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