Mi Ae KIM

College of Business, Korea Advanced Institute of Science and Technology (KAIST)

85 Hoegiro Dongdaemun-Gu

Seoul 02455

Korea, Republic of (South Korea)

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Scholarly Papers (1)

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A First-Passage-Time Model Under Regime-Switching Market Environment

Journal of Banking and Finance, Vol. 32, No. 12, 2008
Posted: 27 Nov 2007 Last Revised: 22 Oct 2010
Mi Ae KIM, Bong-Gyu Jang and Ho-Seok Lee
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Pohang University of Science and Technology (POSTECH) and Korea Advanced Institute of Science and Technology (KAIST) - Department of Management Science

Abstract:

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first passage time model, regime switching, credit default swap, business cycle, default correlation