Bo Young Chang

Bank of Canada

234 Wellington St.

Ottawa, Ontario K1A0G9

Canada

http://www.bankofcanada.ca/author/bo-young-chang-2/

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 14,003

SSRN RANKINGS

Top 14,003

in Total Papers Downloads

4,656

SSRN CITATIONS
Rank 12,485

SSRN RANKINGS

Top 12,485

in Total Papers Citations

78

CROSSREF CITATIONS

18

Scholarly Papers (5)

1.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
Peter Christoffersen, Kris Jacobs and Bo Young Chang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 1,565 (15,166)
Citation 13

Abstract:

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Volatility, skewness, kurtosis, density forecasting, risk-neutral

2.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,527 (15,809)
Citation 24

Abstract:

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market beta, CAPM, historical, capital budgeting, model-free moments

3.

Market Skewness Risk and the Cross-Section of Stock Returns

Number of pages: 43 Posted: 30 Sep 2009
Bo Young Chang, Peter Christoffersen and Kris Jacobs
Bank of Canada, University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 1,336 (19,295)
Citation 68

Abstract:

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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments

4.

Equity Option Implied Probability of Default and Equity Recovery Rate

Journal of Futures Markets, Vol. 37, No. 6, 2017
Number of pages: 20 Posted: 05 Dec 2015 Last Revised: 26 Aug 2019
Bo Young Chang and Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 147 (256,519)
Citation 3

Abstract:

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option, default, probability of default, arbitrage bounds

5.

A Simple Method for Extracting the Probability of Default from American Put Option Prices

Number of pages: 20 Posted: 14 Feb 2020
Bo Young Chang and Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 81 (386,828)

Abstract:

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default, probability of default, American put option, arbitrage, lower bounds