Young Shin Kim

University of Karlsruhe

Postbox

76128 Karlsruhe, DE 76128

Germany

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 46,336

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Top 46,336

in Total Papers Downloads

672

CITATIONS

2

Scholarly Papers (4)

1.

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Number of pages: 11 Posted: 18 Mar 2012
Karlsruhe Institute of Technology, University of Karlsruhe, Stony Brook University and EDHEC Business School
Downloads 260 (80,495)

Abstract:

Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization

2.

Computing VAR and AVaR in Infinitely Divisible Distributions

Yale ICF Working Paper No. 09-07
Number of pages: 37 Posted: 08 May 2009
University of Karlsruhe, Stony Brook University, Bank of Italy and EDHEC Business School
Downloads 245 (96,611)
Citation 2

Abstract:

tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk

3.

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Journal of Banking and Finance, Vol. 58, pp.194-213, 2015
Number of pages: 38 Posted: 25 Mar 2014 Last Revised: 08 Jun 2015
Jaehyung Choi, Young Shin Kim and Ivan Mitov
SUNY at Stony Brook, University of Karlsruhe and Finanalytica
Downloads 90 (198,806)

Abstract:

momentum strategy, reward-risk measure, classical tempered stable distribution

4.

Barrier Option Pricing by Branching Processes

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Posted: 21 Apr 2010
Bulgarian Academy of Science, Stony Brook University, University of Karlsruhe and EDHEC Business School

Abstract:

Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment