Kate Hsu

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL Champaign 61820

United States

  • University of Illinois at Urbana-Champaign

SCHOLARLY PAPERS

2

DOWNLOADS

311

TOTAL CITATIONS

2

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

22nd Australasian Finance and Banking Conference 2009
Number of pages: 24 Posted: 25 Aug 2009
Cheng-der Fuh, Inchi Hu, Kate Hsu and Ren-Her Wang
Academia Sinica, Hong Kong University of Science & Technology (HKUST) - Department of Information & Systems Management, University of Illinois at Urbana-Champaign and Department of Finance, National Taiwan University
Downloads 162 (395,334)
Citation 2

Abstract:

Loading...

Importance sampling, moderate deviation, multivariate t distribution, quadratic approximation, component VaR

2.

ESO Compensation: The Roles of Default Risk and Over-Confidence

Number of pages: 40 Posted: 15 Jun 2006
Charles Chang, Cheng-der Fuh and Kate Hsu
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Academia Sinica and University of Illinois at Urbana-Champaign
Downloads 149 (424,029)

Abstract:

Loading...

stock options, over-confidence, default model, jump diffusion