Faculty Profile

LIM Kian Guan's photo
Lee Kong Chian School of Business

LIM Kian Guan

Full-time Faculty

OUB Chair Professor of Finance

Education

1986

Ph.D. (Finance), Stanford University

1985

M.A. (Economics), Stanford University

1984

M.S. (Statistics), Stanford University

1978

B.S. (Management Science-1st Class Honors), University of Manchester Institute of Science and Technology

Current Position(s) Held

2001 - Now

Professor of Quantitative Finance/Finance
Lee Kong Chian School of Business, Singapore Management University

2010 - Now OUB Chair Professorship, Term, Singapore Management University

2008 - 2009

Interim Dean
Lee Kong Chian School of Business, Singapore Management University

2006 - 2009

Head of Quantitative Finance
Lee Kong Chian School of Business, Singapore Management University

Awards, Recognition and Honors

Pingat Pentadbiran Awam (Public Administration Medal) Persak (Silver) awarded by the President of Singapore, August 9, 2012

Best Paper Award and conferred Fellow of World Business Institute Conference 2011

National Taiwan University International Conference Competitive Paper Award in Derivatives, 1998
National University of Singapore Outstanding Research Award , 1998
Financial Management Association USA Competitive Paper Award in Futures and Options, 1997
Republic of Singapore 's President Scholarship and Overseas Merit Scholarship, 1975 - 1978

Research Interests

Financial Engineering

Asset Pricing

Estimation and Control

Selected Journal Articles (Refereed)

1. "Choice of Copulas in Explaining Stock Market Contagion", by Kian-Guan LIM, forthcoming Springer special edition of selected papers of the 6th International Conference of the Thailand Econometric Society 2013
2. "On the Term Structure of Model-Free Volatilities and Volatility Risk Premium", by Kian-Guan LIM and Christopher TING, forthcoming Quantitative Finance, 2013
3. "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset", by Joel GOH, Kian-Guan LIM, Melvyn SIM and Weina Zhang, European Journal of Operational Research 2012
4. "Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A Market-Based Forward-Looking Approach", by Carolyn CHANG, Jack CHANG, Kian Guan LIM, forthcoming ASTIN Bulletin, The Journal of the International Actuarial Association, 2012
5. "Extreme Events and the Copula Pricing of Commerical Mortgage-Backed Securities", by Zhan-Yong LIU, Gang-Zhi FAN and Kian Guan LIM, 2009, Vol 38, Issue 3, Journal of Real Estate Finance and Economics

6.

"The Asia Pacific Journal of Management Between 1992 and 1995", by Kian Guan LIM, 2007 , 24 , 4, Asia Pacific Journal of Management, 25th Anniversary Special Issue, 397-400

7.

"An Empirical Study of Pricing and Hedging Collateralized Debt Obligation", by LJ CAI, JQ ZHANG, Kian Guan LIM, and Zhonghui ZHAO, 2007 , 22, Econometrics of Risk Management , Advances in Econometrics

8.

"Bond Rating Using Support Vector Machine", by Lijuan CAO, Kian Guan LIM, and Jingqing ZHANG, 2006 , 10 , 3, Intelligent Data Analysis, IOS Press, 285-296

9.

"Estimating Credit Risk Premia", by Kian Guan LIM, 09/2006 , Vol.III , 3, ICFAI Journal of Financial Risk Management, 7-29

10.

"An empirical study of dimensionality reduction in support vector machine", by LJ CAI, JQ ZHANG, Zongwu CAI, and Kian Guan LIM, 06/2006 , 16 , Neural Network World, 177-192

11.

"A Non-Lattice Pricing Model of American Options under Stochastic Volatility", by Zhang ZHE and Kian Guan LIM, 05/2006, 26, 5, Journal of Futures Markets, 417-448

12. " Bond Rating using Support Vector Machine", by Lijuan CAO, Kian Guan LIM and Jingqing ZHANG, 2006, Vol 10, No. 3 (May-June), Intelligent Data Analysis, IOS Press, 285296

13.

"Pricing Credit Risk of Asset-Backed Securitization Bonds in Singapore ", by T.F. SING, S.E. ONG, G.Z. FAN, and Kian Guan LIM, 2005, Vol. 8, No. 3, International Journal of Theoretical and Applied Finance, 321-338

14. "An Approximation Pricing Alogrithm in an Incomplete Market: A Differential Geometric Approach", by Yuan GAO, LIM Kian Guan and NG Kah Hwa, Vol 8, No 4, Nov 2004, Finance & Stochastics, 501-523

15.

"The Implied Jump Risk of LIBOR Rates", by Kian Guan LIM, Christopher TING, and Mitch WARACHKA, 2005, 29, 10, Journal of Banking and Finance, 2503-2522

16.

"The Effect of Taxes on the Pricing of Defaultable Debt", by Kian Guan LIM, F. SONG, and Mitch WARACHKA, Winter, 2004, Vol. 6, 2, Journal of Risk Research, 1-29

17.

"Asymptotic Dynamics and VAR of Large Diversified Portfolios in a Jump-Diffusion Market", by Kian Guan LIM, Xiaoqing LIU, and Kai Chong TSUI, 2004, Vol 4, issue 2, Quantitative Finance, 129-139, United Kingdom

18. "The Valuation of Multiple Stock Warrants", by Kian-Guan LIM and Eric TERRY, Vol 23, No. 6, June 2003, Journal of Futures Markets, 517-534
19. "Computing Maximum Smoothness Forward Rate Curves", by Kian Guan LIM, Qin XIAO, 2002, Vol 12, Statistics and Computing, 275-279, ISSN 0960-3174
20. " Information-Time Option Pricing: Theory and Empirical Evidence", by C.W. CHANG, J.S.K. CHANG, K.G. LIM, May 1998, Vol 48, No. 2, USA, Journal of Financial Economics
21. "Arbitrage and Price Behaviour of the Nikkei Stock Index Futures" by  KG LIM, Vol 12, No.2, April 1992, USA, The Journal of Futures Markets, 151-161
22. "On Cointegration and Tests of Forward Market Unbiasedness", by Dean CORBAE, Kian Guan LIM, Sam OULIARIS, Nov 1992, Vol 74, Issue 4, Review of Economics and Statistics, 728-732
23. "Extending Financial Portfolio Theory for Product Management". by SM LEONG and KG LIM, Vol 22, Winter 1991, Decision Sciences, 181-193
24. "Equilibrium pricing in the scrap car market", by Chin LIM and  KG LIM, Vol 25B, No. 4, 1991, Transportation Research Part B Methodological, 203-213
25. "A new test of the three moment capital asset pricing model", KG LIM , Vol 24, No. 2, June 1989, Journal of Financial and Quantitative Analysis, 205-216

Selected Books and Monographs (Authored or Co-authored)

1.

"Proabaility and Finance Theory", by Kian Guan LIM, World Scientific Press, 2011, 390 pp

2.

"Financial Valuation and Econometrics", by Kian Guan LIM, World Scientific Press, 2011, 481 pp

3.

"Investment and Financial Data Analysis", by Kian Guan LIM, Mc-Graw hill Publisher (ACE), 2007

4.

"Risk Management of Derivative Trading in Banks" Draft under review