Sang Byung Seo

University of Wisconsin - Madison

Assistant Professor of Finance

975 University Avenue

Madison, WI 53706-1324

http://sites.google.com/site/sangbyungseo

SCHOLARLY PAPERS

6

DOWNLOADS

1,363

SSRN CITATIONS

34

CROSSREF CITATIONS

6

Scholarly Papers (6)

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76
Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 22 Nov 2017
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 501 (59,100)

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implied volatilities, consumption disasters, jump-diffusions

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55
Number of pages: 71 Posted: 22 Oct 2013
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 63 (377,165)

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Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611
Number of pages: 63 Posted: 09 Nov 2013
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 13 (626,085)
Citation 2

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2.
Downloads 397 ( 79,209)
Citation 14

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance
Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 02 Mar 2019
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 382 (82,112)
Citation 14

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disaster risk, financial crisis, collateralized debt obligations

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723
Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 15 Oct 2016
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 15 (611,432)

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3.

Slowly Unfolding Disasters

Number of pages: 60 Posted: 09 Aug 2019 Last Revised: 19 Dec 2019
Mohammad Ghaderi, Mete Kilic and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, University of Southern California - Marshall School of Business and University of Wisconsin - Madison
Downloads 137 (225,630)

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4.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 58 Posted: 27 Aug 2018 Last Revised: 07 Aug 2019
Guanglian Hu, Kris Jacobs and Sang Byung Seo
The University of Sydney - Discipline of Finance, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 114 (259,129)

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5.

Ex Ante Risk in the Corporate Bond Market: Evidence from Synthetic Options

Number of pages: 61 Posted: 25 Mar 2019 Last Revised: 17 Aug 2019
Steven Shu-Hsiu Chen, Hitesh Doshi and Sang Byung Seo
University of Houston, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 105 (274,619)

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6.

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Number of pages: 57 Posted: 23 Oct 2019
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 33 (484,432)

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