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 俞明德(Min-Teh Yu)
講座教授
職稱 講座教授
姓名 俞明德(Min-Teh Yu)
聯絡電話 03-5731883
電子郵件 mtyu@nctu.edu.tw
傳真 03-5729915
辦公室 管理一館M-404室
研究專長 金融機構管理、風險管理與保險、期貨與選擇權
學歷 PhD, Ohio State University
年度 論文名稱
2019 C. Chang, Y.-J. Wang and M.T.Yu, Catastrophe Bond Spread and Hurricane Arrival Frequency, North American Journal of Economics and Finance, (SSCI)
2019 Y. Zhao and M.T.Yu, Measuring the Liquidity Impact on Catastrophe Bond Spreads, Pacific-Basin Finance Journal, (SSCI)
2019 C.-L. Lo, P.-T. Shih, Y.-H. Wang and M.T.Yu, VIX Derivatives: Valuation Models and Empirical Evidence, Pacific-Basin Finance Journal, (SSCI)
2019 Y. Zhao and M.T.Yu, Prediction Markets for Catastrophe Risk: Evidence from Catastrophe Bond Markets, Journal of Banking and Finance (under revision)
2019 X.-D. Li, Y. Jiao, Y. Zhao and M.T.Yu, Founders and the decision of Chinese dual-class IPOs in the U.S., Pacific-Basin Finance Journal, (SSCI)
2019 C-F Lee, Y. Zhao and M.T.Yu, Does Equity Market Timing have a Persistent Impact on Capital Structure? Evidence from Equity Funding Supply in China, The British Accounting Review, (SSCI)
2018 C.-W. Chang, X.-D. Li, E. M.-H. Lin and M.T.Yu, Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry, International Review of Economics & Finance, (SSCI)
2018 Y.-T. Chen, E. W. Sun and M.T.Yu, Risk Assessment with Wavelet Feature Engineering for High-frequency Portfolio Trading, Computational Economics, (SCI)
2018 E. W. Sun, Y.-J. Wang and M.T.Yu , Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles, Computational Economics
2018 C.-C. Chang and M.T.Yu, Bank Contingent Capital: Valuation and Market Discipline, Journal of Financial Services Research, (SSCI)
2018 C.-C. Chang, J.-W. Yang and M.T.Yu, Hurricane Risk Management with Climate and CO2 Indices, Journal of Risk and Insurance, (SSCI)
2018 N.-W. Chen, H.-Y. Liang and M.T.Yu, Asset Diversification and Bank Performance: Evidence from Three Asian Countries with a Dual Banking System, Pacific-Basin Finance Journal
2018 E. M.H. Lin, E. W. Sun, and M.T. Yu, Systemic Risk, Financial Markets, and Performance of Financial Institutions, Annals of Operation Research, (SCI)
2017 Jin-Ping Lee, Edward M.H. Lin, Yang Zhao and M.T.Yu, Bank Capital Standards and Subordinated Debt Prices, Advances in Pacific Basin Business, Economics and Finance
2017 C.-C. Chang and M.T.Yu, Valuing Vulnerable Mortgage Insurance under Capital Forbearance, Journal of Real Estate Finance and Economics, (SSCI)
2017 K.-C. Ho, S.-C. Lee, C.-T. Lin and M.T.Yu, A Comparative Analysis of Accounting-Based Valuation Models, Journal of Accounting, Auditing & Finance
2017 C. -C. Chang and M.T. Yu, Bank Contingent Capital: Valuation and Market Discipline, Journal of Financial Services Research, (SSCI)
2016 Thomas C. Chiang and M.T.Yu, Empirical Finance of Financial Institutions and Market Behavior, International Review of Economics and Finance, (SSCI)
2016 N. W. Chen, H.-Y. Liang and M.T.Yu, Control of Corruption, Diversification and Asset Quality of Islamic and Conventional Banks, Economics Bulletin
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 具有隱含選擇權之海外可轉換公司債評價分析, 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)
國家 學校名稱 系所 學位
Ohio State University 博士
National Taiwan University 學士
服務機關名稱 單位 職務
國立交通大學 管理學院 講座教授/院長
台灣財務工程學會 理事長
台灣風險與保險學會 理事長
國立台灣大學 財務金融系 教授/特聘教授
靜宜大學 財務金融系 教授/校長
元智大學 財務金融系 教授/管理學院院長
美國 Drexel大學 財務金融系 教授/客座教授
國立中央大學 財務金融系 教授/系主任暨所長
類別 年度 獎項名稱 頒獎單位
校外榮譽 2012 李國鼎管理獎章 中華民國管理學會
校外榮譽 2010 Benemerenti Medal Pope Benedict XVI
校外榮譽 2005 Shin Research Excellent Award The Geneva Association and the International Insurance Society
校外榮譽 2005 績優主持人獎勵 國科會
校外榮譽 2001 研究傑出教授 元智大學
校外榮譽 2000 研究傑出獎 國科會
校外榮譽 1997 馬偕加拿大研究獎勵
校外榮譽 1997 研究傑出獎 國科會
校外榮譽 1995 教學特優教師 教育部
校外榮譽 1995 管理學院傑出論文獎 國立中央大學
校外榮譽 1994 研究優等獎 國科會