研發領域
經歷
紐約哥倫比亞大學商學院訪問學者
聯合投信基金經理人
中信證券資金管理部
學歷
國立臺灣大學國際企業學研究所財務博士
台灣大學商學研究所企管碩士
國立交通大學電子工程學士
專利資料
| # | 核准編號 | 發明人 | 專利名稱 | 國別 | 類型 |
|---|
論文資料
| # | 論文名稱 | 檔案下載 |
|---|---|---|
| 1 | Lee, Chih-Wei, and Cheng-Kun Kuo, 2015. “Combining Hazard Rates with the CreditGrades Model: A Hybrid Method to Value CDS Contracts,” International Journal of Financial Engineering, Volume 2, Issue 4, pp. 1550037(1)-1550037(14). (EBSCO) | |
| 2 | Lee, Chih-Wei, and Cheng-Kun Kuo, 2015. “Examining the Validity of Credit Ratings Assigned to Credit Derivatives,” Global Credit Review, Volume 5, No. 1, pp. 49-58. (EBSCO) | |
| 3 | Kuo, Cheng-Kun, Chih-Wei Lee, and Weiru Kuo, 2013. “Forecasting Value at Risk: A Strategy to Minimize Daily Capital Costs,” ACRN Journal of Finance and Risk Perspectives, Volume 2, Issue 1, pp. 43- 53. (EBSCO) | |
| 4 | Wu, Po-Cheng, Cheng-Kun Kuo, ans Chih-Wei Lee, 2012. “Evaluation of Multi-Asset Value at Risk: Evidence from Taiwan,” Global Journal of Business Research, Volume 6, No. 4, pp. 23-34. (EconLit) | |
| 5 | Wu, Po-Cheng, Chih-Wei Lee, and Cheng-Kun Kuo, 2012. “Pricing of Payment Deferred Vulnerable Options and its Application to Vulnerable Range Accrual Notes,” The International Journal of Business and Finance Research, Volume 6, No. 2, pp. 91-100. (EconLit) | |
| 6 | Kuo, Cheng-Kun, Chih-Wei Lee, and Yong-Ga Lu, 2012. “Testing for Chaos and Nonlinearity in Taiwan Futures Returns,” International Journal of Intelligent Technologies and Applied Statistics, Volume 5, No. 1, pp. 41-56. | |
| 7 | Lee, Chih-Wei, and Ming-Jen Chang, 2011. “Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan”, Emerging Markets Finance and Trade, Volume 47, No. 2, pp. 48-61. (SSCI) | |
| 8 | Wu, Po-Cheng, Lie-Jane Kao, and Chih-Wei Lee, 2011. “How Issuer Default Risk Affects Basket Credit Linked Note Coupon Rate,” International Journal of Information and Management Sciences, Volume 22, No. 1, pp. 59-71. (TSSCI, EI) | |
| 9 | 李志偉, 張銘仁, 2011. 「聯合利率模式在跨國債券投資風險管理之應用」， 管理與系統 (Journal of Management & Systems), Volume 18, Issue 2, pp. 295-316. (TSSCI) | |
| 10 | 李志偉, 張銘仁, 黃憲彰, 羅烈明, 2009.「以動態規劃法評價員工股票選擇權」，期貨與選擇權學刊 (Journal of Futures and Options) 第2卷第1期, pp. 99-116. | |
| 11 | Kuo, Cheng-Kun, and Chih-Wei Lee, 2007. “Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure,” The Journal of Fixed Income, Volume 17, No. 1, pp. 48-58. (FLI). | |
| 12 | Lee, Chih-Wei, and Cheng-Kun Kuo, 2005. “Estimating Extreme Correlation for the EVT-Type VaR － A Copula Approach,” 證券市場發展季刊 (Review of Securities and Futures Markets), 第17卷第4期, pp. 121-154. (TSSCI) | |
| 13 | Lee, Chih-Wei, Cheng-Kun Kuo, and Jorge Luis Urrutia, 2004. “A Poisson Model with Common Shocks for CDO Valuation,” The Journal of Fixed Income, Volume 14, No. 3, pp. 72-81. (FLI). | |
| 14 | Kuo, Cheng-Kun, Hung Chen, and Chih-Wei Lee, 2002.“VaR Stress Testing for Two-stage Transmission Stress Events,”台灣管理學刊 (Taiwan Academy of Management Journal) 第2卷第2期, pp. 21-38. |
計畫資料
| # | 簽訂年度 | 計畫名稱 | 合作單位 | 計畫金額 |
|---|---|---|---|---|
| 1 | 2022 | 以城市代幣概念協助區塊鏈在金融業的應用 | 國科會 | 180000 |
| 2 | 2013 | 台灣文化創意產業新創事業創業財務策略整合治理機制之研究(II) | 國科會 | 400000 |
| 3 | 2013 | The 13th FRAP - Finance, Risk and Accounting Perspectives conference | 國科會 | 68000 |
| 4 | 2012 | 補助國內大專院校購置 S&P Compustat 企業財務分析資料庫專案 | 國科會 | 61000 |
| 5 | 2012 | World Multiconference on Systemics, Cybernetics and Informatics | 國科會 | 61000 |
| 6 | 2012 | 台灣文化創意產業新創事業創業財務策略整合治理機制之研究(I) | 國科會 | 503000 |
| 7 | 2011 | 補助國內大專院校購置S&P COMPUSTAT企業財務分析資料庫專案 | 國科會 | 77000 |
| 8 | 2010 | 電力衍生性商品定價及其風險管理之應用 | 國科會 | 446000 |
| 9 | 2009 | 行為財務在匯率避險與債券市場整合之應用 | 國科會 | 507000 |
| 10 | 2008 | 海外債券投資組合之風險管理 | 國科會 | 283650 |
| 11 | 2007 | 信用風險模式之最大概似估計法與應用 | 國科會 | 879000 |
| 12 | 2006 | 債權抵押證券之最佳設計—在不對稱資訊假設下 | 國科會 | 533000 |
| 13 | 2005 | 債權抵押證券資產群組之選擇模式—以流動性方法推導 | 國科會 | 433000 |
技轉資料
| # | 簽訂年度 | 計畫名稱 | 合作單位 | 計畫金額 |
|---|