Information environment and participation of foreign banks in US syndicated loan market
ALC Chan, YT Hsieh, E Lee, ML Yueh - Journal of Banking & Finance, 2024 - Elsevier
This study examines how financial information quality affects the participation and lending
behavior of foreign banks in the loan syndicate of US borrowers. We utilize the …
behavior of foreign banks in the loan syndicate of US borrowers. We utilize the …
Does financial statement information affect cross-border lending by foreign banks in the syndicated loan market? Evidence from a natural experiment
ALC Chan, YT Hsieh, E Lee, ML Yueh - Journal of Accounting and Public …, 2015 - Elsevier
We examine whether cross-border lending in the syndicated loan market is affected by an
exogenous change in accounting standards comparability through a natural experiment …
exogenous change in accounting standards comparability through a natural experiment …
Analytical VaR and expected shortfall for quadratic portfolios
ML Yueh, MCW Wong - Journal of Derivatives, 2010 - search.proquest.com
… MENG—LAN YUEH is an assistant professor in the Department of Finance at National …
Yueh and Wong describe how the use of characteristic functions and of Fourier inversion leads to …
Yueh and Wong describe how the use of characteristic functions and of Fourier inversion leads to …
Valuation of the interest rate guarantee embedded in defined contribution pension plans
SS Yang, ML Yueh, CH Tang - Insurance: Mathematics and Economics, 2008 - Elsevier
In this research, we derive the valuation formulae for a defined contribution pension plan
associated with the minimum rate of return guarantees. Different from the previous studies, we …
associated with the minimum rate of return guarantees. Different from the previous studies, we …
An efficient algorithm for basket default swap valuation
MH Chiang, ML Yueh, MH Hsieh - Journal of Derivatives, 2007 - search.proquest.com
Importance sampling (IS), as an efficiency improvement technique for Monte Carlo simulations,
is particularly well-suited for correlation products which have payoffs contingent on the …
is particularly well-suited for correlation products which have payoffs contingent on the …
[PDF][PDF] Valuations of mortality-linked structured products
ML Yueh, HY Chiu, SH Tsai - The Journal of Derivatives, 2016 - nccur.lib.nccu.edu.tw
This article studies variations of mortality-linked structured products that investment banks
can issue for insurance companies and annuity providers to hedge their mortality and …
can issue for insurance companies and annuity providers to hedge their mortality and …
Inferring the Implied Volatility of SOFR-Based Swaptions
ML Yueh, CJ Wu - The Journal of Derivatives, 2024 - pm-research.com
The adoption of SOFR introduces valuation and hedging challenges for derivatives due to its
backward-looking settlement style. Despite the availability of analytical pricing formulae for …
backward-looking settlement style. Despite the availability of analytical pricing formulae for …
Antioxidant, Anti‐inflammatory and Cytotoxic Activities of Polyphenols Extracted from Chroogomphus rutilus
Y Zhang, M Lan, JP Lü, JF Li, KY Zhang… - Chemistry & …, 2020 - Wiley Online Library
Chroogomphus rutilus is a rare fungal species that grows under pine trees and is now widely
used as a functional food and pharmaceutical product. However, the chemical constituents …
used as a functional food and pharmaceutical product. However, the chemical constituents …
Valuation of Constant Maturity Credit Default Swaps
H Nakagawa, ML Yueh, MH Hsieh - 2010 - math.sinica.edu.tw
Aided by the innovation of sophisticated products, credit derivatives have provided new ways
for investors to take risk exposures. Constant maturity credit default swap (CMCDS) is an …
for investors to take risk exposures. Constant maturity credit default swap (CMCDS) is an …
An Empirical Analysis of CPPI Strategies for Credit Index Tranches
ML Yueh - The Journal of Fixed Income, 2010 - search.proquest.com
To analyze the capacity of a constant proportion portfolio insurance (CPPI) strategy as a capital
protection method for a portfolio of credit index tranches, this article investigates how the …
protection method for a portfolio of credit index tranches, this article investigates how the …