Auteur Baeho Kim
Documents disponibles écrits par cet auteur (2)
Affiner la recherche
Article : texte imprimé
Kay Giesecke, Auteur ; Baeho Kim, Auteur ; Shilin Zhu, Auteur |Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing[...]
Article : texte imprimé
Kay Giesecke, Auteur ; Baeho Kim, Auteur |This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. [...]
