Baeho Kim

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A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte Carlo simulation of the affine point process that models the loss. We consider two algorithms that exploit the direct specification of the loss process in terms of an intensity.(More)
In most cases authors are permitted to post their version of the article (e.g. in Word or Tex form) to their personal website or institutional repository. Authors requiring further information regarding Elsevier's archiving and manuscript policies are encouraged to visit: Keywords: Correlated defaults Risk premium Measure change Maximum likelihood JEL(More)
In this paper, we build an intraday model for volatility based on price change intensity. The quantity we model is thus named " volatensity ". The model is a combination of an Autoregressive Conditional Duration (ACD) structure resembling that of Engle and Russel (1998) and an additional term, inspired by the literature on Hawkes processes. The ACD(More)
JEL classification: C13 G01 G21 G28 Keywords: Systemic bubble Financial crisis Cyclicality Early warning signal Markov regime-switching model a b s t r a c t This paper investigates the extent of vulnerability in the U.S. commercial banking system through a pro-cyclical interaction between the market-wide risk perception and system-wide asset management(More)
a r t i c l e i n f o a b s t r a c t We study the impact of the recent global financial crisis on the determinants of corporate bond spreads, in particular, focusing on the impact of liquidity and credit risk on yield spreads using data regarding financial and non-financial bond issuers listed on the Korea Exchange (KRX). Our main findings reveal that the(More)