Suh, Sangwon

Email : ssuh@cau.ac.kr
Phone : 02-820-5492
Room : 1024 Centennial
Personal Webpage :

Education

Ph. D. Economics, University of Virginia, USA. 2005
M.A., Economics, Seoul National University, MA in Economics. 1991
B.A., Economics, Seoul National University, BA in Economics. 1989

Experience

2010 ~ Present Professor, Department of Economics, Chung-Ang University
2008 ~ 2010 Associate Professor, Department of Economics, College of Economics, Hanyang University
1991 ~ 2008 Bank of Korea
2005 ~ Present Member, Financial Risk Management Committee, Korea Railroad Corporation
2014 ~ 2015 Advisory Committee Member, Finance Division, Korea Railroad Corporation
2012 ~ 2013 Financial Supervisory Commission Risk Review Committee Advisory Committee
2013 ~ 2015 Financial Supervisory Commission External Evaluation Commission
2014 ~ 2016 Financial Supervisory Commission of Mutual Savings Bank
2014 ~ Current Construction Employee Mutual Aid Association Risk Management Committee Member

Research Interests

Financial Economics, Derivatives of Financial Products, Monetary Finance

Courses

(Undergraduate) Financial Economics, Monetary Finance, Retrospective Financial Products
(Graduate) Financial Economics

Selected Publications
[학술지 게재 논문 – 영문 SSCI]

1. Measuring income and wealth inequality: A note on the Gini coefficient for samples with negative values (with Dong Yub Lee), Social Indictors Research. Forthcoming.
2. Procyclical variation margins in central clearing (with YangKyu Jin), North America Journal of Economics and Finance 70, 2024. Article 102039.
3. Conditionally-hedged currency carry trades (with Jin Ho Choi), Journal of International Financial Markets, Institutions & Money 79, 2022. Article 101591.
4. Inflation Targeting and Expectation Anchoring: Evidence from Developed and Emerging Market Economies (with Daehwan Kim), North American Journal of Economics and Finance 58, 2021. Article 101535.
5. Stock market tail risk, tail risk premia, and return predictability (with Eungyu Yoo, and Sun-Joong Yoon), Journal of Futures Markets 41, 2021. pp.1569-1596.
6. A filtered currency carry trade (with Jin Ho Choi), North American Journal of Economics and Finance 58, 2021. Article 101472.
7. Overnight stock returns, intraday returns, and firm-specific investor sentiment (with Byungoh Kim), North American Journal of Economics and Finance 55, 2021. Article 101287.
8. Asset correlation and bank capital regulation: A macroprudential perspective, International Review of Economics and Finance 62, 2019. pp. 355-378.
9. Unexploited Currency Carry Trade Profit Opportunity, Journal of International Financial Markets, Institutions & Money 58, 2019. pp. 236-254.
10. Firm-level inventory dynamics in Korea: A production-augmented (S, s) inventory model (with Bong Geul Chun and Byungjae Choi), Asian Economic Journal 32(4), 2018. pp. 417-449.
11. Sentiment-based momentum strategy (with Byungoh Kim), International Review of Financial Analysis 58, 2018. pp. 52-68.
12. Sudden stops of capital flows to emerging markets: A new prediction approach, International Review of Economics and Finance 48, 2017. pp. 289-308.
13. A combination rule for portfolio selection with transaction costs, International Review of Finance 16, 2016. pp. 393-420.
14. Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market (with Young Ju Kim), Pacific-Basin Finance Journal 38, 2016. pp. 161-176.
15. Measuring sovereign risk contagion in the Eurozone, International Review of Economics and Finance 35, 2015. pp. 45-65.
16. Implied Pricing Kernels: An Alternative Approach for Option Valuation, (with Doojin Ryu and Jangkoo Kang) Journal of Futures Markets 35(2), 2015. pp. 127-147.
17. A New Method for Forming Asset Pricing Factors from Firm Characteristics, (with Wonho Song and Bong-Soo Lee) Applied Economics 46(28), 2014. pp. 3463-3482.
18. Measuring Systemic Risk: A Factor-Augmented Correlated Default Approach, Journal of Financial Intermediation 21, 2012. pp. 341-358.
19. Control of Luck in Measuring Investment Fund Performance, (with Kyttack Hong) Asia-Pacific Journal of Financial Studies 40(3), 2011. pp. 467-493.
20. Currency hedging failure in international equity investments and an efficient hedging strategy: The perspective of Korean investors, Pacific-Basin Finance Journal 19(4), 2011. pp. 390-403.
21. Risk management lessons from “Knock-in knock-out” options disaster, (with Jaeuk Khil) Asia-Pacific Journal of Financial Studies 39(1), 2010. pp. 28-52.
22. Pseudospectral Methods for Pricing Options, Quantitative Finance 9(6), 2009, pp. 705-715.
23. Foreign Bond Investment and the Yield Curve, Asia-Pacific Journal of Financial Studies 38(1), 2009, pp. 109-132.
24. A Class of Quadratic Options for Exchange Rate Stabilization, (with Fernando Zapatero) Journal of Economic Dynamics and Controls 32, 2008, pp. 3478-3501.

[학술지 게재 논문 – 국문(국내학술지)]

1. 주가연계증권(ELS) 발행 제도 개선방안, 금융감독연구 11(2), 2024.10, 75-113.
2. 가계부채가 자산불평등에 미치는 영향 (공저자: 이동엽), 금융연구 37(4), 2023.12, 1-32.
3. Investor sentiment and shorted-stock return (with Yumi Park), Journal of Economic Development 48(4), 2023.12, 61-91. (SCOPUS)
4. 주식워런트증권 호가 규제와 시장효율성 (공저자: 진양규), 금융공학연구 22(3), 2023.9, 49-79.
5. 내부자본적정성 중심의 필라2 개편 방안 (공저자: 김정일), 금융감독연구 9(1), 2022.4, 1-48.
6. 행위자기반 시스템리스크 분석모형, 경제분석 28(1), 2022.3, 76-117.
7. A filtering strategy for improving characteristics-based portfolios, Journal of Economic Development 46(2), 2021.6, 119-153. (SCOPUS)
8. 코로나19가 금융 시스템리스크에 미친 영향, 금융안정연구 22(1), 2021.6, 3-38.
9. 암호화폐와 사회후생, 응용경제 20(4), 2018.12, 97-125.
10. 시스템리스크의 측정과 관리: 서베이와 제언, 금융안정연구 19(1), 2018.6, 131-163.
<별도 부록> 시스템리스크의 측정과 관리: 서베이와 제언, 금융안정연구 19(1), 2018.6, 164-232.
11. Portfolio selection using new factors based on firm characteristics, Journal of Economic Development 43(1), 2018.3, 77-99. (SCOPUS)
12. 중소기업 관계금융의 현황과 성과, (공저자: 위경록) 경제분석 23(2), 2017.6, 96-133.
13. 가계부채의 부실위험성 예측 및 평가: 가구자료를 활용한 지역별 분석, (공저자: 오권영) 금융감독연구 3(1), 2016.4, 75-101.
14. 수익률곡선 정보를 활용한 기대수익률 추정 및 금리정책 효과 분석, (공저자: 최재훈, 박충원) 금융연구 28(1), 2014.3, 27-64.
15. A simple method for measuring systemic risk using credit default swap data, (with Inwon Jang, Misun Ahn) Journal of Economic Development 38(4), 2013.12, 75-100.
16. 우리나라 은행부문의 시스템 리스크 측정, 금융연구 25(2), 2011.6, 57-81.
17. 금융 시스템리스크를 감안한 금융기관 자기자본 규제정책, 금융연구 24(1), 2010.3, 1-32.
18. 가계 및 주택의 이질성과 주택가격, 경제학연구 제55집 제2호, 2007.6, 123-146.
19. 바젤Ⅱ 도입과 은행의 대출행태 분석, 금융연구 20권2호, 2006.12, 149-181.
20. 국내 원․엔거래 활성화의 원화환율 안정화 효과, 경제분석 제 12권 3호, 2006 pp. 79-115.
(The Stabilizing Effects of Active KRW-JPY Transactions on KRW Exchange Movements, Economic Papers 10(1), 2007, pp. 73-107.)
21. 외국인 주식투자가 주가양극화에 미친 영향 및 시사점, 경제분석, 제12권 1호, 2006 pp. 106-150.
(The Influence of Foreigners’ Stock Investment on Korean Stock Prices and Its Implications, Economic Papers 9(2), 2006, pp. 123-162.)