Chulwoo Han

Sungkyunkwan University

Associate Professor

25-2, Sungkyunkwan-ro

Jongno-gu

Seoul, 03063

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 20,287

SSRN RANKINGS

Top 20,287

in Total Papers Downloads

4,718

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (13)

1.

Pairs Trading via Unsupervised Learning

Number of pages: 41 Posted: 04 May 2021 Last Revised: 07 Jun 2021
Chulwoo Han, Zhaodong He and Alenson Jun Wei Toh
Sungkyunkwan University, Durham University and Nanyang Technological University
Downloads 2,008 (15,242)
Citation 4

Abstract:

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Unsupervised learning, Pairs trading, K-means clustering, DBSCAN, Agglomerative clustering

Deep Momentum: International Evidence

Number of pages: 35 Posted: 12 May 2023
Chulwoo Han and Chang Qin
Sungkyunkwan University and Durham University Business School
Downloads 688 (70,461)

Abstract:

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Bimodality, deep momentum, machine learning, reclassification.

Deep Momentum: International Evidence

Number of pages: 36 Posted: 19 May 2023
Chulwoo Han and Chang Qin
Sungkyunkwan University and Durham University Business School
Downloads 51 (724,038)

Abstract:

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Bimodality, deep momentum, Machine Learning, reclassification.

3.

An Extended CreditRisk+ Framework for Portfolio Credit Risk Management

Number of pages: 26 Posted: 23 Apr 2014
Chulwoo Han and Jangkoo Kang
Sungkyunkwan University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 403 (137,280)
Citation 2

Abstract:

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4.

Efficient Value at Risk Estimation for Mortgage-Backed Securities

Number of pages: 31 Posted: 23 Apr 2014
Chulwoo Han, Frank C. Park and Jangkoo Kang
Sungkyunkwan University, Seoul National University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 341 (165,164)

Abstract:

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5.

Comparative Analysis of Credit Risk Models for Loan Portfolios

Number of pages: 17 Posted: 23 Apr 2014 Last Revised: 29 Apr 2014
Chulwoo Han
Sungkyunkwan University
Downloads 324 (174,438)
Citation 1

Abstract:

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6.

Impacts of Derivative Markets on Spot Market Volatility and Their Persistence

Number of pages: 11 Posted: 23 Apr 2014
Chulwoo Han
Sungkyunkwan University
Downloads 290 (196,018)

Abstract:

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7.

Time-Series and Cross-Sectional Momentum in the Cryptocurrency Market: A Comprehensive Analysis under Realistic Assumptions

Number of pages: 66 Posted: 16 Jan 2024 Last Revised: 19 Jan 2024
Chulwoo Han, Byeongguk Kang and Jehyeon Ryu
Sungkyunkwan University, Sungkyunkwan University and Sungkyunkwan University
Downloads 163 (336,669)

Abstract:

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Cryptocurrency, Time-series momentum, Cross-sectional momentum, Liquidation risk, Overreaction.

8.

Logit Regression Based Bankruptcy Prediction of Korean Firms

Number of pages: 30 Posted: 23 Apr 2014
Sungkyunkwan University, Korea Advanced Institute of Science and Technology (KAIST), Mizuho Financial Group and Capital Markets & Portfolio Research, Inc.
Downloads 134 (394,639)

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9.

A New Severity Risk Model and Its Application to a Mixed Poisson Credit Risk Model

Number of pages: 25 Posted: 23 Apr 2014
Chulwoo Han
Sungkyunkwan University
Downloads 112 (451,841)

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10.

Stock options pricing via machine learning methods combined with firm characteristics

Number of pages: 43 Posted: 13 Apr 2023 Last Revised: 12 May 2023
Panayiotis C. Andreou, Chulwoo Han and Nan Li
Cyprus University of Technology, Sungkyunkwan University and Durham University
Downloads 94 (510,040)

Abstract:

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Option pricing, Semi-parametric model, Firm characteristics, Machine learning

11.

Effects of Debt Collection Practices on Loss Given Default

Number of pages: 42 Posted: 23 Apr 2014
Chulwoo Han and Youngmin Jang
Sungkyunkwan University and Korea Credit Guarantee Fund
Downloads 90 (524,241)

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12.

Characteristic Factors and Fund Evaluation in Korea

Number of pages: 18 Posted: 23 Apr 2014
Chulwoo Han, In Hyung Lee and Chae Woo Nam
Sungkyunkwan University, Korea Capital Market Institute and Korea Capital Market Institute (KCMI)
Downloads 20 (955,299)

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13.

Interest Rate Models on Lie Groups

Quantitative Finance, First published on: 11 May 2010
Posted: 23 Apr 2014
Seoul National University, Durham Business School, Sungkyunkwan University and University of Warwick - Warwick Business School

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Other Papers (1)

Total Downloads: 17
1.

Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets

Number of pages: 40 Posted: 02 Feb 2016
Frankie Chau, Chulwoo Han and Shimeng Shi
Durham University Business School, Sungkyunkwan University and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou
Downloads 17

Abstract:

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credit risk discovery, generalized information share, determinants of credit risk discovery