Chia-Chien Chang
Name Chia-Chien Chang
Position Professor
Email
Office Tel No. 燕巢 16373
Teaching Area Financial Engineering、Corporate finance、 Fixed-income securities
Expertise Risk management、Asset Securitization、Financial Engineering、Mortgage Insurance
Country School Name Department Degree
TAIWAN National Sun Yat-sen University Department of Finance, Ph. D
Duration
2012.10 ~ Up to today
2008.08 ~ 2009.01
2008.08 ~ 2009.01
2005.06 ~ 2007.07
Year Paper Title Journal Title Issue.No Vol.No
2017
2017
2017
2016 37
2015
2015 43 47
2014 4 22
2014
2014 2 44
2013 Measuring U.S. Hurricane Risk Associated with Natural Climate Cycle and Global Warming Effects Asia-Pacific Journal of Risk and Insuranc 2 7
2012 Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market Journal of Real Estate Finance and Economics 4 45
2012 The Effects of Macroeconomic Factors on Pricing Mortgage Insurance Contracts Journal of risk and insurance 3 79
2011 資本寬容對房屋抵押貸款保險之影響 住宅學報 1 20
2011 Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes journal of Risk and Insurance 2 78
2010 Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts Journal of Risk and Insurance 2 77
2009 The Valuation of Contingent Capital with Catastrophe Risks Insurance: Mathematics and Economics 1 45
2009 Pricing Collateralized Debt-Commodity Obligation(EconLit) Pricing Collateralized Debt-Commodity Obligation(EconLit) 29
2009 The Valuation of Special Purpose Vehicles by Issuing Structured Credit Linked Notes(EconLit) Applied Financial Economics 19
2008 Establish Credit Rating System and apply Back-Propagation Network for Forecasting Insurance Companies 3rd International Conference on Innovative Computing Information and Control
2008 Pricing Catastrophe Insurance Products in Markov Jump Diffusion Models Journal of Financial Studies 16
2006 考慮雙方交易對手違約風險、標的資產違約風險與市場風險交互影響下信用違約交換之評價 財務金融學刊 14
2004 隨機利率下保本型票券之訂價與避險策略 亞太經濟管理評論 1~2 7
2003 保本型票券之定價與避險策略 證券暨期貨管理 7 21
2003 低利率、低成長、低通膨時代下的產物--保本型票券 證券暨期貨管理 7 21
Year Authors Paper Title Conference Name
2016
2016
2016
2016
2015
2015
2015
2015
2015
2014
2014
2013
2013 加入Levy過程投資組合風險值之衡量 2013金融創新與企業發展學術研討會
2013 Pair Trading: Performance of Markov Regime-Switching Model with Mean Reversion-Evidence in S&P 500 Stock Market 2013金融創新與企業發展學術研討會
2013 Empirical Study of Riskiness Index-Evidence in International Stock Markets 2013財金會計暨商管決策研討會
2013 考量投資人情緒指標之動態避險策略-以台指選擇權為例 2013南台灣財金學術聯盟年會暨海峽兩岸學術論文研討會
2013 納入情緒指標的波動度預測及波動度交易應用-主成分分析 2013南台灣財金學術聯盟年會暨海峽兩岸學術論文研討會
2012 Measuring U.S. Hurricane Risk Associated with Natural Climate Cycle and Global Warming Effects 2012臺灣風險與保險國際學術研討會
2012 Pricing of PreSale Contracts with Macroeconomic Factors and Stochastic Basis Risk 2012 AsRES-AREUEA Conference
2012 An Empirical Examination of Jump Risk and Continuous Risk in U.S. REITs Market The Global Chinese Real Estate Congress
2011 Jump Risk is Systematic or Nonsystematic? An Empirical Examination in REITs Market 2011 AsRES Conference
2011 匯率與利率市場的系統風險及跳躍風險 2011臺灣財務金融學會年會
2011 The Systematic Risk and Jump Risk of Exchange Rate and Interest Rate Markets 2011年財務工程與保險精算研討會
2010 The valuation of Catastrophe-Linked Products with the Counterparty Default Risk, Basis Risk, and Moral Hazard risk 金融危機後全球經濟與金融市場之新趨勢研討會
2010 The Valuation of Mortgage Insurance Contracts with Asymmetric Double Exponential Jumps and Counterparty Default Risk 2010財金會計暨商管決策研討會
2009 Valuing Mortgage Insurance Contracts with Counterparty Risk and Capital Forbearance 2009 CTFA Annual Conference
2008 Estimation of Housing Price Jump Risks and Impact on the Valuation of Mortgage Insurance Contracts Annual Conference of Taiwan Finance Association
2008 Does the Housing Price Have Jump Risks ? Modeling, Empirical Performance, and Valuation of Mortgage Insurance Contracts The 6th NTU International Conference on Economics, Finance and Accounting
2007 The Pricing of Securitization of Life Insurance Under Mortality Dependence Fifteenth Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management
2007 The Pricing of Securitization of Life Insurance Under Mortality Dependence Annual Conference of the Asia-Pacific Risk and Insurance Association
2007 Catastrophe Equity Put in Markov Jump Diffusion Model Annual Conference of American Risk and Insurance Association
2007 Pricing Catastrophe Insurance Products in Markov Jump Diffusion Models Annual Conference of American Risk and Insurance Association
Year Project Category Project Title Participator Job Title Period Unit
2018 Research Projects 2018.08 ~ 2021.07
2017 Research Projects 2017.08 ~ 2020.07
2016 Research Projects 巨炎連結證券與再保險之最適化決策:靜態與動態分析 張嘉倩 計畫主持人 2016.08 ~ 2017.07 科技部
2015 Research Projects 不完全市場下最適消費壽險需求之理論與實證分析 張嘉倩 計畫主持人 2015.08 ~ 2016.07 科技部
2015 Research Projects 考量巨災相關與基差風險下加入巨災債券之再保險契約:定價,最適避險策略與實證分析(2/2) 張嘉倩 計畫主持人 2015.08 ~ 2016.07 科技部
2014 Research Projects 考量巨災相關與基差風險下加入巨災債券之再保險契約:定價,最適避險策略與實證分析(1/2) 張嘉倩 計畫主持人 2014.08 ~ 2015.07 科技部
2014 Research Projects 多種氣相關候巨災風險之動態尾部相關:實證,評價與避險分析(2/2) 張嘉倩 計畫主持人 2014.08 ~ 2015.07 科技部
2013 Research Projects 多種氣相關候巨災風險之動態尾部相關:實證,評價與避險分析(1/2) 張嘉倩 計畫主持人 2013.08 ~ 2014.07 行政院國科會
2011 Research Projects 2011.08 ~ 2013.07
2011 Research Projects 2011.08 ~ 2012.07
2011 Research Projects 氣候變遷指數與颶風活動─實證與巨災連結證券之評價 張嘉倩 主持人 2011.08 ~ 2012.07 國科會
2010 Research Projects 美國房價非對稱跳躍之參數估計與檢定 張嘉倩 主持人 2010.08 ~ 2011.07 國科會
2010 Research Projects 考量借款人違約相關結構與資本寬容下,抵押保險公司破產風險與風險資本率之衡量:理論與實證 張嘉倩 主持人 2010.08 ~ 2011.07 行政院國科會
2010 Research Projects 張嘉倩 國立高雄應用科技大學 金融系 Joseph-M.-Ostroy加州大學 張嘉倩 主持人 2010.05 ~ 2010.05 國科會
2009 Research Projects 抵押保險契約之設計與定價 張嘉倩 校內補助案 2009.06 ~ 2009.12 國科會
2009 Research Projects 交易對手違約風險與抵押保險契約之評價:理論與實證 張嘉倩 主持人 2009.04 ~ 2010.03 行政院國科會
2007 Research Projects 2007美國風險管理與保險學會研討會 張嘉倩 主持人 2007.01 ~ 2007.12 國科會
Honor Category Year
Inside School Honor 2014
Outside School Honor 2014
Outside School Honor 2012
Outside School Honor 2012
Outside School Honor 2011
Outside School Honor 2011
Outside School Honor 2010
Outside School Honor 2008
Outside School Honor 2007