師資陣容

首頁師資陣容教師

教師

Dan Galai

Dan Galai

客座教授
  • 主要學歷
    Ph.D. in Business Administration, University of Chicago
  • 工作經歷
    以色列希伯來大學工商管理學院Abe Gray講座教授
    Sigma Investment House總裁
    曾任希伯來大學工商管理學院院長
  • 研究專長
    衍生金融商品、風險管理、市場波動性、金融模型

個人簡介

Galai教授現任為希伯來大學工商管理學院Abe Gray講座教授，以及Sigma Investment House總裁，並曾任希伯來大學工商管理學院院長。

Galai教授為國際著名金融家，專精風險管理、財務工程，以及衍生性金融商品。1980年代與 Menachem Brenner 共同發表一系列學術論文，創造波動指數(Volatility Index, VIX)，亦稱為「恐慌指數」。VIX根據S&P500指數的期權價格，即時反映股市波動，普遍作為衡量股市短期價格波動指標，並在芝加哥期貨期權交易所掛牌上市。

在著作出版方面，包括「How to Create a Successful Business Plan」(2016)、「The Essentials of Risk Management」 (2005)等，並在《期權與金融衍生工具》、《公司金融與風險管理》等權威期刊發表學術論文近100篇。參與創建的創業公司包括Oridion(由Covidian收購)、Quigo(由AOL收購)、Nitron、Outbrain、P-kama、Atera、Straterix、Zirra、Gat Energy(天然氣發電站投資)等。

  1. "Transaction Costs and the Relationship Between Put and Call Prices," (with J. Gould), Journal of Financial Economics, Vol. 1, No. 2 (June 1974), pp. 105-129.
  2. "A Note on Cord's Method of Allocating Funds to Investment Projects," Management Science/Application, (August 1975), pp. 1466-70.
  3. "The Option Pricing Model and the Risk Factor of Stock," (with R. Masulis), Journal of Financial Economics, Vol. 3, Nos. 1-2 (January-March 1976), pp. 53-81.
  4. Reprinted in Lee, C.F. (ed.) Financial Analysis and Planning, Addison Wesley, 1983.
  5. "Policy Implications of Full-Loss-Offset Capital Gains Tax on Forward Contracts," Journal of Political Economy, Vol. 84, No. 6 (December 1976), pp. 1313-1318.
  6. "Test of Market Efficiency of the Chicago Board Options Exchange," Journal of Business, Vol. 50, No. 2 (April 1977), pp. 167-197.
  7. "On the Boness and Black-Scholes Models for Valuation of Call Options," Journal of Financial and Quantitative Analysis, (March 1978), pp. 15-27.
  8. "The Empirical Relationship Between Inflation and Financial Assets' Returns in an Inflation Intensive Capital Market," (with M. Brenner), in Sarnat, M. (ed.) Inflation and Capital Markets, Ballinger, Cambridge, Ma., (1978), pp. 3-35.
  9. "Characterization of Options," Journal of Banking and Finance, Vol. 1, No. 4 (December 1977), pp. 373-85.
  10. "Empirical Tests of Boundary Conditions for CBOE Options," Journal of Financial Economics, Vol 6 (1978), pp. 187-211.
  11. "The Risk-Return Relationship and Stock Prices," (with Benjamin Bachrach), Journal of Financial and Quantitative Analysis, Vol. 14, No. 2 (June 1979), pp. 421-441.
  12. "The Determinants of the Return on Index Bonds," (with M. Brenner), Journal of Banking and Finance, Vol. 2 (June 1978), pp. 47-64.
  13. "The Determinants of the Potential Effectiveness of Government Supported Industrial Research Institutes," (with N. Toren), Research Policy, Vol. 7 (1978), pp. 362-382.
  14. "Pricing of Warrants and the Value of the Firm," (with M. Schneller), Journal of Finance, Vol. 33, No. 5 (December 1978), pp. 1333-1342.
  15. "The Effect of Inflation on the Rate on Common Stocks in Israel: 1965-1974," (with M. Brenner), Bank of Israel Economic Review, Vol. 48-49 (January 1979) (Hebrew and English).
  16. "The Value of Future Contingent Obligation: The Case of the Obligation of `The First International Bank of Israel' to Merav's Stockholders," Economic Quarterly (Hebrew), (April 1978), pp. 140-146.
  17. "A Convexity Test for Traded Options," Quarterly Review of Business and Economics, Vol. 19, No. 2 (Summer 1979), pp. 83-90.
  18. "A Proposal for Indexes for Traded Call Options," Journal of Finance, Vol. 34, No. 5 (December 1979), pp. 1157-1172.
  19. "The Perceived Bottlenecks in Developing Science-Based Industries in Israel," R&D Management, (June 1980), pp. 119-123.
  20. "The Effect of Inflation on the Rate of Return on Common Stocks in an Inflation Intensive Capital Market: The Israeli Case 1965-1979," (with Menachem Brenner) in Inflation Through the Ages: Economic, Social, Psychological and Historical Aspects, E. Marcus (ed.), Brooklyn College Press, 1984.
  21. "The Effect of Inflation on Stock Yields, 1965-1979 (Update)," Bank of Israel Economic Review, No. 53 (May 1982).
  22. "The Components of the Return From Hedging Options Against Stocks," The Journal of Business, Vol. 56, No. 1 (January 1983), pp. 45-54.
  23. "Survey of Empirical Testing of Option Pricing Models," in Option Pricing: Theory and Applications, Brenner, M. (ed.), Lexington-Heath, (Mass.), 1983, pp. 45-80.        
  24. "Pricing of Optional Bonds," Journal of Banking and Finance, Vol. 7 (1983), pp. 323–337.
  25. "Information Effects on the Bid-Ask Spread," (with T. Copeland), Journal of Finance, Dec. 1983, pp. 1453-69.
  26. "Option Performance Measurement," (with R. Geske), Journal of Portfolio Management (1984) pp. 42-46.
  27. "The Valuation of Optional Bonds and Estimation of the Long-Term Nominal Interest Rate in Israel from 1966 to 1971," Bank of Israel Review of Banking, (May 1983), pp. 25-41.
  28. "Macro Economic Aspects of the Bank Shares' Crises," (with M. Brenner), The Economic Quarterly, (Hebrew) (February 1984), pp. 909-914.
  29. "A Note on Measuring the Risk of Common Stocks Implied by Options Prices," (with M. Brenner), Journal of Financial and Quantitative Analysis (December 1984), pp. 403–412.
  30. "The Capital Market and the Stock Exchange in Israel," (with M. Brenner), The Economic Quarterly (Hebrew) (Dec. 1985), pp. 354–360.
  31. "Implied Interest Rates," (with M. Brenner) Journal of Business, (July, 1986), pp. 493-507.
  32. "An Economic Assessment of Capital Requirements in the Banking Industry," (with M. Crouhy) Journal of Banking and Finance (June, 1986), pp. 231–241.
  33. "A Proposal for the Frozen Bank Shares," Quarterly Banking Review, Vol. 24, No. 94 (Hebrew) (November, 1985), pp. 54-60.
  34. "On the Prediction of the Implied Standard Deviation," (with M. Brenner), Advances in Futures and Options Research, Vol. 2, (1987) pp. 167-177.
  35. "A Renewed Proposal for the Bank Shares Arrangement," Quarterly Banking Review, Vol. 26, No. 101 (Hebrew) September 1987, pp. 90-92 and 130-133.
  36. "Corporate Income Taxes and the Valuation of Claims on the Corporation," Research in Finance, Vol. 7 (1988) pp. 75-90.
  37. "Testing the Arbitrage Conditions for Option Pricing - A Survey," Financial Markets and Portfolio Management, (1989), pp. 16-27.
  38. "New Financial Instruments for Hedging Changes in Volatility," (with M. Brenner), Financial Analysts Journal, (July/August 1989) pp. 61-65.
  39. "A Note on `Equilibrium Warrant Pricing Models and Accounting for Executives Stock Options'," Journal of Accounting Research, Vol. 27, No. 2, (Autumn, 1989), pp. 263-265
  40. "Financial Innovations: A Survey of New Financial Instruments in Foreign Currency Market," The Economic Quarterly, pp. 243-251, Oct. 1989 (Hebrew).
  41. "Comments on `Optimal Replication of Contingent Claims under Transaction Costs'", The Review of Futures Markets, Vol. 8, No.2 (1990).
  42. "A Contingent Claim Analysis of a Regulated Depository Institution," (with M. Crouhy), Journal of Banking and Finance, Vol. 15, (1991), pp. 73-90.
  43. "Common Errors in the Valuation of Warrants and Options on Firms with Warrants" (with M. Crouhy), Financial Analysts Journal (1991), pp. 89–90.
  44. "Warrant Valuation and Equity Volatility," (with M. Crouhy), Advances in Futures and Options Research, Vol. 5 (1991), pp. 203–215.
  45. "Inferring Volatility from Option Prices" Finance, Vol. 12, No.1 (June, 1991) pp. 45-64.
  46. "The Settlement Day Effect in the French Bourse," (with M. Crouhy) Journal of Financial Services Research, (1992), pp. 417–439.
  47. "The Case for Capital Reform in Israel," (with M. Sarnat), The Economic Review, (Hebrew), Vol. 154 (Dec., 1992), pp. 288–304.
  48. "Predicting the Value of Foreign Currency Call Option with Constant Elasticity of Variance Diffusion Process," (with S. Hauser and C. Bagley), The International Review of Financial Analysis, Vol. 2 (1993).
  49. "The Social Welfare Aspects and Market Inpact of Options Trading: The Lessons for Israel," Bank of Israel Review of Banking, Vol. 11, (Feb. 1993), pp. 55–64.
  50. "The Interaction Between the Financial and Investment Decisions of the Firm: The Case of Issuing Warrants in a Levered Firm," (with M. Crouhy) Journal of Banking and Finance, Vol. 18 (1994), pp. 861-880.
  51. "Hedging Volatility in Foreign Currencies," (with M. Brenner) The Journal of Derivatives. Vol. 1, No. 1 (Fall, 1993) pp. 53–59.
  52. "Behavior of Stock Prices on the Tel-Aviv Stock Exchange: Comparison of the Distribution of Daily Rates of Return Among Different Days 1986-7," (with H.K. Levy) Bank of Israel Economic Review, (Hebrew), Vol. 69 (May, 1995), pp. 75–91, English translation appeared in Bank of Israel Economic Review, 69 (1996), pp. 71–87.
  53. "Stochastic Volatility Related to the Leverage Effect I: Equity Volatility Behavior," (with A. Bensoussan and M. Crouhy), Applied Mathematical Finance, Vol 1, No. 1 (1994) pp. 63-85.
  54. "Stochastic Equity Volatility and the Capital Structure of the Firm," (with A. Bensoussan and M. Crouhy), Philosophical Transactions of the Royal Society of London, Series A. Vol. 347, pp. 531–541, (1994).
  55. "Black-Scholes Approximation of Warrant Prices," (with A. Bensoussan and M. Crouhy) Advances in Futures and Options Research (1995), pp. 1–14.
  56. "Hedging with a Volatility Term Structure," (with M. Crouhy) The Journal of Derivatives (Spring, 1995), pp. 45–52.
  57. "Stochastic Equity Volatility Related to the Leverage Effect II: Valuation of European Equity Options and Warrants," (with A. Bensoussan and M. Crouhy) Applied Mathematical Finance, Vol. 2, (1995) pp. 43-59.
  58. "Economic Evaluation of Remuneration from Patents and Technology Transfers," (with Y. Ilan) International Review of Financial Analysis, Vol. 4, No. 2, (1995) pp.85–99.
  59. "Options on Volatility," (with M. Brenner), in Option Embedded Bonds, I. Nelken (ed.) Irwin Professional Publishing, 1997, pp. 273–286.
  60. "Black-Scholes Appproximation of Complex Option Values: The Cases of European Compound Call Options and Equity Warrants," (with A. Bensoussan and M. Crouhy), in Option Embedded Bonds, I. Nelken (ed.) Irwin Professional Publishing, 1997, pp. 127–154.
  61. "Accounting Aspects of Short Selling," (with R. Aviram), Roeh Ha'Heshbon (in Hebrew) 1996, pp. 636–645.
  62. "Taxes, M-M Propositions and Government's Implicit Cost of Capital in Investment Projects in the Private Sector," European Financial Management, Vol. 4, No. 2 (July 1998).
  63. "Economic Aspects of Short Selling," (with R. Aviram) forthcoming in Bank of Israel Review of Banking (in Hebrew) (1998). 
  64. "Tax Aspect of Short Selling," (with R. Aviram) Tax Quarterly (in Hebrew), 1997.
  65. "What's in the Name," (with M. Crouhy and R. Mark) Risk (Nov. 1997).
  66. "The New 1998 Regulatory Framework for Capital Adequacy: `Standardized Approach' vs. `Internal Models'," (with M. Crouhy and R. Mark), Net Exposure (The Electronic Journal of  Financial Risk), Issue 4 (Jan. 1998), also reprinted in Risk Management and Analysis-Measuring and Modelling Financial Risk (ed. by C. Alexander), John Wiley & Sons (1998), pp. 1¬–37.
  67. "Credit Risk Revisted," (with M. Crouhy and R. Mark), Risk (Credit Risk Supplement), (March, 1998), pp. 40–44, also reprinted in Credit Risk: Models and Management (ed. By I. Shimko), Risk Book (1999).
  68. "Model Risk," (with M. Crouhy and R. Mark), Journal of Financial Engineering (1998), Vol. 7 (3/4), pp.267288, reprinted in Model Risk: Concepts, Calibration and Pricing, (ed. R. Gibson), Risk Book, 2000, pp. 1731.
  69. "Key Steps in Building Consistent Operational Risk Measurement and Management," (with M. Crouhy and R. Mark), Ch. 3 in Operational Risk and Financial Institutions, Risk Books (1998), pp. 4562.
  70. "Exclusive vs. Independent Agents: A Separating Equilibrium Approach," (with Z. Shapira and I.   Venezia), Journal of Economics Behavior and Organization, 2000.
  71. "Evaluating Credit Risk: An Option Pricing Approach," (with M. Crouhy and R. Mark), Risk    Management and Regulation in Banking, Ch. 5 (ed., Galai, Ruthenberg, Sarnat and Schrieber), Kluwer Publishers (1999), pp. 99114.
  72. "A Comparison between the BIS 'Standardized Approach' and the 'Internal Models Approach',"   (with M. Crouhy and R. Mark), in Risk Management and Regulation in Banking, chapter 4,  6598, (Editors: Galai, Ruthenberg, Sarnat and Schreiber), Kluwer Publishers, 1999.
  73. "A Comparative Analysis of Current Credit Risk Models," (with M. Crouhy and R. Mark),  Journal of Banking and Finance, Vol. 24, No. 1-2, (Jan. 2000), pp. 59117.
  74. "Operational Risk," (with M. Crouhy and R. Mark), in Professional's Handbook of Financial  Risk Management, chapter 12, pp. 342376. Editors: Marc Lore and Lev Borodovsky, 2000, Butterworth-Heinemann.
  75. "The New Capital Adequacy Framework and the Need for Consistent Risk Measures for Financial Institutions," (with M. Crouhy and R. Mark), Journal of Banking and Finance, 2000;  in L. Jacque (ed.) Financial Innovations and the Welfare of Nations,.
  76. "The Y2K Enigma," (with M. Brenner and M. Crouhy), in S. Figlewski and Levich, R.M. (eds.), Risk Management, The State of the Art, Kluwer, 2001, pp. 111119.
  77. "One firm, One View" (with M. Crouhy and R. Mark) Risk, (Enterprise-wide Risk Management Special Report), (Dec., 2000).
  78. "Model Selection for Operational Risk", (with M. Crouhy and R. Mark), in Advances in Operational Risk, Risk Books, 2001, pp. 163197.
  79. “Government Support of Investment Projects in the Private Sector: A Micro-Economic
  80.  Approach”, (with Zvi Wiener), Financial Management (2003).
  81. “Internal Risk Rating Systems” (with M. Crouhy and R. Mark), Chapter 17, in M.K. Ong (ed.),
  82.  Credit Ratings, Methodologies, Rationale and Default Risk, RISK Books 2002 (pp. 369-390).
  83. “The Use of Internal Models: Comparison of the New Basel Credit Proposal with Available
  84.  Internal Models for Credit Risk” (with M. Crouhy and R. Mark), in Oxford University 
  85. Press 2004.
  86. “Risk Capital Attribution and Risk-Adjusted Performance Measurement” (with M. Crouhy and R. Mark), in M. K. Ong (ed.) Academic Press 2005.
  87. “Day-of-the-Week Effect in High Moments” (with H. Kedar-Levy), Financial Markets, Institutions & Instruments, 2005.
  88. "Overview: Model Risk" (with Crouhy, and Mark), in Gibson R., Model Risk, Concepts, Calibration and Pricing, Risk Books, 2005.
  89. “The “Ostrich Effect” and the Relationship Between the Liquidity and the Yields of Financial Assets” (with O. Sade), Journal of Business (September, 2006).
  90. “Liquidation Triggers and the Valuation of Equity and Debt “, (with A. Raviv and Z.  Wiener), Journal of Banking and Finance, 2007.
  91. "Seasonality in Outliers of Daily Stock Returns: A Tail that Wags the Dog?" (with H. Kedar-Levy and B. Z.  Schreiber), International Review of Financial Analysis, 17 (2008), 784-792.
  92. “Stakeholders and the Composition of the Voting Rights of the Board of Directors” (with Z. Wiener), the Journal of Corporate Finance, 14 (2008), 107-117.
  93. "Sovereign debt auctions: Uniform or discriminatory?", (with M. Brenner and O. Sade), Journal of Monetary Economics,  2009. A shorter version will appear in Robert W. Kolb (ed.) Sovereign Debt: From Safety to Default, 2010.
  94.  
  95. "Investment in Hidden Assets in Multi-Period Earning Management Model," (with S. 
  96. Sulganik and Z. Wiener), in Venezia I. and Wiener Z. (edts.), Bridging the GAAP, Recent Advances in Finance and Accounting, World Publishing,2011.
  97. "A Balance Sheet Approach for Sovereign Debt" (with Landskroner Y., Raviv A., and Wiener Z.), in Venezia I. and Wiener Z. (edts.) , Bridging the GAAP, Recent Advances in Finance and Accounting , World Publishing,2011
  98. "Vision of Risk :A Stress Testing Perspective" (with Crouhy, M. and Mark, R.),      2011
  99. “Credit Risk Spreads in Local and Foreign Currencies “, (with Wiener, Z.), Journal of Money Credit and Banking, forthcoming 2013
  100. “Bid-Ask Spread and Implied Volatilities of Key Players in a FX Market”, (with B. Z. Schreiber), Journal of Futures Markets, 2013
  101. "Volatility-Decay Risk Premia", (with H. Kedar-Levy and B.Z. Schreiber), Journal of Derivatives, 2014
  102. “Auctioning Financial Assets: Discriminatory vs Uniform: Which                                       Mechanism is Preferred by Bidders?” (with M. Brenner and O. Sade ), in Behavioral Finance,(ed. I Venezia), World Scientific Publishing, 2016  
  103. "Are banks Special?" (with Michel Crouhy),. Quarterly Journal of Finance Vol. 8, No. 3     (2018) (20 pages)
  104. “Dividend Policy Relevance in a Levered Firm- The Binomial Case”, (with Z. Wiener), Economic Letters, 2018.
  105. "Relationship between the risk-neutral and the physical probabilities of default" (with M. Crouhy) in Contingency Approaches to Corporate Finance (with M. Crouhy and Z. Wiener, editors), World Scientific Publishers, 2018.
  106. "The impact of Fintechs on financial intermediation: a functional approach", (with M. Crouhy and Z. Wiener) The journal of FinTech Vol.1, No. 1, 2020.
  107. "Knowns and Unknowns: Risk management in a context of increasing uncertainty", (with G. Gabbi, and Z. Wiener), Quarterly Journal of Finance, 2021