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A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfolios Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho, APPLIED ECONOMICS LETTERS, v.27, no.15, pp.1264 - 1271, 2020-09 |
Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.54, 2020-11 |
Systemic risk inherent in credit default swap indices and optimal execution strategies in limit order books for market makers = 신용 부도 스왑 지수에 내재된 시스템 위험과 시장 조성자의 호가창에서 최적 실행 전략link Choi, So Eun; Choe, Geon Ho; et al, 한국과학기술원, 2020 |
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