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Sam Chung

Sam Y. Chung

Associate Professor of Finance

B.A., Kyung Hee University (Seoul, Korea)M.B.A., Illinois State University; M.S.F., Boston CollegePh.D., University of Massachusetts, Amherst

http://myweb.brooklyn.liu.edu/schung

Description

Sam Y. Chung is an Associate Professor of Finance at LIU Brooklyn’s School of Business. He is also a research associate of the Center for International Securities and Derivatives Markets (CISDM) at the University of Massachusetts and an Editorial Board Member of the Journal of Alternative Investments. Dr. Chung has had more than fifteen years of experience in the Hedge Funds industry, as an active researcher, adviser and senior manager.

He received his Ph.D. in Finance from the University of Massachusetts-Amherst, Master of Finance from Boston College, and M.B.A from Illinois State University. He has published various articles in journals such as the Journal of International Business and Finance, the Journal of Alternative Investment along with numerous research and consulting endeavors in the area of financial risk management and measurement.  His current research interests include: Risk Measurement (VaR) and Management through Derivatives Markets, Alternative Investment (Hedge Funds, CTAs, Managed Futures, etc.) strategies, Futures Market Microstructure, and International Banking and Finance. He is an active member of both academic and practical affiliations such as American Finance Association (AFA), Financial Management Association (FMA), European Finance Association (EFA), Alternative Investment Management Association (AIMA) and Korea-America Finance Association (KAFA).

Specialties

Research:  Portfolio Optimization and Asset Allocation Theory through Traditional and Alternative Investments (Hedge Funds, CTAs, Managed Futures, etc.).  Risk Measurement (VaR) and Management through Derivatives Markets.  Futures Market Microstructure.

Teaching: Risk Management/Derivatives, Investment, Portfolio Management, Securities Analysis, Hedge Funds and Alternative Investments.

Publications

  • Co-author, “Optimal Portfolio Selection with Constrained on Value at Risk in the Korean Securities Market”, published in the Journal of Alternative Investments.
  • Author, “Hedge Fund Regulation vs. Return Manipulation,” published by Korea Stock and Futures Exchange. 
  • Co-author, “Hedge Fund of Fund Allocations Using a Convergent and Divergent Strategy Approach,” published in Alternative Investments.
  • Author, “The Estimation of a Firm’s Hedging Effects: Marginal Value at Risk (M-VaR)   Approach,” published in the Hedge Funds industry.
  • Co-author, “Corporate Reputation and Investment Performance: UK and US Experience,” published in Research in International Business and Finance.
  • Co-author, “Understanding Hedge Fund Performance: Research Issues Revisited – Part I,” published in Journal of Alternative Investments.
  • Author, “The Risks and Rewards of Investing in Commodity-Based Indices,” published in Journal of Alternative Investments.
  • Author, “Portfolio Risk Measurement: A Review of Value at Risk,” published in Journal of Alternative Investments.
  • Co-author,“Hedge Fund of Fund Allocations: Alternative View of Portfolio Optimization,” published in Alternative Investment Management Association (AIMA) Journal. 
  • Author, “Derivatives, Risk Exposure and Analysts’ Forecasts: A Comparison Study of Two Commodity Firms,” Journal of Financial Research.
  • Co-presenter, “Hedge Fund Regulation vs. Return Manipulation,” Korea Institute of Finance(KIF), Korea America Economic Association (KAEA) and Korea America Finance Association (KAFA) Joint Conference -Korea.
  • Co-presenter,“Lessons from Hedge Funds Failure: Institutional Investors’ View,” Korea Institute of Finance(KIF), Korea America Economic Association (KAEA) and Korea America Finance Association (KAFA) Joint Conference -Korea.
  • Co-presenter, “The Relevance of Hedge Funds Regulation: Based on the SEC Form ADV”, Korea Securities Research Institute (KSRI) and Korea America Finance Association (KAFA) Joint Conference -Korea.
  • Co-presenter,“Hedge Funds’ Idiosyncratic Risk and Performance: Institutional Investor’s View,” Korea Institute of Finance (KIF), Korea America  Economic Association (KAEA) and Korea America Finance Association (KAFA) Joint Conference -Korea.
  • Presenter, “Risk Management and Measurement for Derivatives and Portfolios of Derivatives,” the Third Seoul International Derivatives Securities Conference Proceeding, Financial News Press – Korea.
  • Co-presenter, “Some Thoughts on the Source of Return to Actively Traded Derivatives Portfolios,” the Second Seoul International Derivatives Securities Conference Proceeding, Financial News Press – Korea.
  • Presenter, “Exploring Myths of Hedge Fund Investment,” the 4th Seoul International Financial Forum Proceeding,  Seoul, Korea.
  • Presenter, “Why Do Firms Use Derivatives?: Theory and Empirical Evidence,” The First Seoul International Derivatives Securities Conference Proceeding, Financial News Press – Korea.
  • Co-author, “Lessons from Major Developed Countries’ Hedge Funds Regulation.”
  • Author, “Searching for the Optimal Value at Risk (VaR),” Managing Hedge Fund Risk. 
  • Co-author, “Risk Measurement for Managed Futures and Hedge Funds: Value at Risk vs. Futures’ Margin,” Managing Hedge Fund Risk.
  • Author, “The Hedge Fund Handbook: A Definitive Guide for Analyzing and Evaluating Alternative Investments.”

Professional Affiliations

  • Editorial Board Member, Journal of Alternative Investments (JAI),
  • Member, Alternative Investment Management Association (AIMA)
  • Member, Eastern Finance Association (EFA)
  • Member, American Finance Association (AFA)                                                        
  • Member, Financial Management Association (FMA)
  • Member, Korea- America Finance Association (KAFA)                                          
  • Member, Korea- America Economy Association (KAEA)
  • Former Secretary General, Korea-America Finance Association (KAFA)

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