학력
- Ph.D. in Finance and Economics, Columbia University (New York, NY)
- MA in Mathematics, Columbia University (New York, NY)
- BBA and BS in Economics, Korea University (Seoul, Korea)
주요경력
- Associate Professor in Artificial Intelligence, Yonsei University (Seoul, Korea)
- Assistant Professor in Finance, Georgetown University (Washington DC)
- Alpha Researcher, Cubist Systematic Strategies (New York, NY)
- Vice President, Quantitative Trading, Deutsche Bank (New York, NY)
강의관심분야
- Derivatives Theory (Ph.D. and MS)
- Derivatives Markets (MBA)
- Fixed Income Markets (MBA)
- Economic Analysis (MBA)
- Corporate Finance (Undergraduate)
연구관심분야
- Fixed Income and Derivatives Markets
- Portfolio Theory and Application
- Systematic Investments
- Machine Learning Application in Financial Markets
주요 연구 논문 및 저서
- Understanding Corporate Bond Default using Machine Learning Models, Forthcoming at Asian Journal of Financial Studies
- Loan Terms and Collateral: Evidence from the Bilateral Repo Market (2022), Journal of Finance.
- Liquidation Cascade and Anticipatory Trading (2023), Review of Asset Pricing Studies.
- Procyclical Credit Rating Policy (2023), Asian Journal of Financial Studies.
- Repo Priority Right and the Bankruptcy Code (2020), Critical Finance Review.
- Factor-Based Portfolio Optimization (2023), Economics Letters.
- Reaching-for-Income Behavior in the Mutual Fund Market (2023), Asian Review of Financial Research.
- Real Effect of Credit Rating (2023), Korean Management Review.
주요 학술활동 및 수상
- AJFS Best Paper Award, 2023
- ARFR Outstanding Paper Award, 2023
- Korean Derivatives Association Best Paper Award, 2020
- Best Paper Award at Summer Finance Round Table, 2020
- Korean Finance Association Best Paper Award, 2020
- CAFM Best Paper Award, 2016
- McGraw-Hill Distinguished Paper Award, 2015
- Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research, 2014
- Olin School of Business Best Finance Ph.D. Dissertation Award, 2013
- KAFA Best Doctoral Dissertation Award, 2013
- W. Edwards Deming Doctoral Fellowship, 2013
