- Auh, Jun Kyung
Associate Professor
- Division Finance
Ph.D. Columbia University - Lab School of Business 504
- Email junkyung.auh@yonsei.ac.kr
- Homepage Personal Homepage
EDUCATION
- Ph.D. in Finance and Economics, Columbia University (New York, NY)
- MA in Mathematics, Columbia University (New York, NY)
- BBA and BS in Economics, Korea University (Seoul, Korea)
ACADEMIC AND PROFESSIONAL EXPERIENCE
- Associate Professor in Artificial Intelligence, Yonsei University (Seoul, Korea)
- Assistant Professor in Finance, Georgetown University (Washington DC)
- Alpha Researcher, Cubist Systematic Strategies (New York, NY)
- Vice President, Quantitative Trading, Deutsche Bank (New York, NY)
TEACHING INTERESTS
- Derivatives Theory (Ph.D. and MS)
- Derivatives Markets (MBA)
- Fixed Income Markets (MBA)
- Economic Analysis (MBA)
- Corporate Finance (Undergrads)
RESEARCH INTERESTS
- Fixed Income and Derivatives Markets
- Portfolio Theory and Application
- Systematic Investments
- Machine Learning Application in Financial Markets
SELECTED PUBLICATION
- Understanding Corporate Bond Default using Machine Learning Models, Forthcoming at Asian Journal of Financial Studies
- Loan Terms and Collateral: Evidence from the Bilateral Repo Market (2022), Journal of Finance
- Liquidation Cascade and Anticipatory Trading (2023), Review of Asset Pricing Studies
- Procyclical Credit Rating Policy (2023), Asian Journal of Financial Studies
- Repo Priority Right and the Bankruptcy Code (2020), Critical Finance Review
- Factor-Based Portfolio Optimization (2023), Economics Letters
- Reaching-for-Income Behavior in the Mutual Fund Market (2023), Asian Review of Financial Research
- Real Effect of Credit Rating (2023), Korean Management Review
PROFESSIONAL ACTIVITIES AND AWARDS
- AJFS Best Paper Award, 2023
- ARFR Outstanding Paper Award, 2023
- Korean Derivatives Association Best Paper Award, 2020
- Best Paper Award at Summer Finance Round Table, 2020
- Korean Finance Association Best Paper Award, 2020
- CAFM Best Paper Award, 2016
- McGraw-Hill Distinguished Paper Award, 2015
- Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research, 2014
- Olin Business School Best Finance Ph.D. Dissertation Award, 2013
- KAFA Best Doctoral Dissertation Award, 2013
- W. Edwards Deming Doctoral Fellowship, 2013
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