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Choe, Geon Ho,Jang, Hyun Jin,Na, Young Hoon Elsevier 2019 STATISTICS & PROBABILITY LETTERS - Vol.148 No.-
<P><B>Abstract</B></P> <P>In this paper, we study fast pricing methods for contingent convertible bonds (CoCos). Based on two-dimensional stochastic processes, we propose two pricing models for CoCos; a dynamic capital-ratio model and a dynamic debt–equity model. Under these frameworks, we derive analytic-form formulae for CoCos with fixed and floored conversion prices. Many practical implications for analyzing CoCos are observed through numerical tests by choosing the plausible model parameters obtained from empirical results.</P>
Dynamics of systematic and systemic risk in credit indices
Geon Ho Choe,So Eun Choi,Hyun Jin Jang 한국경영과학회 2017 한국경영과학회 학술대회논문집 Vol.2017 No.10
This study investigates how to quantify and forecast systematic and systemic risk in a credit index using empirical and statistical analyses. Considering the inherent properties of each type of risk, a one-factor Marshall-Olkin copula model is employed to identify systematic risk, and an interacting intensity based-model is adopted to capture systemic risk. After collecting daily data for the iTraxx Europe index and its tranche prices from 2005 to 2014, we calibrate each model parameter as a time dynamic. Using the results, we predict one-step future levels of systematic and systemic risk using the time series models that have minimal forecasting errors according to several accuracy measures. Finally, we obtain important implications about the evolution of the two types of risk within the credit index under different macroeconomic conditions based on historical and future loss distributions.
Applications of ergodic theory to pseudorandom numbers
Choe, Geon-Ho,Kim, Chihurn -Choe,Kim, Dong-Han -Choe Korean Mathematical Society 1998 대한수학회보 Vol.35 No.1
Several aspects of pseudorandom number generators are investigated from the viewpoint of ergodic theory. An algorithm of generating pseudorandom numbers proposed and shown to behave reasonably well.
Ergodicity and random walks on a compact group
CHOE, GEON HO 한국산업정보응용수학회 2001 한국산업정보응용수학회 Vol.5 No.1
Let G be a finite group with a probability measure. We investigate the random walks on G in terms of ergodicity of the associated skew product transformation.