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Showing results 1 to 11 of 11

A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfolios File

Choi, So Eun , Jang, Hyun Jin , Choe, Geon Ho

Article Issue Date2020-09 View75
Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness

Jang, Hyun Jin , Choi, So Eun , Choe, Geon Ho

Conference Paper Issue Date2018-07-16 View33
Dynamics of Systematic risk and Systemic risk in CDOs

Jang, Hyun Jin , Choi, So Eun , Choe, Geon Ho

Conference Paper Issue Date2017-06-17 View17
Dynamics of Systematic Risk and Systemic Risk in CDOs

Jang, Hyun Jin , Choe, Geon Ho , Choe, So Eun

Conference Paper Issue Date2017-12-14 View33
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas File

Choe, Geon Ho , Jang, Hyun Jin

Article Issue Date2011-03 View70
Kth default time distribution and basket default swap pricing

Jang, Hyunjin , Choe, Geon Ho

Conference Paper Issue Date2008-10-24 View23
Portfolio credit derivative pricing with heavy-tailed distribution

Jang, Hyunjin , Choe, Geon Ho

Conference Paper Issue Date2009-09-25 View23
Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes File

Choe, Geon Ho , Jang, Hyun Jin , Na, Young Hoon

Article Issue Date2019-05 View32
The kth default time distribution and basket default swap pricing

Jang, Hyunjin , Choe, Geon Ho

Conference Paper Issue Date2009-03-12 View17
The kth default time distribution and basket default swap pricing

Jang, Hyunjin , Choe, Geon Ho

Conference Paper Issue Date2008-07-15 View22
The kth default time distribution and basket default swap pricing File

Choe, Geon Ho , Jang, Hyun Jin

Article Issue Date2011-12 View27
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