Jin-Chuan

DUAN, Jin-Chuan

Professor
Jardine Cycle & Carriage Professor of Finance


FINANCE

(65) 6516 3033
bizdjc@nus.edu.sg
BIZ1 7-70
Personal website

Recognition & Awards

  • 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

Educational Qualifications

  • 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

Academic Experience

  • 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

Selected Publications

Duan, Jin-Chuan (2016), "Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure", Journal of Econometrics, 194, 2, 349-359
Duan, Jin-Chuan and Weimin Miao (2016), "Default Correlations and Large-Portfolio Credit Analysis", Journal of Business & Economic Statistics, 34, 4, 536-546
Duan, Jin-Chuan and Fulop A (2015), "Density-Tempered Marginalized Sequential Monte Carlo Samplers", Journal of Business & Economic Statistics, 33, 2, 192-202
Duan, Jin-Chuan and Wang Wei-Ting (2017), "Estimating Distance-to-Default with a Sector-Specific Liability Adjustment via Sequential Monte Carlo", 73-91, Applied Quantitative Finance, Springer
Duan, Jin-Chuan and Zhang Changhao (2015), "Non-Gaussian Bridge Sampling with an Application"

Selected Publications

27

Journals

3

Books

2

Papers

Journal Articles

Duan, Jin-Chuan (2016), "Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure", Journal of Econometrics, 194, 2, 349-359
Duan, Jin-Chuan and Weimin Miao (2016), "Default Correlations and Large-Portfolio Credit Analysis", Journal of Business & Economic Statistics, 34, 4, 536-546
Duan, Jin-Chuan and Fulop A (2015), "Density-Tempered Marginalized Sequential Monte Carlo Samplers", Journal of Business & Economic Statistics, 33, 2, 192-202
Duan, Jin-Chuan and Zhang, Weiqi (2014), "Forward-Looking Market Risk Premium", Management Science, 60, 2, 521-538
Duan, Jin-Chuan (2014), "Actuarial par spread and empirical pricing of CDS by decomposition", Global Credit Review, 4, 51-65
Duan, Jin-Chuan and E. van Laere (2012), "A Public Good Approach to Credit Ratings - from Concept to Reality", Journal of Banking and Finance, 36, 12, 3239-3247
Duan, Jin-Chuan, SUN Jie and WANG Tao (2012), "Multiperiod corporate default prediction-A forward intensity approach", Journal of Econometrics, 170, 1, 191-209
Duan, Jin-Chuan and T Wang (2012), "Measuring Distance-to-Default for Financial and Non-Financial Firms", Global Credit Review, 2, 1, 95-108
Duan, Jin-Chuan and K Shrestha (2011), "Statistical Credit Rating Methods", Global Credit Review, 1, 43-64
Duan, Jin-Chuan and Fulop, Andras (2011), "A Stable Estimator for the Information Matrix under EM for Dependent Data", Statistics and Computing, 21, 83-91
Duan, Jin-Chuan and Yeh, Chung-Ying (2010), "Jump and Volatility Risk Premiums Implied by VIX", Journal of Economic Dynamics & Control, 34, 2232-2244
Duan, Jin-Chuan and Andras Fulop (2009), "Estimating the Structural Credit Risk Model When Equity Prices are Contaminated by Trading Noises", Journal of Econometrics, 150, 2, 288-296
Duan, Jin-Chuan and Jason Wei (2009), "Systematic Risk and the Price Structure of Individual Equity Options", Review of Financial Studies, 22, 5, 1981-2006
Duan, Jin-Chuan, Yazhen Wang and Jian Zou (2009), "Convergence Speed of GARCH Option Price to Diffusion Option Price", International Journal of Theoretical and Applied Finance, 12, 3, 359-391
Duan, Jin-Chuan and Jacobs, Kris (2008), "Is Long Memory Necessary? An Empirical Investigation of Nonnegative Interest Rate Processes", Journal of Empirical Finance , 15, 3, 567-581
Duan, Jin-Chuan, Peter Ritchken and Zhiqiang Sun (2006), "Approximating GARCH-Jump Models, Jump-Diffusion Processes, and Option Pricing", Mathematical Finance, 16, 1, 21-52
Duan, Jin-Chuan, G. Gauthier, J.G. Simonato and C. Sasseville (2006), "Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically", Journal of Computational Finance, 9, 3, 41-69
Duan, Jin-Chuan and Min-Teh Yu (2005), "Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk", Journal of Banking and Finance, 29, 10, 2435-2454
Duan, Jin-Chuan and Jason Wei (2005), "Executive Stock Options and Incentive Effects due to Systematic Risk", Journal of Banking and Finance, 29, 5, 1185-1211
Duan, Jin-Chuan and Stanley R. Pliska (2004), "Option Valuation with Co-Integrated Asset Prices", Journal of Economic Dynamics & Control, 28, 4, 727-754
Duan, Jin-Chuan, G. Gauthier, C. Sasseville and J.G. Simonato (2003), "Approximating American Option Prices in the GARCH Framework", Journal of Futures Markets, 23, 10, 915-929
Duan, Jin-Chuan, E. Dudley, G. Gauthier and J.G. Simonato (2003), "Pricing Discretely Monitored Barrier Options by a Markov Chain", Journal of Derivatives, 10, 4, 9-31
Duan, Jin-Chuan and J.G. Simonato (2002), "Maximum Likelihood Estimation of Deposit Insurance Value with Interest Rate Risk", Journal of Empirical Finance , 9, 1, 109-132
Duan, Jin-Chuan, I. Popova and P. Ritchken (2002), "Option Pricing under Regime Switching", Quantitative Finance, 2, 2, 116-132
Duan, Jin-Chuan and J.G. Simonato (2001), "American Option Pricing under GARCH by a Markov Chain Approximation", Journal of Economic Dynamics & Control, 25, 11, 1689-1718
Duan, Jin-Chuan and H. Zhang (2001), "Pricing Hang Seng Index options around the Asian financial crisis – A GARCH approach", Journal of Banking & Finance, 25, 11, 1989–2014
Duan, Jin-Chuan, G. Gauthier and J.G. Simonato (2001), "Asymptotic Distribution of the EMS Option Price Estimator", Management Science, 47, 8, 1122-1132

Books/Monographs

Duan, Jin-Chuan and Wang Wei-Ting (2017), "Estimating Distance-to-Default with a Sector-Specific Liability Adjustment via Sequential Monte Carlo", 73-91, Applied Quantitative Finance, Springer
Duan, Jin-Chuan, Wolfgang Karl Härdle and James E. Gentle (2012), "Handbook of Computational Finance", 1-804, Springer
Duan, Jin-Chuan, James E. Gentle and Wolfgang Karl Härdle (2012), "Computational Finance: An Introduction", 3-11, in Handbook of Computational Finance, Springer

Working Papers

Duan, Jin-Chuan and Zhang Changhao (2015), "Non-Gaussian Bridge Sampling with an Application"
Duan, Jin-Chuan and Zhang Changhao (2013), "Cascading Defaults and Systemic Risk of a Banking Network"

Research / Teaching Areas

Credit Risk

Banking And Insurance

Financial Econometrics

Financial Engineering And Risk Management

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