Baeho Kim

Korea University Business School (KUBS)

Professor of Finance

Anam-dong, Sungbuk-Gu

Korea University Business School

Seoul, 136-701

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

SCHOLARLY PAPERS

13

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Top 19,951

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5,255

TOTAL CITATIONS
Rank 24,720

SSRN RANKINGS

Top 24,720

in Total Papers Citations

49

Scholarly Papers (13)

1.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 20 Aug 2018
Stanford University - Department of Management Science & Engineering, Korea University Business School (KUBS), Stanford University - Department of Management Science & Engineering and University of Pennsylvania - The Wharton School
Downloads 1,336 (31,399)
Citation 4

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 - Department of Management Science & Engineering and Korea University Business School (KUBS)
Downloads 798 (64,899)
Citation 13

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 - Department of Management Science & Engineering and Korea University Business School (KUBS)
Downloads 631 (87,916)
Citation 17

Abstract:

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systemic risk, hazard model, spillover, covariates, intensity

4.

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 594 (95,009)

Abstract:

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

5.

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
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Korea University Business School (KUBS)
Downloads 588 (96,168)
Citation 8

Abstract:

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

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
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 527 (110,344)
Citation 4

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 - Department of Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 317 (197,345)
Citation 2

Abstract:

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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 - Department of Management Science & Engineering
Downloads 299 (210,175)
Citation 1

Abstract:

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point process, simulation, credit derivative

9.

Long-History PCA in a Dynamic Factor Model with Weak Loadings

Number of pages: 38 Posted: 27 Jun 2024
Robert Anderson, Baeho Kim and Dean Ryu
University of California, Berkeley, Korea University Business School (KUBS) and Said Business School, University of Oxford
Downloads 95 (566,258)

Abstract:

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Factor Model, Principal Component Analysis (PCA), Long-History PCA (LH-PCA), Second Order Risk

10.

Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications

FEDS Working Paper No. 2023-55
Number of pages: 32 Posted: 13 Sep 2023
Kiwoong Byun, Baeho Kim and Dong Hwan Oh
Korea University Business School, Korea University Business School (KUBS) and Board of Governors of the Federal Reserve System
Downloads 70 (674,277)

Abstract:

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Credit Default Swap (CDS), CDS Index (CDX), Reference Tranche Rate, Default Clustering Risk Premium

11.

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
David (Dongheon) Shin and Baeho Kim
University of Oklahoma - Michael F. Price College 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

12.

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)

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

13.

Market-Maker Short Selling: A Necessary Evil?

Number of pages: 41
Yerim Kim, Kyong Shik Eom and Baeho Kim
Korea University Business School, CRMR, University of California, Department of Economics and Korea University Business School (KUBS)
Downloads 0

Abstract:

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Single-stock futures market-maker, short selling, overlap propensity score weighting, machine-learning technique, short selling, propensity score weighting, Market quality