Research

Education: Ohio State University (Ph.D.), National Taiwan University (BS).

Recent Research interests: Risk Management; Financial Institutions; Catastrophe Risk; Climate Finance; Corporate Finance.

ScholarGPS Top Scholar: Insurance (Lifetime); Pacific Ocean (Prior 5 years; 2024)

Dr. Yu’s primary areas of research include risk management and financial institutions. His work has been published in leading journals across multiple fields, including insurance, finance, accounting, and operations management. According to Google Scholar, Dr. Yu’s scholarly contributions have been cited over 1,800 times. He has been recognized as a Top 0.5% Scholar by ScholarGPS in the areas of Insurance and Pacific Ocean studies. In addition, Dr. Yu serves as an associate editor for more than 10 academic and trade journals across banking, finance, and insurance disciplines.

Dr. Min-Teh Yu (updated 2024/03/15)

(A) Selected Journal Publications

1. "Does Ambiguity Matter for Corporate Debt Financing? Theory and Evidence," (with C.-C. Chen, K.-C. Ho, and C. Yan), Journal of Corporate Finance 80, 102425, June 2023.
2. "Managerial Overconfidence and Dividend Stickiness," (with J.-C. Lin), Journal of Accounting, Auditing & Finance 3X(X), 2023. (forthcoming)
3. "Common Institutional Ownership and the Cost of Debt in Taiwan," (with W.-Z. Shi, M.-C. Hsiao, and T.-Y. Huang), Pacific-Basin Finance Journal 83, 102201, February 2024.
4. "Impact of information disclosure ratings on investment efficiency: Evidence from China," (with C.-C. Chen, K.-C. Ho, and H.-M. Li), Review of Quantitative Finance and Accounting 60, 471-500, February 2023.
5. "Optimal Decision of Dynamic Wealth Allocation with Life Insurance for Mitigating Health Risk under Market Incompleteness," (with C.-C. Chen, C.-C. Chang, and E. Sun), European Journal of Operational Research 300(2), 727-742, 16 July 2022.
6. "Pricing Hurricane Bonds using a Physically Based Option Pricing Approach," (with C.W. Chang and J.S.K. Chang), North American Actuarial Journal 26(1), 27-42, January 2022.
7. "Catastrophe risk, reinsurance and securitized risk-transfer solutions: a review," (with Y. Zhao and J.-P. Lee), China Finance Review International 11(4), 449-473, 2021.
8. "Pricing Catastrophe Swaps with Default Risk and Stochastic Interest Rates," (with C.-L. Lo, C.W. Chang, and J.-P. Lee), Pacific-Basin Finance Journal 68, 101314, 2021.
9. "Predicting Catastrophe Risk: Evidence from Catastrophe Bond Markets," (with Y. Zhao), Journal of Banking & Finance 121, 105982, December 2020.
10. "Catastrophe Bond Spread and Hurricane Arrival Frequency," (with C. Chang and Y.-J. Wang), North American Journal of Economics and Finance 54, 100906, November 2020.
11. "Portfolio Optimization in the Catastrophe Space," (with C. Chang, J. Chang, and Y. Zhao), European Financial Management 26(5), 1414-1448, November 2020.
12. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," (with M.-H. Lin and E. Sun), International Journal of Production Economics 228, 107737, October 2020.
13. "Does Equity Market Timing have a Persistent Impact on Capital Structure? Evidence from China," (with Y. Zhao and C. Lee), British Accounting Review 52(1), 100838, January 2020.
14. "Founders and the decision of Chinese dual-class IPOs in the U.S.," (with X.-D. Li, Y. Jiao, and Y. Zhao), Pacific-Basin Finance Journal 57, 101017, 2019.
15. "Measuring the Liquidity Impact on Catastrophe Bond Spreads," (with Y. Zhao), Pacific-Basin Finance Journal 56, 197-210, September 2019.
16. "VIX Derivatives: Valuation Models and Empirical Evidence," (with C.-L. Lo, P.-T. Shih, and Y.-H. Wang), Pacific-Basin Finance Journal 53, 1-21, February 2019.
17. "Hurricane Risk Management with Climate and CO2 Indices," (with C.-C. Chang and J.-W. Yang), Journal of Risk and Insurance 85(3), 695-720, September 2018.
18. "Bank Contingent Capital: Valuation and the Role of Market Discipline," (with C.-C. Chang), Journal of Financial Services Research 54(1), 49-80, August 2018.
19. "Systemic Risk, Financial Markets, and Performance of Financial Institutions," (with M.-H. Lin and E. Sun), Annals of Operations Research 262(2), 579-603, March 2018.
20. "Valuing Vulnerable Mortgage Insurance under Capital Forbearance," (with C.-C. Chang), Journal of Real Estate Finance and Economics 54(4), 558-578, May 2017.
21. "A Comparative Analysis of Accounting-Based Valuation Models," (with K.-C. Ho, S.-C. Lee, and C.-T. Lin), Journal of Accounting, Auditing & Finance 32(4), 561-575, October 2017.
22. "Financial Transaction Tax: Policy Analytics based on Optimal Trading," (with E. Sun and T. Kruse), Computational Economics 46(1), 103-141, June, 2015.
23. "Moment-Matching Approximations for Asian Options," (with C.-L. Lo and K. J. Palmer), Journal of Derivatives 21(4), 103-122, May 2014.
24. "Valuation of Insurers' Contingent Capital with Counterparty Risk and Price Endogeneity," (with C.-L. Lo and J.-P. Lee), Journal of Banking & Finance 37(12), 5025-5035, December 2013.
25. "Book‐to‐Market Equity, Asset Correlations and the Basel Capital Requirement," (with S.-C. Lee and C.-T. Lin), Journal of Business Finance & Accounting 40(7-8), 991-1008, September 2013.
26. "A Fractional Cointegration Approach to Testing the Ohlson Accounting Based Valuation Model," (with S.-C. Lee and C.-T. Lin), Review of Quantitative Finance and Accounting 41(3), 535-547. October 2013.
27. "Valuation of Catastrophe Equity Puts with Markov-Modulated Poisson Processes," (with C.-C. Chang and S.-K. Lin), Journal of Risk and Insurance 78(2), 447-473, June 2011.
28. "Pricing Unemployment Insurance - An Unemployment-Duration-Adjusted Approach," (with H.-L. Chuang), ASTIN Bulletin 40(2), 519-545, November 2010.
29. "Estimating the Cost of Deposit Insurance with Stochastic Interest Rates: The Case of Taiwan," (with H.-L. Chuang, S.-C. Lee, and Y.-C. Lin), Quantitative Finance 9(1), 1-8, February 2009. (2009 Lead Article)
30. "Valuation of Catastrophe Reinsurance with Catastrophe Bonds," (with J.-P. Lee), Insurance Mathematics and Economics 41(2), 264-278, 2007.
31. "Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates," (with C.-C. Chang and S.-L. Chung), Quarterly Review of Economics and Finance 46, 16-35, February 2006.
32. "Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk," (with J.-C. Duan), Journal of Banking & Finance 29(10), 2435-2454, October 2005.
33. "Capital Requirements for Financial Holdings Companies in Taiwan," (with T.-C. Lai), Geneva Papers on Risk and Insurance: Special Issue, 1-15, July 2005. (Shin Research Excellent Award by The Geneva Association and The International Insurance Society)
34. "Risk Aversion and Price Limits in Futures Markets," (with P.H. Chou and M.-C. Lin), Finance Research Letters 2(3), 173-184, 2005.
35. "The Effectiveness of Coordinating Price Limits Across Futures and Spot Markets," (with P.-H. Chou and M.-C. Lin), Journal of Futures Markets 23(6), 577-602, 2003.
36. "Valuation and Hedging of Differential Swaps," (with C. Chang and S. Chung), Journal of Futures Markets 22(1), 73-94, 2002.
37. "Pricing Default-Risky CAT Bonds with Moral Hazard and Basis Risk," (with J.-P. Lee), Journal of Risk and Insurance 69(1), 25-44 March 2002. (Sample Article on JRI homepage)
38. "Price Limits, Margin Requirements and Default Risk," (with P.H. Chou and M.C. Lin), Journal of Futures Markets 20(6), 573-602, July 2000.
39. "Capital Standard, Forbearance and Deposit Insurance Coverage Under GARCH," (with J.C. Duan), Journal of Banking & Finance 23(11), 1691-1706, November 1999.
40. "Government Deposit Insurance and the Diamond-Dybvig Model," (with J.H. McCulloch), Geneva Papers on Risk and Insurance Theory 23(2), 139-149, December 1998.
41. "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach," (with C. Chang and J. Chang), Journal of Risk and Insurance 63(4), 599-617, December 1996. (Lead Feature Article)
42. "Measuring the True Profile of Taxpayer Losses in the S&L Insurance Mess," (with E.J. Kane), Journal of Banking & Finance 19(8), 1459-1477, November 1995.
43. "Forbearance and Pricing Deposit Insurance In a Multiperiod Framework," (with J. Duan), Journal of Risk and Insurance 61(4), 575-591, December 1994. (Leading Article)
44. "Do Bank Runs Exist in the Diamond-Dybvig Model," (with T.M. Ho), Journal of Institutional and Theoretical Economics (JITE) 150(3), 537-542, 1994.
45. "How Much Did Capital Forbearance Add to the Tab for the FSLIC Mess?," (with E.J. Kane), Bank Structure and Competition Federal Reserve Bank of Chicago, 241-259, May 1994. (Also in NBER Working Paper No. 4701)
46. "Assessing the Cost of Taiwan's Deposit Insurance," (with J. Duan), Pacific-Basin Finance Journal 2(1), 73-90, March 1994.

(B) Trade Journals in Banking and Finance

1. "Evaluating the Underwriting Cost of the Sixth Release of Government Shares of the China Steel Company," (with Z.H. Yen), Bank of Taiwan Quarterly 56-89, March 1997.
2. "Government Appointed Directors at State-Owned Banks - A Principal-Agent Analysis," Quarterly Review of Central Deposit Insurance Company 10(3), 39-48, March 1997.
3. "An Empirical Investigation of Taiwan Corporate Bond Pricing - A Contingent Claims Analysis," (with I.C. Ko), Quarterly Journal of Medium-Business Banks 19(2), 59-66, October 1995.
4. "A Prudential Futures Trading System in Taiwan," (with Y.L. Lin), Bank of Taiwan Quarterly 45(4), 196-221, December 1994.
5. "A Review of Empirical Evidence on Expense Preference Behavior in Banking," (with H.L. Chuang and C.H. Chow), Quarterly Journal of Medium-Business Banks 16(3), 32-38, January 1993.

(C) Selected Conference Presentations and Proceedings

(more than 150 conference presentations and proceedings, frequently serve as keynote speaker, session chair and discussant)

1. "Measuring the True Profile of Taxpayer Losses in the S&L Insurance Mess," (with E.-J. Kane), Western Economic Association International Conference, San Francisco, July 1992.
2. "Opportunity Costs of Capital Forbearance during the Final Years of the FSLIC Mess," (with E.-J. Kane), Financial Management Association Annual Meeting, Toronto, October 14, 1993.
3. "Risk-Based Capital Adequacy for Banks in Taiwan," Proceedings of the Third International Conference on Asian-Pacific Financial Markets, pp. 147-160, Singapore, September 1993.
4. "Opportunity Costs of Capital Forbearance during the Final Years of the FSLIC Mess," (with E.-J. Kane), Financial Management Association Annual Meeting, St. Louis, Oct. 13, 1994.
5. American Risk and Insurance Association Meeting, Seattle, August 10-13, 1995.
6. "Capital Standard, Forbearance and Deposit Insurance Coverage under GARCH," Seminar of European Group of Risk and Insurance Economist, Geneva, September 1995.
7. "Government Deposit Insurance and the Diamond-Dybvig Model," (with J.H. McCulloch), Financial Management Association Annual Meeting, New Orlean, October 9-12, 1996.
8. "Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach," (with C. Chang and J. Chang), CBOT Research Symposium Proceedings, (formerly Review of Futures Market) pp. 1-28, Fall 1996-Part II. Also presented at Western Finance Association, Annual Conference, Sunriver, Oregon, June 19-22, 1996.
9. "Premiums for Insurance Guaranty Fund with Interest Rate and Catastrophe Risk," (with J.-C. Duan), American Risk and Insurance Association Annual Meeting, San Diego, August 13, 1997.
10. "Market Discipline of the Canadian Bank Letters of Credit Activities: An Empirical Examination," (with M.-K. Hassan and V.-S. Lai), Financial Management Association Annual Meeting, Hawaii, October 15-18, 1997.
11. "Credit Enhancement and Loan Default Risk Premium," (with C.-C. Chang and V.-S. Lai), French Finance Association Annual Meeting, Lille, July 1-3, 1998.
12. "Risk-Based Premiums for Insurance Guaranty Funds with Interest Rate and Catastrophe Risk," (with J. Duan), Financial Management Association Annual Meeting, Orlando, October 7-9, 1999.
13. "Price Limits, Margin Requirements and Default Risk," (with P.-H. Chou and M.-C. Lin), CBOT Research Symposium, Hong Kong, February 22-23, 2000.
14. "Effectiveness of Price Limits Across Markets," (with P.-H. Chou and M.-C. Lin), Midwest Finance Association Annual Meeting, Chicago, Ill, March 31, 2000.
15. "Pricing CAT Bonds with Moral Hazard and Basis Risk," (with J.-P. Lee), Financial Management Association Annual Meeting, Seattle, October 26, 2000.
16. "An Empirical Investigation on the Dynamics of International Transmissions among Asia markets," (with C.-W. Hsin and S. Rhee), Midwest Finance Association Annual Meeting, Cleveland, March 30, 2001.
17. "Reset Warrants Pricing and Reset Terms," (with C.-G. Lin), Midwest Finance Association Annual Meeting, Cleveland, March 29, 2001.
18. "An Analysis of Loan Guarantee Portfolios and Joint Loan Guarantee with Stochastic Interest Rates," (with C.-C. Chang and S.-L. Chung), The 10th Conference on The Theories and Practices of Securities and Financial Markets, December 2001.
19. ance, Capital Forbearance and Moral Hazard," (with S.-C. Lee), APFA/PACAP/FMA Annual Meeting, Tokyo, July 14-17, 2002.
20. "Closure Rules and the Valuation of Pension Benefit Insurance Guarantees," (with J.-P. Lee), Financial Management Association Annual Meeting, San Antonio, October 18, 2002.
21. “Capital Standard, Forbearance and Subordinated Debt Valuation," (with J.-P. Lee), Financial Management Association Annual Meeting, Denver, Colorado, October 10, 2003.
22. "Catastrophe Reinsurance Valuation with Cat Bond Insurances," (with J.-P. Lee), The 8th APRIA (Asia-Pacific Risk and Insurance Association) Annual Conference, Seoul, Korea, July 18-21, 2004.
23. "Bank Runs, Capital Forbearance and Cost of Deposit Insurance," (with J.-P. Lee), Financial Management Association Annual Meeting, New Orleans, October 6-9, 2004.
24. "Catastrophe Reinsurance Valuation with Catastrophe Bonds," (with J.-P. Lee), Midwest Economics Association Annual Meeting, Milwaukee, Wisconsin, March 11-13, 2005.
25. "Closure Rules and the Valuation of Pension Benefit Guaranty," (with J.-P. Lee), Financial Management Association Annual Meeting, Salt Lake City, Utah, October 11-14, 2006.
26. "Deposit Insurance, Closure Rules, and Bank Runs," Western Economics Association Annual Meeting, Seattle, Washington, June 29-July 3, 2007.
27. "Bank Runs and the Cost of Deposit Insurance," Midwest Economic Association Annual Meeting, Chicago, March 14-16, 2008.
28. "Panel Cointegration Test of the Ohlson Model," Midwest Finance Association Meeting, Marriott, San Antonio, February 29-March 1, 2008.
29. "Estimating the Cost of Deposit Insurance with Stochastic Interest Rates: The Case of Taiwan," (with H. Chuang, S. Lee, and Y. Chen), 2008 AsianFA/NFA International Conference, Yokohama, July 6-9, 2008.
30. "Plan Terminationss and the PBGC Insurance," (with J.-P. Lee), Financial Management Association Annual Meeting, Dallas, October 8-11, 2008.
31. "Price Pressure around Exchange Listings," (with H. Chuang and T. L. Liao), Financial Management Association International, Reno, Nevada, October 21-24, 2009.
32. "Analytic Approximations for Generalized Asian Options," (with Chien-Ling Lo and Kenneth J. Palmer), Financial Management Association Annual Meeting, Denver, October 11-13, 2011.
33. "Valuation of Insurers' Contingent Capital with Counterparty Risk and Price Endogeneity," (with Jin-Ping Lee and Chien-Ling Lo), KFA-TFA Joint Conference, Seoul, 2012.
34. "Valuing Vulnerable Mortgage Insurance Contracts with Capital Forbearance," (with Chia-Chien Chang), Financial Management Association Annual Meeting, Atlanta, October 17-20, 2012.
35. "Valuation of Catastrophe Equity Puts with Counterparty Risk and Price Endogeneity," (with Jin-Pin Lee and Chien-Ling Lo), Financial Management Association Annual Meeting, Atlanta, October 17-20, 2012.
36. "Bank Contingent Capital Notes: Pricing and Regulatory Implications," (with Chia-Chien Chang), Conference on Risk Management and Reform of Bank Regulation, NSD of PKU, Business School of Fordham University, and Journal of Banking & Finance, Beijing, 2013.
37. "Catastrophe Reinsurance and Bonds: Valuation and Optimum Mix," The 48th Actuarial Research Conference, Philadelphia, August, 2013.
38. "Catastrophe Risk Management Incorporating Natural Climate Cycles," Annual Conference Asia-Pacific Risk and Insurance Association, Mosco, July, 2014.
39. "Optimum Mix across Financial and Reinsurance Markets: the Case of Catastrophe Bonds," World Risk and Insurance Economics Congress (WRIEC), Munich, July, 2015.
40. "Prediction Markets for Catastrophe Risk: Evidence from Catastrophe Bond Markets," (with Y. Zhao), Financial Management Association Annual Meeting, San Diego, October 17-20, 2018.
41. "Determinants of Mortality-Linked Bond Prices," International Conference of Taiwan Finance Association, Taipei, Taiwan, May 24-25, 2019.
42. "Deep Learning Options Prices under Non-Arbitrage Conditions," The 27th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, June 15-16, Taipei, 2019.
43. "Mortality-Linked Securities: An Empirical Investigation," Western Economic Association International, Annual Conference, San Francisco, June 28-July 2, 2019.
44. "Catastrophe swap valuation with counterparty default risk," (with J.-P. Lee), the Annual Meeting of the China International Risk Forum (CIRF), Nankai University, July 19-21, 2019.
45. "Measuring the Liquidity Impact on Catastrophe Bond Spreads," Asia-Pacific Risk & Insurance Association (APRIA), Annual General Meeting, Seoul, South Korea, July 28-31, 2019.
46. "Hedging and Valuation of Longevity Swap with Counterparty Risk," (with J.-P. Lee), Financial Management Association Annual Meeting, New Orleans, LA, October 23-26, 2019.
47. "Pricing Catastrophe Swap with Default Risk and Stochastic Interest Rates," (with C.-L. Lo, C. W. Chang, J.-P. Lee), Financial Management Association International, 2020 FMA Virtual Conference. October 19-23, 2020.
48. "Bank Concentration and Corporate Cash Policy: The Mediating Role of Accessing Bank Credit," (with W.-Z. Shi), 7th Vietnam International Conference in Finance (VICIF 2023), Hanoi, Vietnam, July 6-7, 2023.
49. "How Does Catastrophe Risk Securitization Affect the Reinsurance Market?" (with Y. Zhao), 27th APRIA annual conference, Osaka, Japan, July 30-August 2, 2023.