Bo Young Chang

Bank of Canada

234 Wellington St.

Ottawa, Ontario K1A0G9

Canada

http://www.bankofcanada.ca/author/bo-young-chang-2/

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SCHOLARLY PAPERS

5

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Top 17,424

in Total Papers Downloads

5,351

SSRN CITATIONS
Rank 9,883

SSRN RANKINGS

Top 9,883

in Total Papers Citations

145

CROSSREF CITATIONS

18

Scholarly Papers (5)

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1.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
Peter Christoffersen, Kris Jacobs and Bo Young Chang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 1,776 (18,159)
Citation 13

Abstract:

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Volatility, skewness, kurtosis, density forecasting, risk-neutral

2.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bo Young Chang, Peter Christoffersen, Kris Jacobs and Gregory Vainberg
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,733 (18,853)
Citation 24

Abstract:

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market beta, CAPM, historical, capital budgeting, model-free moments

3.

Market Skewness Risk and the Cross-Section of Stock Returns

Number of pages: 43 Posted: 30 Sep 2009
Bo Young Chang, Peter Christoffersen and Kris Jacobs
Bank of Canada, University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 1,516 (23,199)
Citation 68

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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments

4.

Equity Option Implied Probability of Default and Equity Recovery Rate

Journal of Futures Markets, Vol. 37, No. 6, 2017
Number of pages: 20 Posted: 05 Dec 2015 Last Revised: 26 Aug 2019
Bo Young Chang and Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 189 (293,078)
Citation 3

Abstract:

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option, default, probability of default, arbitrage bounds

5.

A Simple Method for Extracting the Probability of Default from American Put Option Prices

Number of pages: 20 Posted: 14 Feb 2020
Bo Young Chang and Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 137 (384,493)

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default, probability of default, American put option, arbitrage, lower bounds