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蔡明憲教授兼任系主任

http://fin.nuk.edu.tw/ezfiles/3/1003/img/84/182672355.png

姓  名

蔡明憲

Ming-Shann Tsai

e-mail

mstsai@nuk.edu.tw

學  歷

國立中山大學財務管理博士

專  長

財務工程、期貨與選擇權、金融市場、固定收益證券

開設課程

財務風險管理、微積分

個人主頁

https://sites.google.com/site/mingshanntsai514/home

聯絡方式

07-5910000轉分機3300

研究室

M01-514

研究計畫

1.    使用 Levy 模型評價可違約債券, 101-2410-H-390-014-, 2012/8/1~2013/7/31

2.    使用強度模型評價可轉換公司債, 100-2410-H-390-028-, 2011/8/1~2012/7/31

3.    風險性資產的封閉解-在設定違約強度服從Gamma分時,   99-2410-H-390-035-, 2010/8/1~2011/10/31

4.     亞太地區REITs和股價關係在門檻共整合模型下的研究, 98-2410-H-260-017-,   2009/8/1~2011/7/31

5.     銀行巴塞爾協議下零售型信用風險之曝險額的計算─以極值理論為基礎, 94-2416-H-260-021-, 2005/8/1~2006/7/31

6.      附有最低保證之投資型保單定價的研究, 93-2416-H-260-018-,  2004/8/1~2005/7/31

7.      美式選擇權定價理論下存款保險費率與商業銀行風險移轉行為研究,92-2416-H- 260-011-,  2003/8/1~2004/7/31

8.      補助國內大專校院購置S&P COMPUSTAT財金分析資料庫專案, 92-2420-H-260- 001-ED, 2003/7/1~2004/1/31

9.      不同美式外匯選擇權模型的定價誤差及誤差和影響因素的關係, 91-2416-H-260-011-,  2002/8/1~2003/7/31

10.  補助國內大專校院購置S&P COMPUSTAT財金分析資料庫專案, 91-2420-H-260-001- ED, 2002/8/1~2003/1/31

11.  選擇權理論下台灣人壽保險費率與生命力變異數的分析, 90-2416-H-260-005-,  2001/8/1~2002/7/31

12.  美式選擇權之封閉解-隱含相信模型下隱含相信值之動態過程及預測能力研究, 89-

            2416-H-260-016-,2000/11/1~2001/7/31

期刊論文

1. Tsai, M. S., S.L. Chiang and Miller, C. (2016), A Study on the Distribution of the Foreclosure Lag, Its Expected Capital Opportunity Cost and Its Analyses, Journal of International Financial Markets, Institutions & Money (Accepted). (SSCI, Impact Factor = 1.237, Rank=29/88=32.9%, BUSINESS, FINANCE) 科技部財務領域 A- 級期刊;本人為第一作者。

2. Tsai, M. S. and S.L. Chiang, (2016), The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions, International Review of Finance, (Accepted). (SSCI, Impact Factor = 1.1794, Rank=34/88=38.6%, BUSINESS, FINANCE)科技部財務領域 B+ 級期刊;本人為第一作者。

3. Chiang, S. L., T. T. Yang, M. S. Tsai, (2016), Assessing Mortgage Servicing Rights Using a Reduced-Form Model: Considering the Effects of Interest Rate Risks, Prepayment and Default Risks, and Random State Variables, Journal of Housing Economics, 32, 29-46. (SSCI, Impact Factor = 0.5, Rank=241/333=72.4%, ECONOMICS)科技部經濟領域 C 級期刊;本人為通訊作者。

4. Chiang, S. L. and M. S. Tsai (2016, Mar). Analyzing an Elder’s Desire for a Reverse Mortgage Using an Economic Model That Considers House Bequest Motivation, Random Death Time and Stochastic House Price. International Review of Economics and Finance, 42, 206-21. (SSCI, Impact Factor = 1.704, 14/88=15.9%, BUSINESS, FINANCE)科技部財務領域 B+ 級期刊;本人為通訊作者。

5. Tsai, M. S. and S.L. Chiang (2015, Apr). A General Pricing Model for a Mortgage Insurance Contract Considering the Effects of the Random Multivariable on Termination Probabilities and the Loss Rate. Housing Policy Debate, 25(2), 289-307. (SSCI, Impact Factor = 1.071, Rank=17/39=43.6%, URBAN STUDIES),本人為第一作者。

6. Lee, S.C., C.T. Lin, and M.S. Tsai (2015, Jan). The pricing of deposit insurance in the presence of systematic risk. Journal of Banking & Finance, 51,1-11. (SSCI, Impact Factor = 1.299, Rank=27/88=30.7%, BUSINESS, FINANCE) 科技部財務領域A_Tier_1級期刊。

7. Lee, S.C., J.L. Chen and M.S. Tsai (2014, Jun). An Empirical Investigation of the Ohlson Model Panel Cointegration Approach, Australasian Accounting Business and Finance Journal, 8(2),35-51.

8. Tsai, M.S., S.C. Lee, J.L. Chen, and S.L. Wu (2014, Mar). A New Method to Evaluate Equity-Linked Life Insurance. Contemporary Management Research, 10(1),23-32,科技部2014管理類B級期刊;本人為第一作者。

9. Tsai, M.S. Tsai and S.L. Chiang (2013). The Asymmetric Price Adjustment between REIT and Stock Markets in Asia-Pacific markets. Economic Modelling, Vol. 32.P. 91-99. (SSCI, Impact Factor = 0.827, Rank=173/333=51.9%, ECONOMICS)NSC 98-2410-H-260-017科技部經濟領域 C 級期刊;本人為第一作者.

10. Liao, S.L., M.S. Tsai, J.H. Chen, and C.H. Li (2012). Valuation of Convertible Bond under Levy Process with Default Risk. Journal of the Chinese Statistical, Vol. 50, p. 48-70.

11. Tsai, M.S. and S. L. Chiang (2012). A Closed-Form Pricing Formula for Mortgages Incorporating Termination Hazard Rates and Recovery Rate as Correlated Stochastic Processes with Jump Components. The Journal of Derivatives, Vol.19, No.3, 49-68. (SSCI),科技部財務領域A_tier_2級期刊;本人為第一作者。

12. Chiang, S.L., M.S. Tsai and C.O. Chang (2011, Apr). A Study on Asymmetric Price Adjustment for the Housing Prices and Auction Prices in Taipei (in Chinese). Journal of Management and Systems, Vol.18, No. 3, P.317-340. (TSSCI).

13. Tsai, M.S. and L.C. Chen (2011, Jan). The calculation of capital requirement using Extreme Value Theory. Economic Modelling, 28,P 390-395. (SSCI)NSC 94-2416-H-260-021,本人為第一作者、通訊作者.

14. Tsai, M.S., S.J. Chiang and C.H. Lin (2010, Sep). A study of REITs in the Asia-Pacific area: volatility characters and their long-term relationship with stock indices. Applied Financial Economics, 1-4. NSC 98-2410-H-260-017. (FLI, EconLit)。科技部財務領域B+級期刊;本人為第一作者、通訊作者。

15. Chen, S.H., M. S. Tsai, and P.Y.Yang (2010, Mar). Measurement Model of Risk Compensation: Evidences from Asian Emerging Markets. Asia Pacific Management Review. (TSSCI).

16. Chiang, S.L. and M.S. Tsai (2009, Jul). Pricing a defaultable bond with a stochastic recovery rate. Quantitative Finance. (SSCI),科技部財務領域A-級期刊;本人為通訊作者。

17. Tsai, M. S., S. L. Liao and S. L. Chiang* (2009, Jun). Analyzing Yield, Duration and Convexity of Mortgage Loans under Prepayment and Default Risks. Journal of Housing Economics 18, 92-103. (SSCI). 本人為第一作者

18. Szu-Lang Liao*, Ming-Shann Tsai, Shu-Ling Chiang (2008, Mar). Closed-Form Mortgage Valuation Using Reduced-Form Model. Real Estate Economics (SSCI), v36,313-347. (SSCI). 為國科會99年度財務學門不動產子領域排名第一名期刊,分級:A等級。.

19. Shu-Hsien Chen*, Ming-Shann Tsai, Fang-Ling Liao (2007, Sep). An Alternative Method for Measuring Risk Compensation of Event Jumps. Applied Financial Economics Letters, 16. (EconList). 為國科會99年度財務學門一般財務子領域期刊,分級:B等級。.

20. 蔡明憲*,徐守德,廖四郎(200005月)。人壽保險費率的分析-從選擇權理論觀點。風險管理學報1,P.1-P.24。(TSSCI觀察名單)。

21. 蔡明憲*,徐守德,廖四郎,許溪南(200004月)。美式選擇權--隱含相信模型及美國S&P100指數選擇權的應用。中國財務學刊1,P.33-P.66。(TSSCI)。

22. 蔡明憲*,徐守德(2000--月)。台灣新商業銀行存款保險費率與風險移轉行為研究。中山管理評論4,P.691-P.708。(TSSCI)。

23. 蔡明憲*,郭照榮,江淑貞(199906月)。台灣上市公司不同產業的外匯風險之實証研究。亞太管理評論2,P.131-P.146。(TSSCI觀察名單)。

24. 蔡明憲*,徐守德(1999--月)。台灣存款保險費率與商業銀行風險移轉行為研究。證券市場發展季刊2,P.1-P.28。(TSSCI)。

 

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