Chulwoo Han

Durham University

Lecturer

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 31,936

SSRN RANKINGS

Top 31,936

in Total Papers Downloads

2,415

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (11)

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
Durham University, Durham University and Nanyang Technological University
Downloads 917 (39,233)

Abstract:

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

2.

An Extended CreditRisk+ Framework for Portfolio Credit Risk Management

Number of pages: 26 Posted: 23 Apr 2014
Chulwoo Han and Jangkoo Kang
Durham University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 373 (121,854)
Citation 2

Abstract:

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3.

Comparative Analysis of Credit Risk Models for Loan Portfolios

Number of pages: 17 Posted: 23 Apr 2014 Last Revised: 29 Apr 2014
Chulwoo Han
Durham University
Downloads 287 (161,294)
Citation 1

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
Durham University, Seoul National University and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 268 (173,093)

Abstract:

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5.

Impacts of Derivative Markets on Spot Market Volatility and Their Persistence

Number of pages: 11 Posted: 23 Apr 2014
Chulwoo Han
Durham University
Downloads 254 (182,562)

Abstract:

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6.

Logit Regression Based Bankruptcy Prediction of Korean Firms

Number of pages: 30 Posted: 23 Apr 2014
Durham University, Korea Advanced Institute of Science and Technology (KAIST), Mizuho Financial Group and Capital Markets & Portfolio Research, Inc.
Downloads 118 (352,199)

Abstract:

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7.

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
Durham University
Downloads 98 (400,321)

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8.

Effects of Debt Collection Practices on Loss Given Default

Number of pages: 42 Posted: 23 Apr 2014
Chulwoo Han and Youngmin Jang
Durham University and Korea Credit Guarantee Fund
Downloads 78 (460,404)

Abstract:

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9.

Characteristic Factors and Fund Evaluation in Korea

Number of pages: 18 Posted: 23 Apr 2014
Chulwoo Han, In Hyung Lee and Chae Woo Nam
Durham University, Korea Capital Market Institute and Korea Capital Market Institute (KCMI)
Downloads 18 (786,143)

Abstract:

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10.

Partial Structural Break Identification

Oxford Bulletin of Economics and Statistics, Vol. 79, Issue 2, pp. 145-164, 2017
Number of pages: 20 Posted: 09 Mar 2017
Chulwoo Han and Abderrahim Taamouti
Durham University and University of Liverpool Management School
Downloads 4 (922,841)

Abstract:

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11.

Interest Rate Models on Lie Groups

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

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Other Papers (1)

Total Downloads: 13
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, Durham University and Xi'an Jiaotong-Liverpool University (XJTLU) - International Business School Suzhou
Downloads 13

Abstract:

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