Seyoung Park's Homepage

Seyoung Park

(Tenured) Associate Professor in Finance, Risk and Banking

Nottingham University Business School

Jubilee Campus, Nottingham, NG8 1BB

Telephone: 44-(0)115-8466023, Email: seyoung.park@nottingham.ac.uk 

CV

Introduction

I'm (Tenured) Associate Professor in Finance, Risk and Banking (FRB) at Nottingham University Business School (NUBS).

Currnetly, I am serving as the leader of Sustainable Finance Cluster in the FRB department at NUBS. 

Prior to joining NUBS, I had worked for Loughborough University as a Lecturer in Finance and National University of Singapore as a Research Fellow.

My research interests include Sustainable Finance and Household Finance based on Portfolio Theory, Asset Pricing, Risk Management, and Incomplete Markets.

Further, I have applied my research expertise to the areas of FinTech and InsurTech for the study of Pension, Insurance, and Retirement.

I'm also familiar with the field of Financial Engineering/Mathematical Finance.

Personal

I live in the UK with my lovely wife and one little son who is just over two years old.

All my personal UK life is now weekly uploaded on Youtube videos made by my wife.

For watching and subscribing the videos, please access the web address as follows:

https://www.youtube.com/channel/UCrTy8zXMnZtWNYd1lSVYu-A/featured

Research Interests

• Sustainable Finance, Household Finance

• FinTech and InsurTech, Pension, Insurance, and Retirement 

Book Chapter

• How to Consume and Invest for Retirement: Revisiting Friedman's Permanent Income Hypothesis,
  Social Security and Retirement Benefits: Programs, Perspectives and Future Directions,
  published by Nova Science Publisher, Inc. New York. 2017, 21-34

Featured Publications

• Optimal Retirement with Long-Run Income Risk (with Jane Yoo and Shan Huang), forthcoming in Journal of Risk and Insurance

• Income Disaster Model with Optimal Consumption,  forthcoming in Economic Theory

• Optimal Consumption and Investment with Independent Stochastic Labor Income (with Alain Bensoussan), forthcoming in Mathematics of Operations Research

• The Cross-Sectional Return Predictability of Employment Growth: A Liquidity Risk Explanation (with Weimin Liu, Di Luo, and Huainan Zhao), Financial Review, Vol 57, 2022, 155-178

• Ambiguity Premium and Transaction Costs (with Bong-Gyu Jang , Seungkyu Lee, and Taeyoon Kim), Economics Letters, Vol 207, 2021, 110007

• Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk (with Bong-Gyu Jang and Huainan Zhao),
  Insurance: Mathematics and Economics, Vol 94, 2020, 25-39

• Optimal Consumption and Investment with Insurer Default Risk (with Bong-Gyu Jang and Hyeng Keun Koo),
  Insurance: Mathematics and Economics, Vol 88, 2019, 44-56

• A Generalization of Ramsey's Result on Discount Rate with Regime Switching, Economics Letters, Vol 170, 2018, 147-150

• Unemployment Risks and Optimal Retirement in an Incomplete Market (with Alain Bensoussan and Bong-Gyu Jang),
  Operations Research, Vol 64, No 4, 2016, 1015-1032

• A Generalization of Yaari's Result on Annuitization with Optimal Retirement, Economics Letters, Vol 137, 2015, 17-20

• Optimal Retirement with Unemployment Risks (with Bong-Gyu Jang and Yuna Rhee),
  Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604

Sustainable Household Finance

• Optimal Consumption and Investment Decisions with Disastrous Income Risk: Revisting Rietz's Rare Disaster Risk Hypothesis (with Chusu He and Alistair Milne), accepted at 2024 ASSA-ARIA Session, January 5-7, 2024

• Stochastic Income and Optimal Policies: A New Analysis (with Alain Bensoussan,  Adannah Duruoha, and Viswanath Ramakrishna), submitted for publication

• Income-Based Optimal Portfolio Choice: A New Approach (with Alain Bensoussan), submitted for publication

• Optimal Reinsurance for Cyber Risk Transfer (with Kwangmin Jung), Financial Stability Studies, Vol 25, 2024, 117-148

• Optimal Reinsurance with a Systemic Surplus Shock (with Kwangmin Jung), Economics Letters, Vol 244, 2024, 112013

• Analytic Approach for Models of Optimal Retirement with Disability Risk (with Jiwon Chae and Bong-Gyu Jang), Mathematical Social Sciences, Vol 126, 2023, 68-75

• The Impact of Climate Risk on Capital Stock and Optimal Financing Policies: A Theoretical Analysis, Journal of Risk Management, Vol 34, 2023, 43-65

• Optimal Annuitization with Markov Regime Switching Model, Journal of Risk Management, Vol 34, 2023, 33-57

• Optimal Annuitization with Early Retirement: A Martingale-Dual Approach (with Junkee Jeon), Journal of Risk Management, Vol 33, 2022, 71-113

• Liquidity Constriants and Optimal Annuitization, Journal of Derivatives and Quantitative Studies, Vol 30, 2022, 125-142

• Optimal Annuitization Strategy with a Large, Negative Economic Shock,
  Journal of Risk Management, Vol 32, 2021, 61-99 

• Annuitization and Asset Allocation with Borrowing Constraints (with Bong-Gyu Jang and Jin Gi Kim),
  Operations Research Letters, Vol 48, 2020, 549-551

• Optimal Retirement Strategy with a Negative Wealth Constraint (with Bong-Gyu Jang),
  Operations Research Letters, Vol 42, Issue 3, 2014, 208-212

Portfolio Theory and Risk Management

• Optimal Hedging of A Contingent Claim with Ambiguity Aversion (with ChongSeok Hyun and Hyeng Keun Koo)

• Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint (with Bong-Gyu Jang),
  Finance Research Letters, Vol 18, 2016, 158-176

• Industry Portfolio Allocation with Asymmetric Correlations (with Myeong Hyeon Kim and Jong Mun Yoon),
  European Journal of Finance, Vol 27, 2021, 178-198

Portfolio Theory and Corporate Finance

• Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk (with Bong-Gyu Jang and Hyun-Tak Lee),
  Accepted at 2019 Annual Real Options Conference 

• Optimal Investment with Time-Varying Transition Probabilities for Regime Switching (with Hyo-Chan Lee and Jong Mun Yoon),
  Journal of Derivatives and Quantitative Studies, Vol 29, 2021, 102-115

Financial Engineering/Mathematical Finance

• Verification Theorems for Optimal Consumption and Investment Problems with Annuitization,
  Mathematical Social Sciences, Vol 103, 2020, 36-44

Optimal Consumption and Savings

• Marginal Propensity to Consume with a Negative Wealth Constraint (with Jong Mun Yoon)