Yu Hang (Gabriel) Kan

Bloomberg Tradebook

Quantitative Analyst

731 Lexington Avenue

New York, NY 10022

United States

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

http://www.columbia.edu/~yk2246

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 12,125

SSRN RANKINGS

Top 12,125

in Total Papers Downloads

3,904

SSRN CITATIONS
Rank 23,355

SSRN RANKINGS

Top 23,355

in Total Papers Citations

12

CROSSREF CITATIONS

18

Scholarly Papers (5)

1.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Rama Cont and Yu Hang (Gabriel) Kan
University of Oxford and Bloomberg Tradebook
Downloads 1,661 (9,820)
Citation 21

Abstract:

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credit default swaps, credit risk, stylized properties, risk management, autocorrelation, heavy tails, heteroscedasticity, principal component analysis, credit events, loss distribution, Value-at-Risk, expected shortfall, CDS

2.

Dynamic Hedging of Portfolio Credit Derivatives

Number of pages: 27 Posted: 26 Feb 2009 Last Revised: 07 Dec 2009
Rama Cont and Yu Hang (Gabriel) Kan
University of Oxford and Bloomberg Tradebook
Downloads 1,186 (16,781)
Citation 23

Abstract:

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hedging, portfolio credit derivatives, index default swaps, collateralized debt obligations, top-down credit risk models, default contagion, spread risk, sensitivity-based hedging, risk minimization

3.

Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration

Number of pages: 39 Posted: 13 Aug 2009 Last Revised: 14 Nov 2012
Rama Cont, Romain Deguest and Yu Hang (Gabriel) Kan
University of Oxford, Fundvisory and Bloomberg Tradebook
Downloads 805 (29,493)
Citation 4

Abstract:

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Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche

4.

Optimal Closing-Price Strategy: Peculiarities and Practicalities

Number of pages: 18 Posted: 17 Apr 2016
Yu Hang (Gabriel) Kan and Park Sanghyun
Bloomberg Tradebook and Bloomberg Tradebook
Downloads 252 (121,244)

Abstract:

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optimal trading strategy, closing price, closing auction, efficient frontier, mean-variance optimization, market impact, risk aversion

5.

The Impact of Margin Interest on the Valuation of Credit Default Swaps

Journal of Derivatives, Vol. 20, No. 1, 2012
Posted: 05 Mar 2011 Last Revised: 14 Nov 2012
Yu Hang (Gabriel) Kan and Claus Pedersen
Bloomberg Tradebook and Barclays Investment Bank

Abstract:

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Variation Margin, Collateral, Interest Rate, Credit Default Swaps, Model Calibration, Derivative Pricing