연세대학교 경영대학_MBA

연세대학교경영전문대학원

 

YONSEI UNIVERSITY GRADUATE SCHOOL OF BUSINESS
YONSEI UNIVERSITY GRADUATE SCHOOL OF BUSINESS

연세대학교GRADUATE SCHOOL OF BUSINESS

전체 메뉴 닫기

전임교수(전체)

엄영호
엄영호 교수
학력
  • 1996 PhD, New York University   
    1995 MA, New York University, Finance   
    1986 MA, Yonsei University, Business Administration   
    1984 BA, Yonsei University, Business Administration 
주요경력
  • Professor, Department of Business Administration, Yonsei University School of Business September 2008 – Present   
    Associate Professor,   Department of Business Administration, Yonsei University School of Business September 2002 – August 2008 
  • Assistant Professor, Department of Business Administration  , Yonsei University School of Business September 1998 – August 2002 
  • Dean of Yonsei University School of Business and   Dean of the Graduate School of Business, Feb 2017 – Jan 2019 
  • Vice Dean of Yonsei University   School of Business, 2009 – 2012 Vice President of the Sangnam Institute of Management, Yonsei University, 2006 – 2008   

    Part-time Research Fellow, Korea Institute of Finance, July 2006   
    Visiting Researcher, Korea Development Bank, May 1999   
    Specialist, Financial Dispute Resolution Committee, Financial Supervisory Service, Feb 2011   
    Advisory Committee Member for Unfair Trading in Derivatives Investigation, Financial Supervisory Service (FSS)  , June 2010. Member of the Savings Bank Management Evaluation Committee, FSS, August 2011.   
    Advisory Committee Member for Macroprudential Analysis, FSS  , February 2009. 
  • Member of the Sale Review Subcommittee, Public Funds Management Committee, September 2009.  
    Chairperson of the Derivatives Development Committee, Korea Exchange (KRX), December 2018.  
    Chairperson of the Securities Market Development Committee, Korea Exchange, November 2016.  
    Chairperson of the Disciplinary Committee,  Korea Exchange, March 2015. Member of the Derivatives Development Committee, Korea Exchange, March 2012.  
    Member of the Stock Price Index Operation Committee,  Korea. Exchange, March 2012. Member of the Disciplinary Committee, Korea Exchange, June 2012.  
    Public Interest Director, Korea Financial Investment Association, February 2009. 
  • Policy Committee  Member for Local Public Enterprises, Ministry of the Interior and Safety, November 2009.  
    Korea Teachers Mutual Aid Association Member of the Risk Management Committee, June 2014.  
    Chairperson of the Risk Management Committee, Korea Government Employees Pension Service, June  2014. 
  • Member of the Risk Management Committee, National Pension Service (NPS) Fund Management Headquarters, June 2019.  
    Member of the Asset Management Committee, Korea Small Business & Venture Corporation (KSBC), September 2019.  
    Advisory Member, Korea Deposit Insurance Corporation, September 2014.  
    Advisory Member, Korea Housing Finance Corporation, March 2005.  
    Member of the Management Advisory Committee, Korea Asset Management Corporation (KAMCO), September 2014.  
    Economist, Capital Market Function, Federal Reserve Bank of New York, September 1996 – June 1998.  
    Adjunct Assistant Professor, Graduate School of Business, Columbia University, January 1997 – June 1997. 
강의관심분야
  • Financial Management,  
    Bond Markets , 
  • Investment,  
    Derivatives 
  • Finance 
연구관심분야
  • Bond prices,  
    derivative prices,  
    financial engineering 
주요 연구 논문 및 저서
  • “Revisiting and Extending Our Understanding of Market Responses to Unconventional Monetary Policy,” with Kang, YJ and Jang, WW, International Journal of Finance & Economics , 2026.

    “A Study on the Construction of Long-Term Time Series Data for Real Estate Yields and the Measurement of Risk-Adjusted Performance,” co-authored by Dojoon Park and Jaehooh Hahn, Journal of Finance, Vol. 38, no. 1, 37-87, 2025.

    "Stock market responses to unconventional monetary policy shocks," with Jialing Wang and Woon Wook Jang, Economics Letters, 2024.

    "Understanding Corporate Bond Defaults in Korea Using Machine Learning Models," with Dojoon Park, Jun Kyung Auh and Giwan Song, Asia-Pacific Journal of Financial Studies, 2024.

    "Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea,” with Dojoon Park and Jaehooh Hahn, Pacific Basin Finance Journal 84, 2024.

    “Global contagion of US COVID-19 panic news,” with Yong Joo Kang and Dojoon Park, Emerging Markets Review 59, 2024.

    “Asset pricing tests for pandemic risk,” with Dojoon Park and Yong Joo Kang, International Review of Economics & Finance 89, 2024, pp.1314 – 1334.
     “Recent Developments in the Research on Derivatives Securities in Korea,” Co-authored with Jang Woon-wook, Journal of Finance, Vol. 35, no. 3, 2022.


    “A Study on the Explanatory Power of a Conditional Asset Pricing Model Using Consumption-Related Macrovariables,” Do-Jun Park and Jae-Hoon Han, *Journal of the Korea Securities Association*, Vol. 50, no. 3, 339-367, 2021.

    "Test of the Time-Variable Relationship Between Risk Premium and Risk," Do-Jun Park and Jae-Hoon Han, *Financial Research*, Vol. 34, no. 2, 67-104, 2021.

    “Prediction of Asset Returns through Consumption-Related Macrovariables,” Do-Jun Park and Jae-Hoon Han, *The Journal of Finance*, Vol. 33, no. 1, 105-149, 2019.

    “Covered Interest Parity Deviation and Counterparty Default Risk: US Dollar/Korean Won FX Swap Market,” with Hanbok Choi, Woon Wook Jang, Don H. Kim, *Pacific-Basin Finance Journal*, 44, 47-63, 2017.

    “A Study on the Theoretical Pricing Model of Volatility Index Futures (V-KOSPI 200 Futures),” Co-authored with Jang Woon-wook, Futures Research, Vol. 25, no. 3, 405–424, 2017.

    “Re-examination of the Relationship between Expected Return and Volatility: Focusing on Long-term Data of the Korean Stock Market,” Co-authored by Park Do-jun and Han Jae-hoon, *Journal of Futures*, Vol. 25, No. 1, 1-39, 2017.

    "Corporate Bond Pricing Model with Stochastically Volatile Firm Value Process," with Woon Wook Jang and Yong Joo Kang, *ECONOMICS LETTERS* 148, 41-44, 2016.

    "A Study on the Korean Retail Structured Products Market and Financial Regulation," Co-authored by Kim Seung-hyun and Jang Woon-wook, *Journal of Futures*, Vol. 24, No. 3, 505-524, 2016.

    "An Empirical Study on the Performance of Risk-Based Portfolio Strategies," Co-authored by Park Soon-chae and Han Jae-hoon, *Journal of the Korea Securities Association*, Vol. 45, No. 2, 247-284, 2016.

    “A Study on the Stochastic Process of Underlying Assets of KOSPI200 Stock Index Options: A Comparison of Jump Model Characteristics "Centered on,” co-authored by Woon Wook Jang, *Journal of Futures Studies*, Vol. 23, No. 2, 183-205, 2015.

    "Who Overreacts to Overnight News?: Empirical Evidence from the Korean Stock Market," with Enjung Kwon, Woon Wook Jang, and Jaehoon Hahn, *Asia-Pacific Journal of Financial Studies* (2015) 44, 298–321.

    “A Study on the Impact of Housing Prices on Mortgage Loan Prepayment Rates: A 2-Factor Structural Model Approach,” Co-authored by Han Jae-hoon and Han Young-ha, *Journal of Finance*, Vol. 27, No. 2, 382-422, 2014. “

    Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects,” with Woon Wook Jang and Don Kim, *ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES* 43, 432-464, 2014.

    “Analysis of Macroeconomic Factors and Interest Rate Term Structure in Korea,” Co-authored by Kim Ki-sik and Jang Woon-wook, *Journal of Finance*, Vol. 27, No. 2, 2014.

    “A Study on Financial Innovator Benefits in the ELS Market,” Co-authored by Jang Woon-wook and Ji Hyun-jun, *Journal of Finance*, Vol. 27, No. 1, 2014.

    “Term Structure of KOSPI200 Index Diversification Swap and Diversification Risk Premium,” Co-authored by Jang Woon-wook, Journal of Futures, Vol. 21, No. 4, 2013.

    “A Study on the Cross-Section of Corporate Volatility and Stock Returns,” Co-authored by Yoon Sang-yong and Koo Bon-il, Journal of Finance, Vol. 24, No. 1, 2011.

    “An Empirical Study on the KRW Interest Rate Swap Market: Focusing on the Analysis of Valuation Errors and Arbitrage Incentives Relative to Theoretical Interest Rate Swaps,” Co-authored by Choi Han-bok and Koo Bon-il, Journal of the Korea Securities Association, Vol. 39, No. 1, 2010.

    “Valuation and Risk Analysis of Variable Annuities,” Co-authored by Kim Gye-hong, Journal of the Korean Insurance Association, No. 84, 2009.

    “An Empirical Study on the Usefulness of Conditional Skewness Models for Market Risk Management,” Co-authored by Chu Yeon-wook and Koo Bon-il, Journal of Risk Management, Vol. 20, No. 1, 2009.

    “Mean-VaR Criterion and Optimal Portfolio Selection,” Co-authored by Chu Yeon-wook and Koo Bon-il, Journal of Financial Management, Vol. 26, No. 1, 2009.

    “In the Korean Stock Market “ A Study on the Explanatory Power of the Three-Factor Model Including Liquidity Factors,” Co-authored by Yoon Sang-yong, Koo Bon-il, and Han Jae-hoon, *The Journal of Finance* Vol. 22, No. 1, 2009.

    “A Study on the Future Predictive Power of the Volatility Index,” Co-authored by Ji Hyun-jun and Jang Un-wook, *The Journal

    of Finance* Vol. 22, No. 3, 2008. “A Study on the Capital Structure of Korean Firms: Verification of Eclectic Theory and Order Theory,” Co-authored by Koo Bon-il and Jeon Hyo-chan, *Analysis of the Korean Economy* Vol. 14, No. 2, 2008.

    “A Study on the Appropriate Guarantee Rate of Reverse Mortgage Loans through the Stochastic Interest Rate Model,” Co-authored by Lim Woong-ki, Jung Jong-rak, and Ji Hyun-jun, *Yonsei Business Review* Vol. 44, No. 2, 2008.

    “Interest Rate Term Structure and Monetary Policy in Korea,” Co-authored by Lee Jun-hee and Ji Hyun-jun, *Journal of the Korean Finance Association* Vol. 12, No. 4, 119-165, 2007.

    “Levy Option “Efficient Numerical Methods for Models,” Co-authored by Koo Bon-il and Jang Woon-wook, *Journal of Futures* Vol. 15, No. 2, 1-28, 2007.

    “A Study on the Introduction Plan of the Target Fund System in the Insurance Sector,” Co-authored by Oh Chang-soo, Ahn Chi-hong, Kim Jeong-ryeol, and Jeong Se-chang, *Journal of the Korean Insurance Association* Vol . 77, 99-139, 2007.

    “An Empirical Study on the Valuation Model of Equity-Linked Deposits

    ,” Co-authored by Koo Bon-il and Ji Hyun-jun, *Journal of Finance* Vol. 20, No. 1, 35-76, 2007. “Pricing of Barrier Options under a Stochastic Interest Rate Model,” Co-authored by Koo Bon

    -il and Ji Hyun-jun, *Journal of Finance* Vol. 19, No. 1, 155-186, 2006. “The Usefulness of the Relative Valuation Measure PSR,” Co-authored by Koo Bon-il and Cho Seong-eun, *Yonsei Business Review* Vol. 42, No. 1, pp. 1-37, 2005.

    “Multifactor Models "A Study on the Relative Pricing Determination and Liquidity Premium of KOSDAQ Market Stocks Using Lee Yong-han," Co-authored with Koo Bon-il and Kang Won, Yonsei Business Review, Vol. 41, No. 2, pp. 455-488. 2004.

    "Structural Models of Corporate Bond Pricing: An Empirical Analysis," with Jean Helwege, and Jing-zhi Huang, Review of Financial Studies Vol. 17, No. 2, pp. 499-544, 2004.

    "The Transmission of Swap Spreads and Volatilities in the International Swap Markets," with Marti Subrahmanyam and Jun Uno, The Journal of Fixed Income, Vol 12, No 1, pp. 6-28, 2002.

    “A New Alternative to Asymmetric Volatility Estimation Models: SPLINE-(E)GARCH Model,” co-authored by Koo Bon-il and Choi Wan-soo, *Journal of Finance*, Vol. 15, No. 1, pp. 109-149, 2002.

    “Estimation of Asset Return Volatility Under Non-normal Distribution: Focusing on the Estimation of the GARCH Model Using the EF Approach,” co-authored by Koo Bon-il and Choi Wan-soo, *Journal of Finance*, Vol. 14, No. 2, pp. 161-198, 2001.

    "The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets", with Marti Subrahmanyam and Jun Uno, *Economic Theory, Dynamics and Markets*, Kluwer Academic Press, pp. 287-308, 2001.

    The Korean Bond Market and the Yield Curve, Korea Development Bank, November 2000. “A Study on the Dynamic Correlation and Pricing of Bond and Stock Markets,” Co-authored by Koo Bon-il and Choi Wan-soo, *Journal of Finance* Vol. 12, No. 2, pp. 257-280, 1999.

    “Estimation of KDB Bond Yield Curve: A Comparative Analysis Using Mark-to-Market Yield Data and Yields to Circulation Data,” Co-authored by Kim Sung-hyun, Oh Seung-gon, and Choi Sung-wook, KDB Monthly Research Bulletin No. 528, pp. 28-54, 1999.

    “Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis,” with Marti Subrahmanyam and Jun Uno, *The Journal of Fixed Income*, Vol. 8(2), pp. 69-86, 1998.

    “Implied Foreign Exchange Rates Using Options Prices,” with Menachem Brenner and Yoram Landskroner, *International Review of Financial Analysis*, Vol. 5(3), p171-184, 1996.

    "Distress Classification of Korean Firms," with Edward I. Altman and Dong Won Kim, Journal of International Financial Management and Accounting, Vol6(3), p230-249, 1995.

주요 학술활동 및 수상
  • President of the Korea Derivatives Association, January 2015   
    Editorial Board Member, *Journal of Financial Supervision*, Oct. 2014.   
    Vice President, *Korea Securities Association*, Mar. 2013. 
  • Co-   Editor  -in-Chief , *Journal of the Korea Finance Association*,   Jan. 2013. 
  • Editorial Board Member, * Journal of the Korea   Management Association*, Mar. 2009. 
  • Editorial Board Member, *Journal of Financial Management   *, Mar. 2010. 
  • Chairperson of the Research   Committee, *Korea Finance Association* , Feb. 2007. 
  • Secretary, *Korea Finance Association*, Sep. 2007. 
  • Director, *Korea Finance Association*, Feb. 2002. 
  • Director, Korea Derivatives Association, Jan. 2011. 
  • Editorial Board Member, *Korea Finance Association   *, Nov. 1999. 
  • Editorial Board Member, *Journal of the Korea   Securities Association*, Apr. 2000. 
  • Editorial Board Member, *Journal of the Korea Futures Association*, May 2000. 
  • Best Paper   Award, Asia-Pacific Journal of Financial Studies, 2024. 
  • Excellent Paper Award, Financial Institutions Sector, *Korea Finance Association*, 2019. 
  • Excellence Award for the 7th KRX Securities and Derivatives Excellent Paper Contest, 2017. 
  • Excellent Paper Award, The Korea Finance Association; 2014. 
  • Encouragement Award, 4th KRX Securities and Derivatives Excellent Paper Award;   2014. 
  • Grand Prize, The Korea Derivatives Association; 2013. 
  • Excellent Paper   Award, The Korea Securities Association; 2011. 
  • Excellent Paper Award, The Korea Finance Association; 2009. 
  • Grand Prize, The Futures Association; 2007 
  • Choheon Academic Award; 2004. 
  • Excellent Paper Award, The Korea Finance Association; 2002. 
  • Competitive Paper Award in the Area of Fixed Income, Financial Management Association; 2001.