Baeho Kim

Korea University Business School (KUBS)

Associate Professor of Finance

Anam-dong, Sungbuk-Gu

Korea University Business School

Seoul, 136-701

http://biz.korea.ac.kr/~baehokim

  • Korea University Business School (KUBS)

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    • Tel: 82-2-3290-2626
    • Fax: 82-2-922-7220
SCHOLARLY PAPERS

10

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14

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11

Scholarly Papers (10)

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1.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 20 Aug 2018
Kay Giesecke, Baeho Kim, Jack Kim and Gerry Tsoukalas
Stanford University - Management Science & Engineering, Korea University Business School (KUBS), Stanford University - Management Science & Engineering and University of Pennsylvania - The Wharton School
Downloads 1,215 (16,922)
Citation 2

Abstract:

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portfolio selection, credit swap, goal program, nested expectation

2.

Risk Analysis of Collateralized Debt Obligations

Operations Research, Vol. 59, No. 1, pp. 32-49, 2011
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 15 Jun 2016
Kay Giesecke and Baeho Kim
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 712 (36,457)
Citation 7

Abstract:

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Correlated default risk, collateralized debt obligation, portfolio credit derivative, actual measure, point process, intensity, re-sampling, thinning, acceptance/rejection sampling, exact simulation

3.

Systemic Risk: What Defaults are Telling Us

Management Science, Vol. 57, No. 8, pp. 1387-1405, 2011
Number of pages: 34 Posted: 15 Sep 2009 Last Revised: 18 Mar 2012
Kay Giesecke and Baeho Kim
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 533 (53,382)
Citation 13

Abstract:

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systemic risk, hazard model, spillover, covariates, intensity

4.

Premia for Correlated Default Risk

Journal of Economic Dynamics and Control, Vol. 35, No. 8, pp. 1340-1357, 2011
Number of pages: 31 Posted: 25 Mar 2008 Last Revised: 15 Jun 2016
Kay Giesecke, Shahriar Azizpour and Baeho Kim
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 495 (58,639)
Citation 4

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Correlated default, risk premium, intensity, feedback, contagion, frailty, swap, CDX, tranche, index

5.

A Smiling Bear in the Equity Options Market and the Cross-Section of Stock Returns

Number of pages: 46 Posted: 20 Jul 2015 Last Revised: 19 Oct 2018
Hye-hyun Park, Baeho Kim and Hyeongsop Shim
Southwestern University of Finance and Economics (SWUFE), Korea University Business School (KUBS) and Gachon University
Downloads 414 (72,927)

Abstract:

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Implied volatility, Convexity, Equity options, Stock returns, Predictability

6.

Default Probabilities of Privately Held Firms

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 16 Mar 2012 Last Revised: 08 Aug 2018
Jin-Chuan Duan, Baeho Kim, Woojin Kim and Donghwa Shin
National University of Singapore (NUS) - Business School and Risk Management Institute, Korea University Business School (KUBS), Seoul National University - Business School and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 340 (91,532)

Abstract:

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Default probability; Term structure; Privately held firm; Interest charge

7.

Monte Carlo Algorithms for Default Timing Problems

Management Science, Vol. 57, No. 12, pp. 2115-2129, 2011
Number of pages: 31 Posted: 16 Sep 2010 Last Revised: 18 Mar 2012
Kay Giesecke, Baeho Kim and Shilin Zhu
Stanford University - Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 226 (140,710)
Citation 1

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8.

Estimating Tranche Spreads by Loss Process Simulation

Number of pages: 10 Posted: 16 Jul 2007
Baeho Kim and Kay Giesecke
Korea University Business School (KUBS) and Stanford University - Management Science & Engineering
Downloads 212 (149,559)

Abstract:

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point process, simulation, credit derivative

9.

Liquidity and Credit Risk Before and after the Global Financial Crisis: Evidence from the Korean Corporate Bond Market

Pacific-Basin Finance Journal, Vol. 33, pp. 38-61, 2015
Posted: 11 Nov 2014 Last Revised: 10 Apr 2015
Dongheon (David) Shin and Baeho Kim
University of Washington - Michael G. Foster School of Business and Korea University Business School (KUBS)

Abstract:

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Determinants of corporate bond spreads; Global financial crisis; Credit risk; Liquidity risk

10.

Systematic Cyclicality of Systemic Bubbles: Evidence from the U.S. Commercial Banking System

Journal of Macroeconomics, 42 (2014) 281-297
Posted: 19 Aug 2012 Last Revised: 12 Mar 2015
Myeong Hyeon Kim and Baeho Kim
Seoul National University of Science and Technology and Korea University Business School (KUBS)

Abstract:

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Systemic bubble; Financial crisis; Cyclicality; Early warning signal; Markov regime-switching model