Department of International Finance, Hankuk University of Foreign Studies
313 Humanities and Economics Building
81, Oedae-ro, Mohyeon-eup, Cheoin-gu, Yongin-si, Gyeonggi-do
South Korea
17035

Office: +82-31-330-4516 | Email: ywlee@hufs.ac.kr

Full Professor
Department of International Finance, Hankuk University of Foreign Studies
(Sep 2014 - Present)

Research Associate
The Business School, Finance Discipline Group, University of Technology, Sydney, Australia
(Apr 2013 - Jul 2014)

Research Fellow
Research Center, Deutsche Bundesbank, Frankfurt, Germany
(Sep 2012 - Mar 2013)

Head of Actuarial Science Program
Hankuk University of Foreign Studies
(Feb 2018 - Present)

Dean of Business Support
Hankuk University of Foreign Studies
(Feb 2021 - Jan 2024)

Vice Dean of Planning and Coordination
Hankuk University of Foreign Studies
(Nov 2020 - Jan 2024)

Director of HUFS Business Incubation Center
Hankuk University of Foreign Studies
(Mar 2020 - Jan 2021)

Vice Dean of Research Affairs / R&DB Foundation
Hankuk University of Foreign Studies
(Jul 2017 - Feb 2019)

Head of the Department of International Finance
Hankuk University of Foreign Studies
(Mar 2016 - Feb 2018)

Ph.D. in Accounting and Finance
Manchester Business School, U.K.

Master of Statistics
Korea University, South Korea

Bachelor of Economics
Korea University, South Korea

Lee, Y., 2025, "An Efficient Method for Generating Real GDP Growth Scenarios Reflecting the Optimistic Bias in Government Forecasts", Journal of The Korean Data Analysis Society (JKDAS), 27(4), 1213-12224. - KCI

Kim, Y. & Lee, Y., 2025, "Strengthening Primary Dealer Obligations and Government Bond Liquidity: An Empirical Analysis of Policy Effects",  Journal of The Korean Data Analysis Society (JKDAS), 27(2), 489-508. - KCI

Song, Y. & Lee, Y., 2023, “A Study on the Ohlson Model using Real Options: Focusing on KOSDAQ companies”, Journal of The Korean Data Analysis Society (JKDAS), 25(6), 2229-2244. - KCI

 Cho, Y. & Lee, Y., 2022, “Asymmetric asset correlation in credit portfolios”, Finance Research Letters, 49, 103037. – SSCI (Top 1%), First author

 Lee J., Lee Y. & Cho B., 2022, “Performance analysis of sector index portfolios using the GOP model”, Journal of The Korean Data Analysis Society (JKDAS), 24, 823-841. - KCI

 Lee, Y., Cho, Y. & Yang, K., 2021, “The Optimal Look-Back Period for Adequate and Less procyclical Credit Capital Forecasts”, Applied Economics – SSCI, First author

 Lee J. & Lee Y., 2021, “Empirical Analysis on Growth Optimal Portfolio (GOP) Using ARMA-GARCH-DCC Model”, Journal of The Korean Data Analysis Society – KCI, Corresponding author

 Lee, Y., Rösch, D. and Scheule, H., 2020, “Systematic Credit Risk in Mortgage Portfolios”, Journal of Banking & Finance, 122, 105996. - SSCI, First author

 Lee, Y., & Yang, K., 2020, Finite Difference Method for the Hull–White Partial Differential Equations. Mathematics, 8(10), 1719. - SCI (Top 10%), First author

 Lee J. & Lee Y., 2020, Empirical Analysis of Growth Optimal Portfolio (GOP) Using South Korean KOSPI200 Sector Indices, Korea Business Review – KCI, First author

 Lee, Y. and Yang K., 2019, “Modelling Diversification and Spillovers of Loan Portfolios’ Losses by LHP Approximation and Copula, International Review of Financial Analysis, 66, p.101374. - SSCI, First author

 Lee Y., Hong K, Yang K., 2018(Mar), “Sovereign Risk Contagion in East Asia: A Mixture of Time-varying copulas Approach”, Emerging Markets Finance & Trade, 54.7:1513-1537. – SSCI, First author

 Hong K., Part, K. and Lee, Y., 2016, “Risk reduction in a time series momentum trading strategy”, Journal of Risk Model Validation, Vol.10, No.4, 55-70. – SSCI, Corresponding author

 Lee Y., Jeon S, and Park Y., 2016, “Stochastic Traffic Congestion Evaluation of Korean Highway Traffic Information System with Structural Changes”, Asia Pacific Journal of Information Systems, Vol.26, No.3, 427~448 – Scopus, First author

 Lee, Y., Rösch, D. and Scheule, H., 2016, “Accuracy of mortgage portfolio risk forecasts during financial crises”, European Journal of Operational Research, 249(2), pp.440-456 - SCI (Top 10%), First author

 Lee, Y. and Poon, S. H., 2015, “Loan Portfolio Loss Models with More Flexible Asymmetry and Tails for Korean Banks and a Comparison of Their Regional Concentrations”, Emerging Markets Finance and Trade, 51:sup3, 118-139 - SSCI, First & Corresponding author

 Lee, Y. and Poon, S. H., 2014, “Forecasting and decomposition of portfolio credit risk using Macroeconomic and frailty factors”, Journal of Economic Dynamics and Control, 41, 69-92 - SSCI, First & Corresponding author

 Lee, Y. and Poon, S. H., 2014, “Credit Contagion Channel and Consequences via Standard Portfolio Credit Risk Model”, Journal of Credit Risk, 10(1), 33–62 - SSCI, First & Corresponding author

 Lee, Y. and Chai, D. H, 2013, "Credit Loss Distributions under non-normality: Analysis of Infinite Homogenous Portfolio of US Commercial Banks”, Journal of Information and Management, Vol.23, No.2, 69–104 – Corresponding author

 Lee, Y. and Poon, S. H, 2013, "Markov Chain Monte Carlo with Particle Filtering" in Adrian Bell, Chris Brook and Marcel Prokopczuk edited Handbook of Research Methods and Applications in Empirical Finance, Edward Elgar, 169–193

Samsung Asset Management
"A Study on the Application of Probability-Based ALM for the Industrial Accident Compensation Insurance Fund"
Award Amount: $30,000 | (Jan 2024 - Jul 2024)

Statistics Training Institute
"Development of Training Materials for Data Science Expert Training Program"
Award Amount: $15,000 | (Apr 2022 - Jun 2022)

Korea Statistics Promotion Institute
"Development of New Educational Programs for the Statistical Data Center"
Award Amount: $30,000 | (Feb 2022 - May 2022)

Korea Statistics Promotion Institute
"Development of Educational Programs and Training Materials for the Statistical Data Center"
Award Amount: $30,000 | (Jul 2021 - Sep 2021)

Statistics Training Institute
"Development of Training Materials for Big Data Analytics Expert Training Program"
Award Amount: $15,000 | (Apr 2021 - Jun 2021)

The Export-Import Bank of Korea
"Development of Economic Scenarios and Model Construction for Integrated Crisis Analysis at the Export-Import Bank"
Award Amount: $340,000 | (Oct 2020 - Mar 2021)

Korea Risk Management
"Development and Training of Fund Portfolio Risk Management Techniques Using AI Methods"
Award Amount: $22,000 | (Apr 2020 - Dec 2020)

Gyeonggido Job Foundation
"Development and Implementation of a New Educational Program on Big Data Applied Business Models & Analytical Practice"
Award Amount: $264,000 | (Apr 2019 - Feb 2021)

Samsung Asset Management
"Research on Risk Management of Pension Fund Pools"
Award Amount: $37,000 | (Sep 2018 - Dec 2018)

Centre for International Finance and Regulation
"Systematic Credit Portfolio Risk and Implications on Regulations for Bank Capital and Securitisation Ratings"
Award Amount: $150,000 | (Apr 2013 - Dec 2017)

Independent Director,  KNR Systems  Co.,  Ltd.
(2023 - Present) 

Assistant  Manager,  DB Insurance Co.,  Ltd.
(2004 - 2007)

Assistant Manager,  Samsung Fire & Marine Insurance Co.,  Ltd.
(2003 – 2004)

Executive Board Member
Korean Finance Association
(2023 - Present) 

Executive Board Member
The Korean Data Analysis Society
(2022 - Present)

Certified Financial Risk Manager
Global Association of Risk Professionals (GARP), U.S.
(2007 – Present)

Certified Investment Advisor
Korea Financial Investment Association, South Korea
(2006 - Present)

Executive Board Member
Korean Derivatives Association
(2020 - 2021)

Director of External Cooperation
U.S. & Korea Alliance Association
(2024 – Present)

The President’s Volunteer Service Award (Gold)
The White House, U.S., 2024

The President’s Award
Ministry of Public Administration and Security, South Korea, 2022

Research Excellence Award
Hankuk University of Foreign Studies, South Korera, 2022
Hankuk University of Foreign Studies, South Korera, 2021

Best Paper Award
Fall Academic Research Conference, Korea Derivatives Association, South Korea, 2021
The Korean Academic Society of Business Administration, South Korea, 2021
The Global Real Estate Summit, Washington, U.S., 2015

Gyeonggi Province Governor's Award
Gyeonggi Provincial Government, South Korea, 2020

Ministry of Trade, Industry and Energy Minister's Award
Ministry of Trade, Industry and Energy, South Korea, 2015