| Name | MENG-LAN YUEH |
|---|---|
| Office Tel No. | 81129 |
| Research Expertise | Financial Engineering、Interest Rate Models、 Risk Management、Credit Risk Model |
| Teaching Field | Financial Engineering、Interest Rate Models、 Risk Management、Credit Risk Model |
| Job Title | Associate Professor |
| Year | Paper Title |
|---|---|
| 2024 | Meng-Lan Yueh*;Cho-Jui Wu, 2024.03, 'Inferring the Implied Volatility of SOFR-Based Swaptions, ' Journal of Derivatives, Vol.34, No.Summer, pp.1.(SSCI)(*為通訊作者), vol. 118155, Mar. 2024 |
| 2024 | Meng-Lan Yueh*;Ann Ling-Ching Chan;Yi-Ting Hsieh;Edward Lee, 2024.03, 'Information Environment and Participation of Foreign Banks in US Syndicated Loan Market, ' Journal of Banking & Finance, Vol.161, pp.107107.(SSCI)(*為通訊作者), vol. 118154, Mar. 2024 |
| 2021 | Miu, Peter;Yueh, Meng-Lan*, 2021.12, 'A comment on “Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs”, ' Journal of Futures Markets, Vol.41, No.12, pp.2079-2082.(SSCI)(*為通訊作者), vol. 434675, Dec. 2021 |
| 2021 | Miu, Peter;Yueh, Meng-Lan*;Han, Jing, 2021.03, 'Performance of Japanese Leveraged ETFs, ' Pacific-Basin Finance Journal, Vol.65, pp.101490.(SSCI)(*為通訊作者), vol. 430358, Mar. 2021 |
| 2018 | A. L-C Chan*;Yu-Ting Jian;Meng-Lan Yueh;Yi-Ting Hsieh, 2018.05, 'The Effect of the Board of Directors’ Banking Experience on Syndicated Loan Features, ' Journal of Contemporary Accounting, Vol.Vol. 19, No.No. 1, pp.pp. 41-75.(TSSCI)(*為通訊作者), vol. 420850, May. 2018 |
| 2016 | Meng-Lan Yueh*;Hsin-Yu Chiu;Shou-Hsun Tsai, 2016.12, 'Valuations of Mortality-Linked Structured Products, ' Journal of Derivatives, Vol.24, No.2, pp.66-87.(SSCI)(*為通訊作者), vol. 412166, Dec. 2016 |
| 2015 | 岳夢蘭, 2015.09, 'Does Financial Statement Information Affect Cross-Border Lending by Foreign Banks in the Syndicated Loan Market? Evidence from a Natural Experiment, ' Journal of Accounting and Public Policy, Vol.34, No.5, pp.520-547.(SSCI), vol. 408330, Sep. 2015 |
| 2010 | Meng-Lan Yueh*, 2010.03, 'An Empirical Analysis of CPPI Strategies for Credit Index Tranches, ' Journal of Fixed Income, Vol.19, No.4, pp.22-36.(FLI)(*為通訊作者), vol. 306451, Mar. 2010 |
| 2010 | Meng-Lan Yueh*;Mark C. W. Wong, 2010.03, 'Analytical VaR and Expected Shortfall for Quadratic Portfolios, ' Journal of Derivatives, Vol.2010, No.1, pp.1-12.(SSCI)(*為通訊作者), vol. 303710, Mar. 2010 |
| 2009 | 江彌修*;岳夢蘭;林恩平, 2009.03, '條件獨立假設下合成型擔保債權憑證之評價與避險 / 財務金融學刊, ' 財務金融學刊, Vol.17, No.1, pp.1-40.(TSSCI)(*為通訊作者), vol. 273101, Mar. 2009 |
| 2008 | Sharon S. Yang*;Meng-Lan Yueh;Chun-Hua Tang, 2008.06, 'Valuation of the Interest Rate Guarantee Embedded in Defined Contribution Pension Plans / Insurance: Mathematics and Economic, ' Insurance: Mathematics and Economic, Vol.Vol. 42, pp.920-934.(SSCI)(*為通訊作者), vol. 273095, Jun. 2008 |
| 2008 | 江彌修*;岳夢蘭;李蕙君, 2008, '雙層保護合成型擔保債權憑證之評價與風險特徵研究 / 經濟論文, ' 經濟論文, Vol.第36卷, No.第3期, pp.277-314.(TSSCI)(*為通訊作者), vol. 273100, 2008 |
| 2007 | Mi-Hsiu Chiang*;Meng-Lan Yueh;Ming-Hua Hsieh, 2007.10, 'An Efficient Algorithm for Basket Default Swap Valuation / Journal of Derivatives, ' Journal of Derivatives, Vol.Vol. 15, No.No. 2, pp.8-19.(SSCI)(*為通訊作者), vol. 273094, Oct. 2007 |
| Project Category | Year | Project Title | Participator | Job Title | Period | Unit |
|---|---|---|---|---|---|---|
| MOST Projects | 113 | 尾端風險與加密貨幣的橫截面報酬 | YUEH MENG-LAN | Principal Investigator | 2024.08 ~ 2025.07 | National Science and Technology Council |
| MOST Projects | 112 | 無套利原則下的 SOFR 交換選擇權定價 | YUEH MENG-LAN | Principal Investigator | 2023.08 ~ 2025.03 | National Science and Technology Council |
| MOST Projects | 111 | SOFR交換選擇權的一致性定價 | 岳夢蘭 | Principal Investigator | 2022.08 ~ 2023.07 | 國立政治大學 |
| MOST Projects | 111 | SOFR交換選擇權的一致性定價 | YUEH MENG-LAN | Principal Investigator | 2022.08 ~ 2024.07 | National Science and Technology Council |
| MOST Projects | 110 | 模型化 SOFR 利率的期間結構 | YUEH MENG-LAN | Principal Investigator | 2021.08 ~ 2023.07 | National Science and Technology Council |
| MOST Projects | 109 | 展望理論和投資人情緒 | YUEH MENG-LAN | Principal Investigator | 2020.08 ~ 2022.07 | National Science and Technology Council |
| MOST Projects | 108 | 信用市場情緒及債券報酬 | YUEH MENG-LAN | Principal Investigator | 2019.08 ~ 2021.07 | National Science and Technology Council |
| MOST Projects | 107 | 亞洲上市的槓桿型ETF之績效表現 | YUEH MENG-LAN | Principal Investigator | 2018.08 ~ 2019.12 | National Science and Technology Council |
| MOST Projects | 106 | 槓桿型ETF選擇權的資訊內涵 | YUEH MENG-LAN,YUEH MENG-LAN | Principal Investigator | 2017.08 ~ 2018.12 | National Science and Technology Council |
| MOST Projects | 105 | 貨幣政策的衝擊對信用價差的影響 | YUEH MENG-LAN | Principal Investigator | 2016.08 ~ 2017.07 | National Science and Technology Council |
| Other Projects | 105 | 台股股權衍生性商品履約保證可行性研究 | LEE JIE-HAUN,YUEH MENG-LAN | 2016.01 ~ 2016.04 | ||
| MOST Projects | 104 | 銀行往來關係和公司債首次發行之折價效果探討 | YUEH MENG-LAN | Principal Investigator | 2015.08 ~ 2016.07 | National Science and Technology Council |
| MOST Projects | 102 | 沙賓法案和聯貸債權(2/2) | YUEH MENG-LAN | Principal Investigator | 2014.08 ~ 2015.07 | National Science and Technology Council |
| MOST Projects | 102 | 沙賓法案和聯貸債權(1/2) | YUEH MENG-LAN | Principal Investigator | 2013.08 ~ 2014.07 | National Science and Technology Council |
| MOST Projects | 100 | 流動性風險探討─以美國公司債/信用違約交換市場為例（2/2） | YUEH MENG-LAN | Principal Investigator | 2012.08 ~ 2014.02 | National Science and Technology Council |
| MOST Projects | 100 | 流動性風險探討─以美國公司債/信用違約交換市場為例（1/2） | YUEH MENG-LAN | Principal Investigator | 2011.08 ~ 2012.07 | National Science and Technology Council |
| MOST Projects | 99 | 英國公開發行與非公開發行公司之債權契約研究 | YUEH MENG-LAN | Principal Investigator | 2010.12 ~ 2012.04 | National Science and Technology Council |
| MOST Projects | 99 | 一籃子信用違約交換之評價-考量交易對手違約風險 | YUEH MENG-LAN | Principal Investigator | 2010.08 ~ 2012.07 | National Science and Technology Council |
| MOST Projects | 98 | 固定比例投資組合保險策略在信用投資組合之應用及實證分析 | YUEH MENG-LAN | Principal Investigator | 2009.08 ~ 2010.12 | National Science and Technology Council |
| Other Projects | 98 | 我國推出ETF期貨或選擇之可行性研究 | CHIANG MI-HSIU,YUEH MENG-LAN | 2009.07 ~ 2009.11 | ||
| MOST Projects | 97 | 固定期間信用違約交換之評價 | YUEH MENG-LAN | Principal Investigator | 2008.08 ~ 2009.09 | National Science and Technology Council |
| Country | School Name | Department | Degree | Duration |
|---|---|---|---|---|
| UNITED KINGDOM | The University of Warwick | Finance | 博士 | 1997.10 ~ 2002.12 |
| TAIWAN, REPUBLIC OF CHINA | 國立臺灣大學 | 經濟學系 | 碩士 | 1991.09 ~ 1993.06 |
| Experience Category | Organization Title | Department | Job Title | Duration |
|---|---|---|---|---|
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Finance | 副教授 | 2013.01 ~ Up to today |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Finance | 副教授 | 2010.08 ~ 2013.01 |
| Current | NATIONAL CHENGCHI UNIVERSITY | Department of Finance | 助理教授 | 2008.08 ~ 2010.08 |
| Honor Category | Year | Award Name | Awarding Unit |
|---|---|---|---|
| Inside School | 112 | 國科會研究獎勵 | 科技部(國科會) |
| Inside School | 111 | 國科會研究獎勵 | 科技部(國科會) |
| Inside School | 110 | 國科會研究獎勵 | 科技部(國科會) |
| Inside School | 104 | 資深優良教師(10年) | 國立政治大學 |
