Risk Analysis Lab


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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.


Financial Risk Management, Quantitative Methods in Finance, Derivatives


Neural Network Application to Financial Risk Management; Statistical Forecasts

Research Keywords and Topics

Quantitative risk management
Financial derivatives pricing and their calibration
Stochastic modeling in Finance

Research Publications

1. Pricing arithmetic Asian options under jump diffusion CIR processes. 2020, Finance Research Letters, 34(5). (with J. Jang and J.J. Park)
2. 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)
3. Contingent convertible bonds with the default risk premium. 2018, International Review of Financial Analysis, 59(10), 77-93. (with H. Zheng and Y.H. Na)