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Jang, Hyun Jin (장현진)

Department
School of Business Administration / Graduate School of Technology and Innovation Management(경영과학부)
Website
https://sites.google.com/site/janghj/
Lab
Risk Analysis Lab. (위험분석 연구실)
Research Keywords
금융 계량 방법론, 위험관리, 재무위험관리, 파생상품, Quanitative Methods in Finance, Risk Management, Derivatives Pricing, Financial Risk Management, Derivatives
Research Interests
Risk Analysis Lab. focuses on a financial risk assessment based on quantitative methodologies for optimal decision making by financial institutions and regulators. We study how to quantify and forecast the risk embedded in financial markets based on empirical and statistical analyses and we are interested in exploring a cutting-edge methodology for its application. We ultimately aim to provide a better solution against unexpected shocks for financial industry.
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Issue DateTitleAuthor(s)TypeViewAltmetrics
2020-09A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfoliosChoi, So Eun; Jang, Hyun Jin; Choe, Geon HoARTICLE347 A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfolios
2020-05Pricing arithmetic Asian options under jump diffusion CIR processesPark, Jong Jun; Jang, Hyun Jin; Jang, JiwookARTICLE356 Pricing arithmetic Asian options under jump diffusion CIR processes
2020-05Why should we invest in CoCos than stocks? An optimal growth portfolio approachJang, Hyun Jin; Jia, Longjie; Zheng, HarryARTICLE153 Why should we invest in CoCos than stocks? An optimal growth portfolio approach
2020-02Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubARTICLE368 Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
2019-05Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processesChoe, Geon Ho; Jang, Hyun Jin; Na, Young HoonARTICLE488 Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes
2019-01Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousnessChoe, Geon Hi; Choi, So Eun; Jang, HyunjinARTICLE446 Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness
2018-11CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITYJang, Jiwook; Park, Jong Jun; Jang, Hyun JinARTICLE654 CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY
2018-10Contingent convertible bonds with the default risk premiumJang, Hyun Jin; Na, Young Hoon; Zheng, HarryARTICLE978 Contingent convertible bonds with the default risk premium
2017-05Hawkes process-based technology impact analysisJang, Hyunjin; Woo, Hangyun; Lee, ChangyongARTICLE1087 Hawkes process-based technology impact analysis
2015-09A factor contagion model for portfolio credit derivativesChoe, Geonho; Jang, Hyunjin; Kwon, SoonwonARTICLE1714 A factor contagion model for portfolio credit derivatives
2011-12The kth default time distribution and basket default swap pricingChoe, Geon Ho; Jang, Hyun JinARTICLE651 The kth default time distribution and basket default swap pricing
2011-03Efficient algorithms for basket default swap pricing with multivariate Archimedean copulasChoe, Geon Ho; Jang, Hyun JinARTICLE685 Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

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