Current Projects

  1. Text mining on sector analysis
  2. Dynamic forward default intensity curves
  3. Systemic risk of central SIFIs
  4. The integration of credit default swaps markets: An investigation of common stochastic trends
  5. What derives the bond portfolio Value-at-Risk: Information roles of macroeconomic and financial stress factors
  6. Copula-based factor model for credit risk analysis
  7. Stochastic recovery rate analysis: Copula-based multifactor model 
  8. Financial analysts herding: an examination by text mining