김동석

  학력   


Ohio State Univ. Finance Ph.D 1989

Santa Clara Business Admin. MBA 1983

성균관대학교 경영학 학사 1978

경기고등학교 1973


   연구분야    


금융공학, 위험관리, 가격모형, 투자



   주요경력   
 

한국과학기술원, 금융전문대학원, 교수, 2006 - 현재

한국과학기술원, 테크노경영대학원, 교수, 1995 - 2006

San Diago State University 1989 - 1995


  주요논문   


"Dynamic Non-Myopic Portfolio Behavior," Journal: Review of Financial Studies, 1996 Co-author: Edward Omberg

 

"Project and Firm Valuation, Foreign-Exchange Exposure, and Accounting Methods with an Option to Liquidate," Journal: Advances in International Banking and Finance, 1996, Volume 2, p. 63-98 Co-author: Edward Omberg

 

"Contingent Claims Valuation of Optional Calling Plan Contracts in Telephone Industry," Journal: International Review of Financial Analysis, 2002, 11/4, p. 433-448, Co-author: Hyun-Woo Choi, In Joon Kim

 

"Performance of a Nonparametric Multivariate Nearest Neighbor Model in the Prediction of Stock Index Returns," Asia Pacific Management Review, 2002, 7/1, co-authors: Chong-Hun Yoon, Hoe Kyung Lee

 

"Credit Default Swap Valuation with Counterparty Default Risk and Market Risk," Journal of Risk, 6/2, Winter 2003/4, p. 49-80, Co-author: Mi Ae Kim

 

"Default Correlation Dynamics with Business Cycle and Credit Quality Changes," Journal of Derivatives, Fall 2005, 13/1, p. 8-27, Co-author: Mi Ae Kim

 

"Bankruuptcy Prediction Using a Discrete-Time Duration Model Incorporating Temporal and Macroeconomic Dependencies," Journal of Forecasting, September 2008, 27/6, p.493-506, Co-authors: Chae Woo Nam and Hoe Kyung Lee

 

"Option-Implied Risk Preferences: An Extension to Wider Classes of Utility Functions," Journal of Financial Markets, May 2006, Volume 9/Issue 2, p.180-198, Co-author: Byung Jin Kang

 

"Empirical risk aversion functions-estimates and assessment of their reliability," International Journal of Financial Analysis, December 2008, 17/5, p.p. 1123-1138, Co-author: Byung Jin Kang

 

"Information Content of Volatility Spreads," Journal of Futures Markets, June 2010, 30/6, p.p. 533-558, Co-authors: Byung Jin Kang and Sun-Joong Yun

 

"A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market," Journal of Financial and Quantitative Analysis, June 2010, 45/3, p.p. 763-789, Co-authors: Byoung Uk Kang, Francis In, Gunky Kim

 

"The Effect of Changes in Index Constitution: The Evidence from the Korean Stock Market," International Review of Financial Analysis, September 2010, 19/4, p.p. 258-269, Co-author: Joo Young Yun

 

"Future labor income growth and the cross-section of equity returns," Journal of Banking and Finance, January 2011, 35/1, p.p. 67-81, Co-authors: Byoung Kyu Min, Dongcheol Kim

 

"Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics and Econometrics (SSCI), January 2011, Co-authors: Jihyun Lee, Hoe Kyung Lee

 

"Stock Price Response to Corporate Layoff Announcements," Proceedings of the twenty-third annual meeting of the Western Decision Sciences Institute, 1994 Co-author: G.H. Joh

 

"Long Memory in Volatility of Korean Stock Market Returns," Proceedings of INFORMS/KORMS 2000, p. 540-546 Co-author: Jihyun Lee, Hoe-Kyung Lee

 

"The Information of Trading Volume in the Prediction of Stock Index Returns: A Nonparametric Investigation," Proceedings of INFORMS/KORMS 2000, p. 605-611 Co-author: Jong-Hun Yoon, Hoe-Kyung Lee

 

"An Application of Accelerated Failure Time Model for Firm Failure Prediction" Proceedings of the Third Asia-Pacific Conference on Industrial Engineering and Management Systems (APIEMS 2000), December 20-22, 2000, p. 527-531 Co-author: Chae Woo Nam, Hoe Kyung Lee

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