Journal of Derivatives and Quantitative Studies: 선물연구: Volume 13 Issue 2 , Open Access

Effects of Security Design of Asset-Backed Securities on the Value of Asset-Backed Securities and the Value of Issuing Firm

Jin Yoo

Security design of asset-backed securities (ABS) could affect the value of the ABS and that of the issuing firm as well when there exists an information asymmetry between insiders…

Recursive Valuation of European Multivariate Contingent Claims

Jong Sung Choi, Ho Sam Ki

In this paper we develop a numerical method for valuing multivariate contingent claims whose payoffs depend on more than one stochastic variables. This is achieved by mean of…

Estimating Credit Rating and Transition Matrix of Savings Bank Industry Based upon IRB-Approach

Myung Jig Kim, Sung Hwan Shin, Hong Sun Song

This paper proposes a method that estimates credit ratings by mapping empirical probability of default (PD) and standardized historical financial ratios. Unlike standard…

Lead-Lag Relationship between Volatility Index and Stock Market Index

Jae Ha Lee, Je Ryun Chung

This study examines the lead-lag relationship between KOSPI200 and the volatility index based on the implied volatility from the KOSPI200 options. The sample period covers from…

Estimating the Term Structure of Interest Rates and Default Risk Embedded in Korean Corporate Bonds

Jang Koo Kang, Sung Hwan Kim, Chul Woo Han

This article uses a Kalman filter to fit yields of investment-grade corporate bonds to the model of instantaneous default risk, based on Duffee (1999. Review of Financial Studies…

Theoretical Identifications of the Market Price of Risk under the Affine Interest Rate Model with Jumps

Joon Hee Rhee

Any finance models must specify the market prices of risk that determines the relationship between the two probability measures. Although the general form of the change of measure…