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 俞明德(Min-Teh Yu)
讲座教授
职称 讲座教授
姓名 俞明德(Min-Teh Yu)
联络电话 03-5731883
电子邮件 mtyu@nctu.edu.tw
传真 03-5729915
办公室 管理一馆M-404室
研究专长 金融机构管理、风险管理与保险、期货与选择权
学历 PhD, Ohio State University
年度 论文名称
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 M.T. Yu, Empirical Finance of Financial Institutions and Market Behavior, International Review of Economics and Finance, 43, pp1-2, (SSCI)
2015 E. Sun, T. Kruse and M.T. Yu, Financial Transaction Tax: Policy Analytics based on Optimal Trading, Computational Economics, 46, 1, pp103--141, (SSCI)
2015 Y.T. Chen, E. Sun and M.T. Yu, Improving Model Performance with Integrated Wavelet Denoising Method, Studies in Nonlinear Dynamics & Econometrics , 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 E. Sun, T. Kruse and Min-Teh Yu, High Frequency Trading, Liquidity, and Execution Cost, ANOR (Annals of Operation Research), 223, pp403-432, (SCI)
2014 C.-L. Lo, A. Palmer and Min-Teh Yu, On Moment-Matching Approximations for Asian Options, Journal of Derivatives, 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 Valuation of Insurers' Contingent Capital with Counterparty Risk and Price Endogeneity, Journal of Banking and Finance, (Others)
2013 Institutional characteristics and trading mechanisms of financial markets in East Asia, Emerging Market Finance and Trade, (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 具有隐含选择权之海外可转换公司债评价分析, 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, 管理学报, (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, 管理学报, (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)
国家 学校名称 系所 学位
Ohio State University 博士
National Taiwan University 学士
服务机关名称 单位 职务
国立交通大学 管理学院 讲座教授/院长
台湾财务工程学会 理事长
台湾风险与保险学会 理事长
国立台湾大学 财务金融系 教授/特聘教授
静宜大学 财务金融系 教授/校长
元智大学 财务金融系 教授/管理学院院长
美国 Drexel大学 财务金融系 教授/客座教授
国立中央大学 财务金融系 教授/系主任暨所长
类别 年度 奖项名称 颁奖单位
校外荣誉 2012 李国鼎管理奖章 中华民国管理学会
校外荣誉 2010 Benemerenti Medal Pope Benedict XVI
校外荣誉 2005 Shin Research Excellent Award The Geneva Association and the International Insurance Society
校外荣誉 2005 绩优主持人奖励 国科会
校外荣誉 2001 研究杰出教授 元智大学
校外荣誉 2000 研究杰出奖 国科会
校外荣誉 1997 马偕加拿大研究奖励
校外荣誉 1997 研究杰出奖 国科会
校外荣誉 1995 教学特优教师 教育部
校外荣誉 1995 管理学院杰出论文奖 国立中央大学
校外荣誉 1994 研究优等奖 国科会