Research

Publications

Han, C., Park, F.C., 2021. A Geometric framework for covariance dynamics. Journal of Banking & Finance, forthcoming.

Han, C., Kang, J., Kim, S., 2021. Betting Against Analyst Target Price. Journal of Financial Markets, accepted.

Han, C., 2021. Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning. Management Science, forthcoming.

Han, C., 2020. A nonparametric approach to portfolio shrinkage. Journal of Banking & Finance, 120.

Han, C., 2020. How Much Should Portfolios Be Shrunk? Financial Management, 49(3).

Han, C., He, Z., 2019. Machine learning and stock recommendation. In Big data recommender systems: Recent trends and advances, IET.

Chou, F., Han, C., Shi, S., 2018. Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55.

Chong, E., Han, C., Park, C., 2017. Deep learning networks for stock market analysis and prediction: methodology, data representations, and case studies. Expert Systems with Applications, 83.

Han, C., Park, F. C., and Kang, J., 2017. Geometric treatment of time-varying volatilities. Review of Quantitative Finance and Accounting, 49 (4).

Han, C., and Taamouti, A., 2017. Partial structural break identification. Oxford Bulletin of Economics and Statistics, 79 (2).

Han, C., 2016. Modeling severity risk under PD-LGD correlation. The European Journal of Finance, 23 (15).

Han, C., Hwang, S., Ryu, D., 2015. Market overreaction and investment strategies. Applied Economics, 47 (54).

Fong, L., Han, C., 2015. Impacts of derivative markets on spot market volatility and their persistence. Applied Economics, 47 (22).

Han, C., 2014. Comparison of credit risk models for loan portfolios. Journal of Risk Model Validation, 8 (2).

Han, C., Lee, I., Nam, C., 2013. Characteristic factors and fund evaluation in Korea. Emerging Markets Finance and Trade, 49 (S4).

Han, C., Jang, Y., 2013. Effects of debt collection practices on loss given default. Journal of Banking and Finance, 73 (1).

Han, C., Kang, H., Kim, K., Yi, J., 2013. Logit regression-based bankruptcy prediction of Korean firms. Asia-Pacific Journal of Risk and Insurance, 7(1).

Park, F. C., Chun, C., Han, C., Webber, N., 2011. Interest rate models on Lie groups. Quantitative Finance, 11(4).

Han, C., Kang, J., 2008. An extended CreditRisk+ framework for portfolio credit risk management. Journal of Credit Risk, 4(4).

Han, C., Park, F. C., Kang, J., 2007. Efficient Value-at-Risk estimation for mortgage-backed securities. Journal of Risk, 9(3).

Kang, J., Kim, S., Han, C., 2005. Estimating the term structure of interest rates and default risk embedded in Korean corporate bonds. Korean Journal of Options and Futures, 13(2).

Working Papers

Han, C., He, Z., Toh, A., 2020. Pairs trading via unsupervised learning.

Andreou, P., Han, C., Li, N., 2020. A semi-parametric approach to option pricing.

Han, C., Kang, J., 2020. Optimal portfolio choice with constraints via reinforcement learning.

Han, C., Kan, R., 2020. Out-of-sample Sharpe ratio maximization.

Han, C., Kan, R., 2020. Asset Clustering.