Young Shin Kim

University of Karlsruhe

Postbox

76128 Karlsruhe, DE 76128

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

648

SSRN CITATIONS

1

CROSSREF CITATIONS

8

Scholarly Papers (3)

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, Texas Tech University and EDHEC Business School
Downloads 345 (111,983)
Citation 1

Abstract:

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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, Texas Tech University, Bank of Italy and EDHEC Business School
Downloads 303 (128,855)
Citation 14

Abstract:

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

3.

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, Texas Tech University, University of Karlsruhe and EDHEC Business School

Abstract:

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