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