Risk Analysis Lab

위험분석연구실

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위험분석연구실

Risk Analysis Lab. focuses on a financial risk assessment based on quantitative methodologies for optimal decision making by financial institutions and regulators. We study how to quantify and forecast the risk embedded in financial markets based on empirical and statistical analyses and we are interested in exploring a cutting-edge methodology for its application. We ultimately aim to provide a better solution against unexpected shocks for financial industry.

Major research field

Stochastic Control Problems, Asset Pricing and Risk Management

Desired field of research

Reinforcement Learning for Stochastic Control Problems, AI-Driven Methods for Asset Pricing and Risk Management

Research Keywords and Topics

Financial Risk Management
Market Microstructure
Financial Derivatives Pricing
Stochastic Modeling in Finance
Machine Learning in Finance

Research Publications
MORE

1. Optimal investment, heterogeneous consumption and best time for retirement. 2024, Operations Research, 72(2), 832-847. (with Z.Q. Xu and H. Zheng)
2. Optimal market-making strategies under synchronised order arrivals with deep neural networks. 2021, Journal of Economic Dynamics and Control, 125(4), 104098. (with S.E. Choi, K. Lee, and H. Zheng)
3. Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. 2020, Journal of Futures Markets, 40(2), 247-275. (with K. Lee and K. Lee)

국가과학기술표준분류

  • SC. 경제/경영
  • SC13. 재무관리
  • SC1303. 투자/위험관리

국가기술지도분류

  • 기타 분야
  • 060000. 국가기술지도(NTRM) 99개 핵심기술 분류에 속하지 않는 기타 연구

녹색기술분류

  • 녹색기술관련 과제 아님
  • 녹색기술관련 과제 아님
  • 999. 녹색기술 관련과제 아님

6T분류

  • 기타 분야
  • 기타 분야
  • 070000. 위의 미래유망신기술(6T) 103개 세분류에 속하지 않는 기타 연구