others)
2003 The Valuation of A Euro-Convertible Bond, Financial Engineering, Proceedings, (EI)
2002 Credit Enhancement and Loan Default Risk Premium, Canadian Journal of Administrative Sciences, (SSCI)
2002 Pricing Default-Risky CAT Bonds With Moral Hazard and Basis Risk, Journal of Risk and Insurance, (SSCI)
2002 Valuation and Hedging of Differential Swaps, Journal of Futures Markets, (SSCI)
2002 Pricing Currency Options Under CIR Interest Rates Process and Stochastic Volatility, 管理學報, (TSSCI)
2002 Market Discipline of Canadian Banks’ Letters of Credit Activities: An Empirical Examination, Service Industries Journal, (SSCI)
2000 Measuring the Normal Contribution Costs for Salary-related Corporate Sponsored Defined Benefit Pension Plans, 管理學報, (TSSCI)
2000 Price Limits, Margin Requirements and Default Risk, Journal of Futures Markets, (SSCI)
1999 Capital Standard, Forbearance and Deposit Insurance Coverage Under GARCH, Journal of Banking and Finance, (SSCI)
1999 An Accurate Analysis of Vulnerable Loan Guarantees, Research in Finance, (Others)
1998 Government Deposit Insurance and the Diamond-Dybvig Model, Geneva Papers on Risk and Insurance Theory, (SSCI)
1998 Measuring Risk-Based Premium and Risk-Based Capital Requirement for Insurers, Advances in Financial Planning and Forecasting, (Others)
1996 Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach, Journal of Risk and Insurance, (SSCI)
1996 Opportunity Costs of Capital Forbearance during the Final Years of the FSLIC Mess, Quarterly Review of Economics and Finance, (SSCI)
1995 Measuring the True Profile of Taxpayer Losses in the S&L Insurance Mess, Journal of Banking and Finance, (SSCI)
1995 How Much Did Capital Forbearance Add to the Tab for the FSLIC Mess?, Bank Structure and Competition, (Others)
1994 Forbearance and Pricing Deposit Insurance In a Multiperiod Framework, Journal of Risk and Insurance, (SSCI)
1994 Do Bank Runs Exist in the Diamond-Dybvig Model, Journal of Institutional and Theoretical Economics, (SSCI)
1994 Assessing the Cost of Taiwan's Deposit Insurance, Pacific-Basin Finance Journal, (Others)
1993 Alternative Valuation of the Cost of Deposit Insurance: An Application of Option Pricing Model With Stochastic Volatility, NTU Management Review, (TSSCI)
Country School Name Department Degree
U.S.A. Ohio State University PhD
Taiwan National Taiwan University BA
Organization Title Department Job Title
Financial Engineering Association of Taiwan President
Taiwan Risk and Insurance Association President
Honor Category Year Award Name Awarding Unit
Outside School Honor 2012 Kwol-Ting Li's Management Award Chinese Management Associate
Outside School Honor 2010 Benemerenti Medal Pope Benedict XVI
Outside School Honor 2005 Shin Research Excellent Award The Geneva Association and the International Insurance Society
Outside School Honor 2005 NSC Project Incentive Award NSC
Outside School Honor 2001 Distinguished Research Award Yuan Ze University
Outside School Honor 2000 Distinguished Research Award National Science Council
Outside School Honor 1997 MacKay Canadian Studies Faculty Research Award Canadian Trade
Outside School Honor 1997 Distinguished Research Award National Science Council
Outside School Honor 1995 Distinguished Teaching Award Ministry of Education, Taiwan
Outside School Honor 1995 Research Article Award College of Management, National Central University
Outside School Honor 1994 Research Award National Science Council