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Faculty

Faculty
Tenure Tracks

Tenure Tracks

Kim, Changki김창기

  • Finance
  • Professor
  • Risk Management and Insurance, Financial Math.
  • Room 415 in LG-POSCO bldg.
  • TEL : 02-3290-2628
  • Email : changki@korea.ac.kr
  • Fax : 02-922-7220
  • Homepage :
  • Office Hour :

Education

  • Ph.D. in Risk Management and Insurance, Actuarial Science, Financial Mathematics, University of Iowa, US (August 1998 - August 2003)
  • M.S. in Statistics and Actuarial Science, University of Iowa, US (August 1996 - May 1998)
  • M.S. in Mathematics, Seoul National University, Korea (March 1988 - February 1992)
  • B.S. in Mathematics, Seoul National University, Korea (March 1984 - February 1988)
     

Career

    09/18 ~ present, Professor, Korea University Business School, Seoul. Korea
    09/14 ~ 08/18     Associate Professor, Korea University Business School, Seoul, Korea 
  • 03/11 ~ 08/14       Assistant Professor, Korea University Business School, Seoul, Korea 
  • 07/06 ~ 02/11       Assistant Professor, Australian School of Business, University of New South Wales, Sydney, Australia 
  • 09/05 ~ 06/06       Visiting Professor, Department of Mathematics, SungKyunKwan University, Korea 
  • 09/03 ~ 08/05       Instructor, Department of Mathematics, Univ. of Texas at Austin, US 
  • 09/01 ~ 01/03       Manager, Samsung Life Insurance Company, Seoul, Korea 
  • 03/94 ~ 07/96       Assistant Manager,Young Poong – Manulife Insurance Company, Seoul, Korea 
  • 04/92 ~ 01/94       Staff, LINA-Korea Life Insurance Company, Seoul, Korea
     
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Publications

Publications 
  • 김창기 (2020). “포스트 코로나 시대 공유경제의 위험관리”. 글로벌금융리뷰, (ISSN: 2671-8693). Vol 1 No 1,
  • Ephraim K. Thompson and Changki Kim (2020). “The Effect of Information Asymmetry on the Method of Payment and Post-M&A Involuntary Delisting”. 아태비즈니스연구, (KCI journal, ISSN: 2233-5900 ). Vol 11 No 3, 1-20.
  • 김창기, 신동훈, 김소연 (2020). “Risks and Insurance in Mergers & Acquisitions 인수 합병 위험과 M&A 보험 ”. Crisisonomy, (KCI journal, ISSN: 2466-1198). Vol 16 No 9, 85-104.
  • Ephraim K. Thompson and Changki Kim. (2020). “Post-Merger and Acquisition Performance and Risk Factors: An International Study” 리스크관리연구 , (KCI journal, ISSN: 1229-103X). Vol 31 No 3, 29-66.
  • JERIM KIM, EYUNGHEE KIM, AND CHANGKI KIM. (2020). “PRICING STEP-UP OPTIONS USING LAPLACE TRANSFORM”, Journal of Applied Mathematics and Informatics,  (KCI journal, ISSN: 1598-5857). Vol 38 No 5, 439-461.
  • Ephraim K. Thompson and Changki Kim (2020). “Information Asymmetry, Time until Deal Completion and Post-M&A Performance”. Journal of Derivatives and Quantitative Studies 선물연구, (KCI journal, ISSN: 1229-988X). Vol 28 No 3, 321-346.
  • Hyunoo Shim, Changki Kim, and Yang Ho Choi. (2020). “Volatility Clustering in Data Breach Counts”, Communications for Statistical Applications and Methods,  (KCI journal, ISSN: 2287-7843). Vol 27 No 4, 487-500. 
  • 김선현, 김창기 (2020). “ 신용등급이 M&A 활동에 미치는 영향 ” , 재무연구 , (KCI journal, ISSN: 1229-0351). ). Vol 33 No 3, 339-375.
  • Ephraim K. Thompson and Changki Kim (2020). “Post-M&A Performance and Failure: Implications of Time until Deal Completion”. Sustainability (SSCI journal, ISSN: 2071-1050), 12(7):2999 : 1-34
  • Seungryul Ma and Changki Kim (2019). “ 월지급액 증액을 위한 공유형 역모기지 모형의 설계, Designing a Shared Equity Reverse Mortgage Program to Increase the Level of Monthly Payments” , 금융감독연구 , (KCI journal, ISSN: 2383-7403). Vol 6 No 2, 1-35.
  • Changki Kim and Kyunghyun Kim  (2019). “ 서울 주택 적정 수요 가격과 버블 리스크: 청년 수요자 관점에서, A Study on the Proper House Demand Price and Bubble Risk in Seoul: From young consumer’s perspective ” , 리스크관리연구 , (KCI journal, ISSN: 1229-103X). Vol 30 No 3, 61-85.
  • 배은경⋅김소연⋅김창기 (2018). “극단치 이론을 이용한 지진위험 모델링과 관리” 리스크관리연구 , (KCI journal, ISSN: 1229-103X). Vol 29 No 2, 1-24.
  • Dong-Hoon Shin, Changhui Choi, and Changki Kim (2018). “ Securitization to reduce CO2 emission”. International Journal for Innovation Education and Research, (ISSN: 2411-3123). Vol 6 No 5, 52-76.
  • Daeseok Kim, Changki Kim, and So-Yeun Kim (2018). “코스닥 IPO시장에서 일반투자자 배정비율이 저평가에 미치는 영향: 20% rule,  Effect of general investors’ allotment ratio on underpricing in KOSDAQ IPO market: 20% rule”. 한국콘텐츠학회논문지, (KCI journal, ISSN: 1598-4877). 18 (3), 557-567. 
  • Woojoo Lee, Yang Ho Choi, Changki Kim, and Jae Youn Ahn (2018). “A case study for intercontinental comparison of herd behavior in global stock markets”. Communications for Statistical Applications and Methods, (KCI journal, ISSN: 2287-7843). Vol. 25, No. 2, 185–197.
  • So-Yeun Kim, Hyo-Rim An, and Changki Kim (2018). “Connectivity in Global Stock Markets during Financial Crises”. Crisisonomy, (KCI journal, ISSN: 2466-1198). Vol.14 No.1, 193-211.
  • Myeong-Hyeon Kim, Changki Kim, and Injun Hwang (2017). “The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets”.  The Journal of Futures Markets (SSCI journal, ISSN: 0270-7314), 37(6), 578–598.
  • Taehan Bae and Changki Kim. (2016) “Options and Swaps on Motor Claims” Insurance and risk management, Vol. 83 (1-2): 45-69.
  • Changhui Choi, Bong-Gyu Jang, Changki Kim, and Sang-Youn Roh (2016). “Net Contribution, Liquidity, and Optimal Pension Management”. The Journal of Risk and Insurance (SSCI journal, ISSN: 0022-4367), 83(4), 913–948.
  • Haehyun Jeon,  So-Yeun Kim, and Changki Kim. (2015). “A Study on the Comovement of Industry Default”, 응용통계연구 The Korean Journal of Applied Statistics (KCI journal, ISSN: ISSN: 1225-066X), 28(6), 1289–1312.  
  • Changki Kim, Dong-Hoon Shin, Myeong-Hyeon Kim, and Seungyoung Jeong. (2015). “ Pricing the Options in Housing Contracts and Risk Management 주택거래 계약에 내재된 옵션가치 산정과 위험관리”, 국토연구 The Korea Spatial Planning Review 85: 55-77.  (KCI journal, ISSN:1229-8638).
  • Changki Kim, Eyunghee Kim, and Seung Young Jeong. (2015). “주택가격 결정 요인들이 주택연금의 수익성에 미치는 영향 연구 A Study on the House Price Assumptions for House-based Annuities ”.  (KCI journal, ISSN:1598-4567), Korea Real Estate Academy Review (부동산학보),  61 : 166-179.
  • Taehan Bae, Ian Iscoe, and, Changki Kim (2015). “Valuing retail credit tranches with structural, double mixture models”.  The Journal of Futures Markets 35 (9):849–867 (SSCI journal, ISSN: 0270-7314). 
  • Bong-Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee, and Dong-Hoon Shin (2015). “Psychological Barriers and Option Pricing”.  The Journal of Futures Markets 35 (1): 52-74 (SSCI journal, ISSN: 0270-7314).
  • Changki Kim, Seung Young Chung, Soon-duk Kwon,· Won Kyung Kim  (2014) “산지연금의 도입 필요성에 관한 연구 A Study on the Possibility for the Introduction of Forest Land Reverse Mortgage System”.  한국산림휴양학회지 18 (4): 39-48 (KCI journal, ISSN:1226-5519).
  • Changki Kim and Yangho Choi. (2014). “A Method of Hedging Mortality Rate Risks in Endowment Product Development”.  Journal of Insurance and Finance (KCI journal, ISSN: 1226-7481), (보험금융연구), 25 (2): 73-109.
  • Changki Kim, Seung Young Chung, and Eyunghee Kim (2014) “Farmland-Based Reverse Mortgages for Aged Farmers”.  Asia Pacific Journal of Risk and Insurance (ISSN: 1793-2157), 8 (2): 229-257.
  • Changki Kim and Seung Young Jeong (2013). “서울시 숙박 및 음식업체의 입지에 영향을 주는 요인에 관한 실증연구 A Study on the Factors Affecting Hotel & Restaurant Location in Seoul”.  (KCI journal, ISSN:1598-172X), Korean Management Consulting Review (경영컨설팅연구),  13 :297-314.
  • Seung Young Jeong, Jinu Kim, and Changki Kim. (2013). “A Study of Modelling and Forecasting Korea’s Retail Rents with VAR Models ”.  (KCI journal, ISSN:1598-4567), Korea Real Estate Academy Review (부동산학보),  53 : 266-277.
  • Eyunghee Kim and Changki Kim. (2013) “변액보험에 부과된 최저실적배당연금액 보증옵션에 대한 연구 A Study on the Guaranteed Lifetime Withdrawal Benefit  in Variable Annuities”.  Journal of Insurance and Finance (KCI journal, ISSN: 1226-7481), (보험금융연구), 24 (2): 141-172.
  • Seung Young Jeong, Jinu Kim, and Changki Kim. (2012). “The Effect of Spatial and Physical Factors on Retail Unit’s Sale Prices in Seoul”.  (KCI journal, ISSN:1598-4567), Korea Real Estate Academy Review (부동산학보),  51 : 317-330.
  • Changhui Choi, Dong-Hoon Shin, and Changki Kim. (2012). “날씨파생상품을 이용한 국내 도시가스 산업의 날씨 위험 관리 Managing Weather Risks in Korean City-Gas Industry using Weather Derivatives”. Korean Journal of Futures and Option (KCI journal, ISSN: 1229-988X), (선물연구),  20 (4): 451-481.
  •  Eyunghee Kim and Changki Kim. (2012) “주가수익률 추정 모델 선택에 따른 변액 연금 최저보증준비금 분석 An Analysis on the Minimum Guarantee Reserves in Variable Annuities Using Different Stock Return Models”.  Journal of Insurance and Finance (KCI journal, ISSN: 1226-7481), (보험금융연구), 23 (4): 99-131.
  • Changki Kim and Eyunghee Kim (2012) “생존율 옵션 부과 연금 상품 개발방안 (On developing Annuities with Survival Rate Options)” Journal of Actuarial Science (ISSN: 2093-033X), (계리학연구) 4 (1): 3-28.
  • Changki Kim and Yangho Choi (2011) “Securitization of Longevity Risk Using Percentile Tranching” ,  Journal of Risk and Insurance (SSCI journal, ISSN: 0022-4367), 78 (4): 885-905.
  • Changki Kim and Eyunghee Kim (2011) “국내 연금시장의 발전 방향에 관한 연구 A Study on the Development of the Annuity Market in Korea” Journal of Actuarial Science (ISSN: 2093-033X), 3 (2): 85-108.
  • Eyunghee Kim and Changki Kim. (2011) “변액 연금 상품의 보증옵션 분석Analyzing Guarantees in Variable Annuities”, Journal of Insurance and Finance (KCI journal, ISSN: 1226-7481), 22 (2): 3-25.
  • Changki Kim (2011) “The Impacts of Guaranteed Minimum Death Benefit Options on the Profit Margins of Unit Linked Products” Journal of Actuarial Science (ISSN: 2093-033X), 3 (1): 59-82.
  • Changki Kim and Kyung-jin Choi. (2010). “On improving Premium Calculation Methods for Korean Insurance Products – Focused on Traditional Products”, Journal of Actuarial Science (ISSN: 2093-033X), 2 (2): 109-137.
  • Kyung-Shick Cho, Changki Kim, and Heon-Yong Jung. (2010) “Does a parent-subsidiary merger enhance efficiency in Korea?” , Management Information Systems Review  , (KCI journal, ISSN: 1598-2459), Vol.29 (3): 51~69. 
  • Changki Kim. (2010) “Policyholder Surrender Behaviors under Extreme Financial Conditions”,  Korean Journal of Applied Statistics (KCI journal, ISSN: 1225-066X), 23(4): 635-650.
  • Taehan Bae and Changki Kim. (2010) “Motor Insurance-Linked Securities: An Area of Financial Innovation”, Journal of Actuarial Science (ISSN: 2093-033X), 2 (1): 3-32.
  • Changki Kim, Juyoung Lim, and Gyoocheol Shim. (2010). “Exponential Reserves of Insurance Contracts under a Jump-Diffusion Process Model”.  Australian Actuarial Journal (ISSN: 1442-3065), 16 (2): 109-133.
  • Taehan Bae, Changki Kim, and Reginald J. Kulperger. (2009) “Securitization of Motor Insurance Loss Rate Risks” Insurance: Mathematics and Economics (SSCI journal, ISSN: 0167-6687). 44 (1), 48-58.
  • Changki Kim. (2009). “Deterministic Asset Liability Management with Geometric Interpretations”, Journal of Actuarial Science (ISSN: 2093-033X),  Vol 1: 107-133.
  • Changki Kim. (2009). “Valuing Surrender Options in Korean Interest Indexed Annuities”. Asia Pacific Journal of Risk and Insurance (ISSN: 1793-2157). Vol 3 (2): 46-66.
  • Changki Kim. (2005). “Modeling Surrender and Lapse Rates with Economic Variables”.  North American Actuarial Journal (ISSN: 1092-0277). Vol 9, No 4: 56-70.
  • Changki Kim. (2005). “Surrender Rate Impacts on Asset Liability Management”, Asia Pacific Journal of Risk and Insurance (ISSN: 1793-2157). Vol 1 (1): 62-96.
  • Changki Kim, Jun, H., and Hong, C. (2005). “On Developing Actuarial Science Program in Korea”.   J. Korea Soc. Math. Ed. Ser. E:  Communications of Mathematical Education (KCI journal, ISSN: 1226-6663). Vol. 19 No 4:  471-484.
  • Changki Kim. (1998). Discussion of “On a Class of Renewal Risk Processes”. North American Actuarial Journal (ISSN: 1092-0277), 2(3): 72.
  • Changki Kim and Elias S.W. Shiu. (1998). “A Reserve Difference Formula”. Actuarial Research Clearing House, Vol.2: 77-78.
 
 
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Books

  • Chang Ki Kim (2015). Financial Engineering (ISBN: 979-11-85994-11-6)
  • Chang Ki Kim (2015). Principles of Finance  (ISBN: 979-11-85994-10-9)
  • Chang Ki Kim (2015). Principles of Insurance  (ISBN: 979-11-85994-09-3)
  • Chang Ki Kim (2015). Comprehensive Insurance Risk and Financial Risk Management (ISBN: 978-89-969953-3-3)
  • Chang Ki Kim and Peter Jin (2013). Actuarial Risk Management (ISBN: 978-89-18-12349-3)
     
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Research

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