MENG-LAN YUEH
Status Full-time
Name MENG-LAN YUEH
Email
Office Tel No. 81129
Job Title Associate Professor
Research Expertise Financial Engineering、Interest Rate Models、 Risk Management、Credit Risk Model
Teaching Field 財務工程, 利率模型, 風險管理, 信用風險模型
Unit Dept. of Finance
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*;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
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
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