Wanmo Kang

Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

4

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430

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CROSSREF CITATIONS

21

Scholarly Papers (4)

1.

Design of Risk Weights

Columbia Business School Research Paper No. 13-39
Number of pages: 32 Posted: 25 May 2013
Paul Glasserman and Wanmo Kang
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 397 (80,755)
Citation 5

Abstract:

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Capital requirements, risk-weighted assets

2.

Large Deviations in Multifactor Portfolio Credit Risk

Mathematical Finance, Vol. 17, No. 3, pp. 345-379, July 2007
Number of pages: 35 Posted: 28 Jun 2007
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 33 (492,696)
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Abstract:

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3.

Fairing the Gamma: An Engineering Approach to Sensitivity Estimation

IIE Transactions, Forthcoming
Posted: 03 Jan 2014
Wanmo Kang, Kyoung-Kuk Kim and Hayong Shin
Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science, Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)

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Sensitivities; Monte Carlo estimation; Fairing

4.

Denoising Monte Carlo Sensitivity Estimates

Operations Research Letters, vol. 40, May 2012, 195-202
Posted: 30 Dec 2013
Wanmo Kang, Kyoung-Kuk Kim and Hayong Shin
Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science, Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

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Monte Carlo methods, Sensitivity estimation, Denoising, Near-interpolation