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장현진
Jang, Hyun Jin

장현진

경영과학부

Research Interests
Quanitative Methods in Finance;Risk Management;Derivatives Pricing;Financial Risk Management;Derivatives;금융 계량 방법론;위험관리;재무위험관리;파생상품
Lab Description
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.
Researcher ID Research Gate ORCiD Scopus Google Scholar
Previous
Profitability of high-frequency market-making under market instability and manipulative behaviors File

Jang, Hyun Jin , Najmiddinov Bekhzodbek

Article Issue Date2025-12 View37
Optimal Investment, Heterogeneous Consumption, and Best Time for Retirement File

Jang, Hyun Jin , Xu, Zuo Quan , Zheng, Harry

Article Issue Date2024-04 View174
Hawkes 모형 기반 고빈도매매시장의 시스템위험 측정

장현진

Article Issue Date2023-12 View118
An analytic approach to network-based modelling for contagious defaults File

Park, Jong Jun , Jang, Hyun Jin

Article Issue Date2022-02 View104
Measuring systemic risk with a dynamic copula-based approach File

Jang, Hyun Jin , Pan, Xiao , Park, Sumin

Article Issue Date2021-06 View99
Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural Networks File

Choi, So Eun , Jang, Hyun Jin , Lee, Kyungsub , Zheng, Harry

Article Issue Date2021-04 View98
Why should we invest in CoCos than stocks? An optimal growth portfolio approach File

Jang, Hyun Jin , Jia, Longjie , Zheng, Harry

Article Issue Date2020-11 View137
Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness File

Choe, Geon Hi , Choi, So Eun , Jang, Hyunjin

Article Issue Date2020-11 View103
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 View196
Pricing arithmetic Asian options under jump diffusion CIR processes File

Park, Jong Jun , Jang, Hyun Jin , Jang, Jiwook

Article Issue Date2020-05 View109
Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach File

Jang, Hyun Jin , Lee, Kiseop , Lee, Kyungsub

Article Issue Date2020-02 View112
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 View102
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY File

Jang, Jiwook , Park, Jong Jun , Jang, Hyun Jin

Article Issue Date2018-11 View87
Contingent convertible bonds with the default risk premium File File

Jang, Hyun Jin , Na, Young Hoon , Zheng, Harry

Article Issue Date2018-10 View105
Hawkes process-based technology impact analysis File

Jang, Hyunjin , Woo, Hangyun , Lee, Changyong

Article Issue Date2017-05 View221
A factor contagion model for portfolio credit derivatives File

Choe, Geonho , Jang, Hyunjin , Kwon, Soonwon

Article Issue Date2015-09 View155
The kth default time distribution and basket default swap pricing File

Choe, Geon Ho , Jang, Hyun Jin

Article Issue Date2011-12 View88
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas File

Choe, Geon Ho , Jang, Hyun Jin

Article Issue Date2011-03 View129
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