國立臺灣大學
國際企業學系暨研究所
International Business , National Taiwan University
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Personal Information
Cheng-Kun Kuo
Ph.D. Ph.D. in Finance, 1986, University of Texas at Austin
Master M S in Management, 1980, North Carolina State University at Raleigh
Bachelor B. of L. in Economics, 1974, National Taiwan University
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Research Field
• Investments
• International Financial Markets
• Futures and Options
• Credit Risk
Research Field Summary
Education
• Ph.D. in Finance, 1986, University of Texas at Austin
• M S in Management, 1980, North Carolina State University at Raleigh
• B. of L. in Economics, 1974, National Taiwan University
Courses
• Financial Management
• Futures and Options
• International Financial Investments
• Investments
• Risk Management
Honors
No Data Available
Experience
Conference Paper
  1. C. K. Kuo, C. W. Lee and W. Kuo, December 2013, Forecasting Value at Risk: A Strategy to Minimize Daily Capital Costs, The 13th FRAP – International research conference on Finance, Risk and Accounting Perspectives, Cambridge, England, Electronic Proceeding. 國科會計畫編號：NSC 100-2410-H-002-016.
  2. C. W. Lee and C. K. Kuo, April 2012, Examing the Validity of Credit Ratings Assigned to Credit Derivatives, The 16th World Multiconference on Systemics, Cybernetics and Informatics (WMSCI 2012), 國科會計畫編號：NSC 99-2410-H-002-104。the Validity of Credit Ratings Assigned to Credit Derivatives.
  3. P. C. Wu, Y. C. Lee and C. K. Kuo, April 2011, Risk Transmitting Analysis of CDO Squared, International Conference on Business and Information, (Bangkok), ISSN: 1729-9322, http://bai-conference.org., 國科會計畫編號：NSC 99-2410-H-002-104。.
  4. P. C. Wu, C. K. Kuo, and C. W. Lee, April 2010, Integrated Value at Risk: Computation and Comparison, International Conference on Business and Information, (Kitakyushu), ISSN#: 1729-9322, 國科會計畫編號：NSC 98-2410-H-002-078。.
  5. C. W. Lee, C. K. Kuo and P. C. Wu, April 2010, A New Perspective for Comparing VaR Estimation Methods, The 59th Annual Meeting of the Midwest Finance Association, 國科會計畫編號：NSC-98-2410-H-002-078。.
  6. P. C. Wu, C. W. Lee and C. K. Kuo, April 2009, Pricing of Payment Deferred Vulnerable, International Symposium on Finance and Accounting, 國科會計畫編號：NSC 97-2410-H-424-016。.
  7. C. W. Lee and C. K. Kuo, April 2007, The Chaos Phenomena in an Anticipated Market, The 7th International Conference on Computational Intelligence in Economics and Finance, part of the 10th Joint International Conference on Informatio, 國科會計畫編號：NSC-91-2416-H-002-042。.
  8. C. W. Lee and C. K. Kuo, April 2007, Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure, The 56th Annual Meeting of the Midwest Finance Association, 國科會計畫編號：NSC-94-2416-H-002-028。.
  9. C. W. Lee and C. K. Kuo, August 2006, A Modification to the Copula Approach for Pricing Correlation-Dependent Credit Derivatives, The 6th International Conference on Computational Intelligence in Economics and Finance, part of the 9th Joint International Conference on Information, 國科會計劃編號：NSC-95-2416-H-002-023.
  10. C. K. Kuo, and C. W. Lee, June 2005, The Pricing of Correlation-Dependent Credit Derivatives, 2005年中華機率統計學會及學術研討會..
  11. C. K. Kuo, and C. W. Lee, August 2004, Value at Risk: Computation for Fixed-Income Portfolios, 2004年台灣財務學術研討會, 國科會計畫編號：NSC-90-2416-H-002-004。.
  12. Chen, H., C. K. Kuo, and C. W. Lee, August 2002, Stress Testing for Two-Stage Transmission Stress Events, 2002財務金融學術研討會.
  13. 郭震坤、巫和懋, August 1998, CME，SIMEX與TAIMEX在台股指數期貨市場之互動, 亞太地區金融市場之比較、互動與整合學術研討會論文集.
  14. 郭震坤, August 1998, 金融服務業國際競爭策略分析架構, 義守大學亞太金融中心研討會.
  15. 郭震坤, August 1998, 外匯選擇權之評價, 中華機率統計學會1998年年會論文集.
  16. 郭震坤, September 1997, 商業銀行投資銀行業務之管理政策, 台北金融研究發展基金會”投資銀行管理政策及法規研討會”.
  17. 郭震坤, August 1997, 利率衍生性商品評價的複雜性, 中國統計學社1997年年會.
  18. Kuo, C. K. ＆ R. C. Shiue, August 1995, Modeling Term Structure with Maximum Smoothness, 中國財務學會第三次年會論文集.
  19. Kuo, C. K, April 1994, Duration and Convexity Gaps: Definition and Hedging, 中國財務學會年會論文集.
  20. 郭震坤, August 1993, 技術分析短線操作獲利性研究, 證券市場之結構、行為與績效研討會，中華民國管理科學學會出版於「台灣股市投資行為與績效」.
  21. 郭震坤, August 1992, 銀行國際化之利得與風險, 台灣企業國際化研討會.
  22. 郭震坤(Kuo, Cheng-Kun), January 1991, The Valuation of Future-Style Options, Chicago Board of Trade Second Annual Asia-Pacific Futures Research Symposium, (Singapore).
  23. 郭震坤(Kuo, Cheng-Kun), January 1988, Qualifying Futures Traders - A Scientific Approach, Financial Management Association Annual Meeting, (New Orleans, USA).
Journal Paper
  1. Lee, C. W., C. K. Kuo, January 2015, Combining Hazard Rates with the CreditGrades Model: A Hybrid Method to value CDS Contracts, International Journal of Financial Engineering, 1550037-1 - 1550037-14.
  2. C. W. Lee, C. K. Kuo, April 2015, Examining the Validity of Credit Ratings Assigned to Credit Derivatives, Global Credit Review, 49 - 58, 國科會計畫編號：NSC 99-2410-H-002-104。（SSRN）.
  3. C. K. Kuo, C. W. Lee and W. Kuo, 2013, Forecasting Value at Risk: A Strategy to Minimize Daily Capital Costs, ACRN Oxford Journal of Finance and Risk Perspective, 39 - 50, U.K,ISSN 2305-7394, 國科會計畫編號：NSC 100-2410-H-002-016。（SSRN）.
  4. Kuo, C. K., C. W. Lee, and Y. G. Lu, 2012, Testing for Chaos and Nonlinearity in Taiwan Futures Returns, International Journal of Intelligent Technologies and Applied Statistics, 41 - 56, 國科會計劃編號：NSC-91-2416-H-002-042。（EBSCO） .
  5. Wu, P. C., C. K. Kuo, and C. W. Lee, 2012, Evaluation of Multi-Asset Value at Risk: Evidence from Taiwan, Global Journal of Business Research, 23 - 34, 國科會計畫編號：NSC 98-2410-H-002-078。(EconLit).
  6. Wu, P. C., C. W. Lee, and C. K. Kuo, 2012, Pricing of Payment Deferred Vulnerable Options and its Application to Vulnerable Range Accrual Notes, The International Journal of Business and Finance Research, 91 - 100, (Econlit),國科會計畫編號：NSC 97-2410-H-424-016。.
  7. Lu, Y. G. and C. K. Kuo, 2010, Volatility and Sluggishness across SGX MSCI Taiwan Index Futures and Cash Markets, International Journal of Intelligent Technologies and Applied Statistics, 513 - 533, （Econlit）.
  8. 吳柏成,郭震坤, 2008, In, Out, or On the Boundary-Exploration of Range Accrual Note Pricing, 期貨與選擇權學刊, 85 - 108.
  9. Kuo, C. K. and C. W. Lee, August 2007, Integrating Market and Credit Risk Using a Simplified Frailty Default Correlation Structure, The Journal of Fixed Income, 48 - 58, (FLI),國科會計畫編號：NSC-96-2416-H-002-019。.
  10. Lee, C. W. and C. K. Kuo, December 2005, Estimating Extreme Correlation for the EVT-Type VaR-A Copula Approach, Review of Securities and Futures Markets, 121 - 154, 國科會計畫編號：NSC-88-2416-H-002-004，NSC-90-2416-H-002-004。.
  11. Lee, C., C. Kuo and J. Urrutia, December 2004, A Poisson Model with Common Shocks for CDO Valuation, The Journal of Fixed Income, 72 - 81, (FLI).
  12. Kuo, C., H. Chen and C. Lee, August 2002, VaR Stress Testing for Two-Stage Transmission Stress Events, Taiwan Academy of Management Journal, 21 - 38, 國科會計畫編號：NSC-89-2416-H-002-003.
  13. 陳宏、郭震坤, August 2002, 財務數學(上), MATHMEDIA, 4 - 16.
  14. 陳宏、郭震坤, August 2002, 財務數學(下), MATHMEDIA, 17 - 29.
  15. Kuo, C. K., A. Malliaris and J. Urrutia, August 2000, International Diversification and Market Efficiency: Empirical Evidence from Two Global Shocks, The International Journal of Finance, (Econlit).
  16. Kuo, C. K, August 1999, A Generalized Framework for Valuing Currency Futures Options, Pan-Pacific Management Review, 49 - 58, 國科會計畫編號：NSC-87-2416-H-002-003。.
  17. 郭震坤, August 1999, 金融服務業國際競爭策略分析架構, 產業管理學報, 1 - 10.
  18. 郭震坤, December 1997, 利率衍生性商品評價的複雜性, 中國統計通訊, 國科會計畫編號：NSC-86-2416-H-002-044.
  19. Kuo, C. K., and H. Huang, August 1997, Building International Investment Banking Industry in Taiwan: A Feasibility Study, Pan-Pacific Management Review, 19 - 42, 國科會計畫編號：NSC-85-2417-H-002-0423-E6。 .
  20. Kuo, C. K., and K. Chen, January 1995, A Risk-Return Measure of Hedging Effectiveness:A Simplification, The Journal of Futures Markets, 39 - 44, U.S.A.
  21. Kuo, C. K., January 1995, Duration and Convexity Gaps: Definition and Hedging, 台灣大學管理論叢, 159 - 173.
  22. Kuo, C. K, August 1994, Technical Analysis of Nikkei 225 Stock Index Futures Using an Expert System Advisor, Commentary, The Review of Futures Markets, (FLI).
  23. Kuo, C. K., January 1993, The Valuation of Futures-Style Options, The Review of Futures Markets, 481 - 487, U.S.A.(FLI) .
  24. 郭震坤, December 1991, Barriers to International Investment, Exchange Rate Risk and World CAPM, 台灣大學管理論叢, 255 - 268.
  25. 郭震坤, October 1991, The Anti-Diversification Loomed in the Stochastic Models of the Term Structure of Interest Rates, 台灣大學社會科學論叢, 151 - 163.
  26. 郭震坤, December 1990, The Economic Implications of Marking-to-Market., 台灣大學社會科學論叢, 197 - 207.
  27. 郭震坤, January 1990, Liquidity for Marketing-to-Market, 台灣大學管理論叢, 255 - 270.
  28. Cox, S., and C. K. Kuo, January 1987, Underwriting Traders of Financial Futures, Advances in Statistical Science, 219 - 229, Kluwer Academic Publisher, U.S.A..
Book
No Data Available
Book Paper
  1. 郭震坤, March 2016, "Fundamentals of Corporate Finance, 11e" by S. Ross, R. Westerfield and B. Jordan，導讀本, The McGraw-Hill Companies, Inc 美商麥格羅‧希爾國際股份有限公司，台灣分公司。.
  2. 郭震坤, December 2016, ，"Corporate Finance," by S. Ross, R. Westerfield ,J. Jaffe and B. Jordan, 11e, The McGraw-Hill International Enterprises LLC., Taiwan branch, annotated bilingual edition..
  3. 郭震坤, 2013, "Corporate Finance," by S. Ross, R. Westerfield and J. Jaffe, 10e, The McGraw-Hill International Enterprises LLC., Taiwan branch, annotated bilingual edition..
  4. 郭震坤, 2012, 使資金成本達到最低的VaR預估策略, 國科會計劃編號：NSC-100-2410-H-002-016, 國科會.
  5. 郭震坤, 2011, 檢視信用衍生性商品信用評等之合理性, 國科會計劃編號：NSC-99-2410-H-002-104, 國科會.
  6. S. Ross, R. Westerfield and B. Jordan, 2010, Fundamentals of Corporate Finance 9/E, 郭震坤，導讀本，美商麥格羅‧希爾國際股份有限公司，台灣分 公司。, The McGraw-Hill Companies, Inc..
  7. 郭震坤, 2010, 財務管理, 滄海書局.
  8. 郭震坤, 2010, 最佳整合性風險值計算方法之研究, 國科會計劃編號：NSC-98-2410-H-002-078, 國科會.
  9. 郭震坤, 2009, 考量發行機構違約風險之連動債評價, 國科會計劃編號：NSC-97-2410-H-424-016, 國科會.
  10. 郭震坤, 2008, 考量Frailty Factors之Credit Default Swap定價, 國科會計劃編號：NSC-96-2416-H-002-009, 國科會.
  11. S. Ross, R. Westerfield and B. Jordan, 2008, Fundamentals of Corporate Finance ,8e, 郭震坤，導讀本，美商麥格羅‧希爾國際股份有限公司，台灣分 公司。, The McGraw-Hill Companies, Inc..
  12. 郭震坤, 2007, 信用衍生性商品之定價－一個改進的Copula模式, 國科會計劃編號：NSC-95-2416-H-002-023, 國科會.
  13. S. Ross, R. Westerfield and B. Jordan, 2007, Fundamentals of Corporate Finance ,7e, 郭震坤，導讀本，美商麥格羅‧希爾國際股份有限公司，台灣分公司。, The McGraw-Hill Companies, Inc..
  14. 郭震坤, 2006, 倒帳相關性估計－一個簡化模式, 國科會計劃編號：NSC-94-2416-H-002-028, 國科會.
  15. 郭震坤, 2003, 台股指數期貨市場非線性與混沌現象之測試, 國科會計劃編號：NSC-91-2416-H-002-042, 國科會.
  16. 雷立芬,郭震坤, 2002, 台灣發展商品期貨之可行性, 台灣期貨交易所研究報告.
  17. 郭震坤, 2002, 銀行債券組合VaR的統計分配與波動性, 國科會計畫編號：NSC-90-2416-H-002-004, 國科會.
  18. 郭震坤, July 2001, VaR風險管理系統的延伸－夏普法則的應用, 國科會計畫編號：NSC-89-2416-H-002-060。, 國科會.
  19. 郭震坤,林修葳, 2001, 民營化之後電訊業的發展：財務決策, 財團法人台灣大哥大基金會研究計畫.
  20. 郭震坤, July 2000, VaR風險管理系統的壓力測試, 國科會計畫編號：NSC-89-2416-H-002-003。, 國科會.
  21. 郭震坤, July 1999, 風險管理：VaR系統設計與參數估計, 國科會計畫編號：NSC-88-2416-H-002-004。, 國科會.
  22. 郭震坤, July 1998, CME，SIMEX與TAIMEX在台股指數期貨市場, 國科會計畫編號：NSC-87-2418-H-002-006-E24。, 國科會.
  23. 郭震坤, July 1998, 外匯期貨選擇權之評價, 國科會計畫編號：NSC-87-2416-H-002-003。, 國科會.
  24. 郭震坤(Kuo, Cheng-Kun), July 1997, 動態利率模式應用研究, 國科會計畫編號：NSC-86-2416-H-002-044。, 國科會.
  25. 郭震坤(Kuo, Cheng-Kun), July 1996, 我國建立國際性投資銀行業競爭力研究, 國科會計畫編號：NSC-85-2417-H-002-042-E6。, 國科會.
  26. 郭震坤(Kuo, Cheng-Kun), July 1995, 台灣地區利率期貨契約設計之研究, 國科會計畫編號：NSC-84-2416-H-002-009-A3。, 國科會.
  27. 郭震坤(Kuo, Cheng-Kun), July 1995, 利率期限結構模式之建立－樣條函數之應用, 國科會計畫編號：NSC-83-0301-H-002-068。, 國科會.
  28. 郭震坤(Kuo, Cheng-Kun), July 1992, 技術分析短線操作獲利性研究, 國科會計畫編號：NSC-79-0301-H-002-65P。, 國科會.
  29. 郭震坤, 1991, 銀行國際化與新業務開發, 財政部金融局委託研究報告.
  30. 郭震坤, 1991, 彰濱工業區開發之研究, 經濟部工業局委託研究報告.
  31. 郭震坤, 1991, 台糖公司土地資源規劃研究, 台糖公司委託研究報告.
  32. Martin, J., S. Cox, R. MacMinn, and C. K. Kuo, January 1988, Futures Markets:Theory and Practice, The Dryden Press.
Technical Report
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Other
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