Seyoung Park

Nottingham University Business School

Associate Professor of Finance, Risk and Banking

Nottingham University Business School

Jubilee Campus

Nottingham

United Kingdom

  • Nottingham University Business School

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    • Tel: +44-7927-494518
SCHOLARLY PAPERS

33

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6

Scholarly Papers (33)

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1.

Short-Term Market Changes and Market Making with Inventory

Number of pages: 12 Posted: 25 Jul 2020
Jin Gi Kim, Sam Beatson, Bong-Gyu Jang, Ho-Seok Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, affiliation not provided to SSRN, Pohang University of Science and Technology (POSTECH), Kwangwoon University - Department of Mathematics and Nottingham University Business School
Downloads 981 (48,354)

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Market Maker, Regime Switching, Inventory Management, Intraday Trade, Market Micro-Structure

2.

Using Insurance Instruments to Improve Disaster Risk Finance in Indonesia

Number of pages: 26 Posted: 02 Apr 2019 Last Revised: 18 May 2022
Chusu He, John Hillier, Alistair Milne, Seyoung Park and Robby Soetanto
University of Greenwich - Accounting and Finance, Loughborough University, Loughborough University - School of Business and Economics, Nottingham University Business School and Loughborough University
Downloads 252 (246,886)
Citation 1

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Captive insurance, catastrophe insurance, catastrophe modelling, community mapping, disaster planning, economic capital, flooding, insurance, loss distribution, loss simulation, disasters, spatial data infrastructures, risk transfer instruments, transaction costs

3.

Optimal Retirement with Long-Run Income Risk

Number of pages: 61 Posted: 16 Mar 2017 Last Revised: 22 Nov 2022
Shan Huang, Seyoung Park and Jane Yoo
Georgia Institute of Technology, Nottingham University Business School and Ajou University - School of Business
Downloads 234 (265,500)
Citation 1

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Long-Run Income Risk, Cointegration, Investment, Retirement

4.

Optimal Consumption and Investment with Independent Stochastic Labor Income

forthcoming in Mathematics of Operations Research
Number of pages: 35 Posted: 03 Mar 2023 Last Revised: 23 Jan 2024
Alain Bensoussan and Seyoung Park
University of Texas at Dallas - Naveen Jindal School of Management and Nottingham University Business School
Downloads 147 (402,939)

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optimal consumption and investment, stochastic income, Bellman equation, dynamic programming

5.

Employment Growth, Liquidity Risk, and the Cross-section of Stock Returns

Number of pages: 51 Posted: 04 Feb 2019 Last Revised: 26 May 2019
Weimin Liu, Di Luo, Seyoung Park and Huainan Zhao
Nottingham University Business School, University of Dundee School of Business, Nottingham University Business School and Loughborough University - School of Business and Economics
Downloads 138 (423,595)

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Employment growth premium; Liquidity risk; Labor hiring

6.

Entrepreneurial Business Plan Under Undiversifiable Idiosyncratic Risk

Number of pages: 52 Posted: 20 Apr 2015
Bong-Gyu Jang, Hyun-Tak Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Korea Asset Management Corporation and Nottingham University Business School
Downloads 126 (454,852)

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optimal consumption, optimal portfolio, entrepreneurial business, idiosyncratic risk, risky business

7.

Income Disaster Model with Optimal Consumption

Number of pages: 67 Posted: 02 Feb 2022 Last Revised: 11 Nov 2024
Seyoung Park
Nottingham University Business School
Downloads 121 (469,334)

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income disaster, precautionary savings, incomplete markets, asset pricing, marginal propensities to consume

8.

Marginal Propensity to Consume with a Negative Wealth Constraint

Number of pages: 17 Posted: 21 Aug 2016 Last Revised: 18 Nov 2017
Seyoung Park and Jong Mun Yoon
Nottingham University Business School and The Credit Finance Association of Korea (CREFIA)
Downloads 119 (475,369)

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optimal consumption, wealth, marginal propensity to consume, negative wealth constraint

9.

Optimal Consumption and Investment Decisions with Disastrous Income Risk: Revisiting Rietz's Rare Disaster Risk Hypothesis

Downloads 99 (543,233)

Optimal Consumption and Investment Decisions with Disastrous Income Risk: Revisiting Rietz's Rare Disaster Risk Hypothesis

Number of pages: 49 Posted: 04 May 2023 Last Revised: 12 Dec 2023
Chusu He, Alistair Milne and Seyoung Park
University of Greenwich - Accounting and Finance, Loughborough University - School of Business and Economics and Nottingham University Business School
Downloads 72 (666,208)

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Optimal Consumption, Optimal Savings, Disastrous Income Risk, Insurance

Optimal Consumption and Savings Decisions with Disastrous Income Risk: Revisiting Rietz's Rare Disaster Risk Hypothesis

Number of pages: 46 Posted: 06 Jun 2023
Chusu He, Alistair Milne and Seyoung Park
University of Greenwich - Accounting and Finance, Loughborough University - School of Business and Economics and Nottingham University Business School
Downloads 27 (1,000,361)

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Optimal Consumption, Optimal Savings, Disastrous Income Risk, Insurance

10.

Optimal Annuitization with Early Retirement: A Martingale-Dual Approach

Forthcoming, Journal of Risk Management (리스크관리연구)
Number of pages: 33 Posted: 15 Apr 2022 Last Revised: 09 Jun 2022
Junkee Jeon and Seyoung Park
Kyung Hee University - Department of Applied Mathematics and Nottingham University Business School
Downloads 72 (655,510)
Citation 2

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optimal annuitization, early retirement, martingale method, variational inequality

11.

Analytic Approach for Models of Optimal Retirement with Disability Risk

Number of pages: 23 Posted: 14 May 2023 Last Revised: 16 May 2023
Jiwon Chae, Bong-Gyu Jang and Seyoung Park
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School
Downloads 66 (685,307)

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Retirement, Disability Risk, Total Wealth, Optimal Consumption and Portfolio

12.

The Impact of Climate Risk on Capital Stock and Optimal Financing Policies: A Theoretical Analysis

Forthcoming in the Journal of Risk Management (리스크관리연구)
Number of pages: 21 Posted: 16 Mar 2023 Last Revised: 09 May 2023
Seyoung Park
Nottingham University Business School
Downloads 55 (747,362)

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Climate Risk, Capital Stock, Investment, Financing

13.

Optimal Consumption and Portfolio Strategy for Retirees with Inflation

forthcoming in Journal of Risk Management
Number of pages: 24 Posted: 16 Apr 2024
Seyoung Park
Nottingham University Business School
Downloads 54 (753,679)

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Optimal Consumption, Optimal Investment, Retiree, Inflation, Precautionary Savings

14.

Optimal Annuitization with Markov Regime Switching Model

Forthcoming in the Journal of Risk Management(리스크관리연구)
Number of pages: 23 Posted: 11 Apr 2023 Last Revised: 31 Jul 2023
Seyoung Park
Nottingham University Business School
Downloads 50 (779,547)
Citation 1

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Annuitization, Retirement, Regime Switching

15.

Optimal Annuitization Strategy with a Large, Negative Economic Shock

Journal of Risk Management(리스크관리연구), 32(2), 2021. 6, 61-99, dx.doi.org/10.21480/tjrm.32.2.202106.003
Number of pages: 22 Posted: 09 Sep 2021
Seyoung Park
Nottingham University Business School
Downloads 39 (861,076)
Citation 1

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optimal annuitization, large, negative economic shock, incomplete market

16.

How Does Consumption-Wealth Ratio Matter for Asset Returns: A Regime Switching Approach

Number of pages: 13 Posted: 22 Sep 2023
Qi Li, Di Luo, Seyoung Park and Huainan Zhao
Pusan National University, University of Dundee School of Business, Nottingham University Business School and Loughborough University - School of Business and Economics
Downloads 33 (913,404)

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Consumption-Wealth Ratio, Regime Switching, asset pricing, Regime-Switching Risk Premium

17.

Asset Returns and Regime-Switching Consumption-Wealth Ratio

Number of pages: 14 Posted: 17 Sep 2024
Qi Li, Di Luo, Seyoung Park, Huainan Zhao and Bong-Gyu Jang
Pusan National University, University of Dundee School of Business, Nottingham University Business School, Loughborough University - School of Business and Economics and Pohang University of Science and Technology (POSTECH)
Downloads 15 (1,109,402)

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Consumption-Wealth Ratio, Regime Switching, Asset Pricing, Regime-Switching Risk Premium

18.

Liquidity Constraints and Optimal Annuitization

Forthcoming in Journal of Derivatives and Quantitative Studies (JDQS) JDQS DOI: 10.1108/JDQS-12-2021-0033
Posted: 30 Dec 2021 Last Revised: 26 Feb 2022
Seyoung Park
Nottingham University Business School

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liquidity constriants, annuitization, investment, consumption

19.

A Life-Cycle Model for Income Risk Management

Downloads 0 (1,270,353)

A Life-Cycle Model for Income Risk Management

Posted: 01 May 2018 Last Revised: 12 Apr 2020
Seyoung Park
Nottingham University Business School

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Income Risk, Incomplete Market, Life-Cycle Model, Optimal Consumption and Investment

A New Science of Finance for Addressing the Challenge of Uncertainty: Thoughts on the Future

Posted: 13 Jun 2018
Seyoung Park
Nottingham University Business School

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Uncertainty, Decision Model, Anomalies, General Equilibrium

20.

Addressing the Challenge of Annuity Income Uncertainty: A Dynamic Annuitization Strategy

Posted: 09 Aug 2017 Last Revised: 12 Apr 2020
Seyoung Park
Nottingham University Business School

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Dynamic Annuitization, Consumption, Saving, Investment, Annuity Income Uncertainty

21.

A Generalization of Ramsey Rule on Discount Rate with Regime Switching

Economics Letters, Forthcoming
Posted: 08 Feb 2017 Last Revised: 17 Jun 2018
Seyoung Park
Nottingham University Business School

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discount rate, regime switching, equilibrium

22.

How to Consume and Invest for Retirement: Revisiting Friedman's Permanent Income Hypothesis

Forthcoming in Retirement: Key Issues, Challenges and Opportunities
Posted: 30 Aug 2016 Last Revised: 12 Oct 2016
Seyoung Park
Nottingham University Business School

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consumption, investment, permanent income hypothesis (PIH), retirement, borrowing constraints

23.

Verification Theorems for Optimal Consumption and Investment Problems with Annuitization

Mathematical Social Sciences, Vol. 103, 2020
Posted: 25 Feb 2016 Last Revised: 13 Apr 2020
Seyoung Park
Nottingham University Business School

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annuitization, existence, uniqueness, variational inequality

24.

Optimal Investment with Time-Varying Transition Probabilities for Regime Switching

Forthcoming in Journal of Derivatives and Quantitative Studies
Posted: 01 Feb 2016 Last Revised: 11 Jun 2021
Hyo-Chan Lee, Seyoung Park and Jong Mun Yoon
The Credit Finance Association of Korea (CREFIA), Nottingham University Business School and The Credit Finance Association of Korea (CREFIA)

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optimal investment, time-varying transition probabilities, regime switching, cash flows, option

25.

Industry Portfolio Allocation with Asymmetric Correlations

European Journal of Finance, Forthcoming
Posted: 07 Nov 2015 Last Revised: 13 Apr 2020
Myeong Hyeon Kim, Seyoung Park and Jong Mun Yoon
Seoul National University of Science and Technology, Nottingham University Business School and The Credit Finance Association of Korea (CREFIA)

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Optimal portfolio; Dynamic and asymmetric correlation, Systematic risk

26.

A Generalization of Yaari's Result on Annuitization with Optimal Retirement

Economics Letters, Vol. 137, 2015
Posted: 02 Aug 2015 Last Revised: 10 Nov 2015
Seyoung Park
Nottingham University Business School

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optimal annuitization, critical wealth level, option, leisure

27.

Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint

Finance Research Letters, Forthcoming
Posted: 10 May 2014 Last Revised: 08 Apr 2016
Bong-Gyu Jang and Seyoung Park
Pohang University of Science and Technology (POSTECH) and Nottingham University Business School

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ambiguity aversion, optimal portfolio, value at risk, expected shortfall, fund management

28.

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk

Insurance: Mathematics and Economics, Forthcoming
Posted: 02 May 2014 Last Revised: 09 Jun 2020
Bong-Gyu Jang, Seyoung Park and Huainan Zhao
Pohang University of Science and Technology (POSTECH), Nottingham University Business School and Loughborough University - School of Business and Economics

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optimal retirement, forced unemployment risk, borrowing constraints, dynamic programming

29.

Ambiguity Premium and Transaction Costs

Economics Letters, Forthcoming
Posted: 10 Mar 2014 Last Revised: 20 Jul 2021
Bong-Gyu Jang, Taeyoon Kim, Seungkyu Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering and Nottingham University Business School

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optimal investment, ambiguity aversion, transaction costs, ambiguity premium

30.

Unemployment Risks and Optimal Retirement in an Incomplete Market

Operations Research, Forthcoming
Posted: 20 Jan 2013 Last Revised: 06 Mar 2016
Alain Bensoussan, Bong-Gyu Jang and Seyoung Park
University of Texas at Dallas - Naveen Jindal School of Management, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School

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unemployment risk, optimal retirement, optimal investment, portfolio theory, dynamic programming, convex duality

31.

Optimal Retirement with Unemployment Risks

Journal of Banking and Finance, Vol 37, Issue 9
Posted: 20 Aug 2011 Last Revised: 22 Jul 2013
Bong-Gyu Jang, Seyoung Park and Yuna Rhee
Pohang University of Science and Technology (POSTECH), Nottingham University Business School and Pohang University of Science and Technology (POSTECH)

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unemployment risk, involuntary retirement, optimal retirement, moderate equity holdings, retirement consumption puzzle

32.

Optimal Consumption and Investment with Insurer Default Risk

Insurance: Mathematics and Economics, Forthcoming
Posted: 14 Jul 2008 Last Revised: 12 May 2019
Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park
Pohang University of Science and Technology (POSTECH), Ajou University and Nottingham University Business School

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optimal consumption, optimal investment, insurer default risk, annuity demand

33.

Optimal Reinsurance for Cyber Risk Transfer

Number of pages: 32
Kwang-min Jung and Seyoung Park
Pohang University of Science and Technology (POSTECH) and Nottingham University Business School
Downloads 0

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