Jack Kim

Stanford University - Management Science & Engineering

473 Via Ortega

Stanford, CA 94305-9025

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 17 Dec 2013
Stanford University - Management Science & Engineering, Korea University Business School (KUBS), Stanford University - Management Science & Engineering and University of Pennsylvania - The Wharton School
Downloads 616 (16,542)

Abstract:

portfolio selection, credit swap, goal program, nested expectation

2.

Analytical Approximations for Loan and Credit Derivatives Portfolios

Posted: 29 Apr 2012 Last Revised: 20 Jul 2015
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Toho University

Abstract:

profit and loss distribution, correlated defaults, mark-to-market, short-term approximation