Jin-Chuan
DUAN, Jin-Chuan Cycle & Carriage Professor of Finance Department:  Finance Office:  BIZ1 7-70 Contact:  (65) 6516 3033 Email:  bizdjc@nus.edu.sg Personal website
Research
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Selected
Publications
Awards &
Honors
Educational
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Academic
Experience
    • Credit Risk
    • Banking And Insurance
    • Financial Econometrics
    • Financial Engineering And Risk Management
    • Journal Articles
      • Forward-Looking Market Risk Premium, with W. Zhang (2014), Management Science, Volume 60 Issue 2, 521-538
      • Density-Tempered Marginalized Sequential Monte Carlo Samplers, with A. Fulop (2014), Journal of Business & Economic Statistics
      • Acturial Par Spread and Empirical Pricing of CDS by Decomposition, (2014), Global Credit Review, 4, 51-65
      • Multiperiod Corporate Default Prediction - A Forward Intensity Approach, with J. Sun and T Wang (2012), Journal of Econometrics, Volume 170, Issue 1, 191–209
      • Measuring Distance-to-Default for Financial and Non-Financial Firms, with T Wang (2012), Global Credit Review, 2, 95-108
      • A Public Good Approach to Credit Ratings - from Concept to Reality, with E. van Laere (2012), Journal of Banking and Finance , 36(12), 3239-3247
      • Statistical Credit Rating Methods, with K Shrestha (2011), Global Credit Review, 1, 43-64
      • A Stable Estimator for the Information Matrix under EM for Dependent Data, with A. Fulop (2011), Statistics and Computing, 21, 83-91
      • Jump and Volatility Risk Premiums Implied by VIX, with C. Yeh (2010), Journal of Economic Dynamics & Control, 34, 2232-2244
      • Systematic Risk and the Price Structure of Individual Equity Options, with J. Wei (2009), Review of Financial Studies , 22, 1981-2006
      • Estimating the Structural Credit Risk Model When Equity Prices are Contaminated by Trading Noises, with A. Fulop (2009), Journal of Econometrics, 150, 288-296
      • Convergence Speed of GARCH Option Price to Diffusion Option Price, with Y. Wang and J. Zou (2009), International Journal of Theoretical and Applied Finance, vol. 12, issue 03, 359-391
      • Is Long Memory Necessary? An Empirical Investigation of Nonnegative Interest Rate Processes, with K. Jacobs (2008), Journal of Empirical Finance, 15, 567-581
      • Approximating GARCH-Jump Models, Jump-Diffusion Processes, and Option Pricing, with Z. Sun and P. Ritchken (2006), Mathematical Finance, 9(3), 21-52
      • Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically, with G. Gauthier, C. Sasseville and J.G. Simonato (2006), Journal of Computational Finance, 9(3), 41-69
      • Executive Stock Options and Incentive Effects due to Systematic Risk, with J. Wei (2005), Journal of Banking and Finance , 29, 1185-1211
      • Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk, with M.T. Yu (2005), Journal of Banking and Finance , 29(10), 2435-2454
      • Option Valuation with Co-Integrated Asset Prices, with S. Pliska (2004), Journal of Economic Dynamics & Control, 28(4), 727-754
      • Approximating American Option Prices in the GARCH Framework, with C. Sasseville, G. Gauthier and J.G. Simonato (2003), Journal of Futures Markets, 23(10), 915-929
      • Pricing Discretely Monitored Barrier Options by a Markov Chain, with E. Dudley, G. Gauthier and J.G. Simonato (2003), Journal of Derivatives, 10(4), 9-31
      • Maximum Likelihood Estimation of Deposit Insurance Value with Interest Rate Risk, with J.G. Simonato (2002), Journal of Empirical Finance, 9 (1), 109-132
      • Option Pricing under Regime Switching, with P. Ritchken and I. Popova (2002), Quantitative Finance, 2, 116-132
      • Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach, with H. Zhang (2001), Journal of Banking & Finance, Volume 25, Issue 11, 1989–2014
      • Asymptotic Distribution of the EMS Option Price Estimator, with G. Gauthier and J.G. Simonato (2001), Management Science, 47(8), 1122-1132
      • American Option Pricing under GARCH by a Markov Chain Approximation, with J.G. Simonato (2001), Journal of Economic Dynamics & Control, 25(11), 1689-1718
    • Fellow of the Society for Financial Econometrics - 2013
    • Best Paper Award, "Multiperiod Corporate Default Prediction - A Forward Intensity Approach," 2010 (with Jie Sun and Tao Wang), 2010 National Taiwan University International Conference of Finance - 2010
    • Academician of Academia Sinica, Inducted at its biennial convocation in Taipei - 2008
    • Best Paper in Derivatives Award, "Is Systematic Risk Priced in Options, 2005 (with J. Wei), Northern Finance Association Conference, Vancouver, Canada. - 2005
    • Roger Martin and Nancy Lang Award for Research Excellence, Joseph L. Rotman School of Management, University of Toronto - 2003
    • Sydney Futures Exchange Award (for the best paper presented on derivatives), "Pricing Hang Seng Index Option around the Asian Financial Crisis - A GARCH Approach, 1999 (with H. Zhang)", 12th Australasian Finance and Banking Conference, University of New South Wales, Sydney, Australia - 1999
    • Best Paper Award, "Pricing Hang Seng Index Option around the Asian Financial Crisis – A GARCH Approach", 8th Conference on the Theories and Practices of Securities and Financial Markets, National Sun Yat-sen University, Kaoshiung, Taiwan. - 1999
    • Senior Wei Lun Fellow, Hong Kong University of Science and Technology - 1998
    • Iddo Sarnat Award, (for the best paper published in the Journal of Banking and Finance, 1993). Loan Commitments, Investment Decisions and the Signaling Equilibrium, (with S.H. Yoon) - 1994
    • Ph.D., Finance, University of Wisconsin, Madison, USA, 1986
    • MSc, Finance, University of Wisconsin, Madison, USA, 1984
    • MBA, University at Albany, The State University of New York, USA, 1982
    • BSc, National Taiwan University, 1978
    • Director of Risk Management Institute, National University of Singapore, 2007 - 2014
    • Prof of Finance & Manulife Chair in Financial Svcs, University of Toronto (on leave from July 2007), 2000 - 2009
    • PhD Program Director, Rotman School of Management, University of Toronto, 2003 - 2006
    • Associate Professor and Professor of Finance, Hong Kong University of Science & Technology (on leave from July 2000), 1996 - 2002
    • Assistant and Associate Professor of Finance, McGill University, 1986 - 1996
    • Finance Area Coordinator, McGill University, 1994 - 1996

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