Asymmetric asset correlation in credit portfolios

von Cho, Yongbok
Veröffentlicht in Finance research letters (2022)

Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula

von Lee, Yong Woong
Veröffentlicht in International review of financial analysis (2019)

Markow Chain Monte Carlo with particle filtering

von Lee, Yong Woong
Veröffentlicht in Handbook of research methods and applications in empirical finance (2013)

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

von Lee, Yong Woong
Veröffentlicht in Emerging markets finance & trade (2015)

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

von Lee, Yong Woong
Veröffentlicht in The journal of credit risk (2014)

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

von Lee, Yong Woong
Veröffentlicht in Journal of economic dynamics & control (2014)

Risk reduction in a time series momentum trading strategy

von Hong, KiHoon
Veröffentlicht in The journal of risk model validation (2016)

Sovereign risk contagion in East Asia : a mixture of time-varying copulas approach

von Lee, Yong Woong
Veröffentlicht in Emerging markets finance & trade (2018)

Systematic credit risk in securitised mortgage portfolios

von Lee, Yong Woong
Veröffentlicht in Journal of banking & finance (2021)

Accuracy of mortgage portfolio risk forecasts during financial crises

von Lee, Yong Woong
Veröffentlicht in European journal of operational research (2016)