Sung Ik Kim, Ph.D.

Education

Ph.D. in Applied Mathematics and Statistics (Quantitative Finance), State University of New York at Stony Brook

M.A. in Economics, State University of New York at Buffalo

M.S. in Accounting, University of Texas at Arlington

M.B.A. Kyung Hee University, Seoul, South Korea

B.S. in Business Administration, Kyung Hee University, Seoul, South Korea

Research Interests

Credit Risk Models, Derivatives, Multi-asset Pricing, Quantitative Risk Management, Non-Gaussian Financial Models, Levy Process, Tempered Stable Process, Copula Model, Portfolio Optimization

Refereed Articles

• S. I. Kim, Unveiling mispricing risks: non-LHP factor copula models for enhanced valuation of subordinated loan securitization, 2024, Journal of Futures Markets 44 (10)

• S. I. Kim, A comparative study of firm value models: default risk of corporate bonds, 2023, Finance Research Letters 56

• S. I. Kim, ARMA-GARCH model with fractional generalized hyperbolic innovation, 2022, Financial Innovation 8 (48)

• S. I. Kim and Y. S. Kim, Factor copula model for portfolio credit risk, 2021, International Journal of Theoretical and Applied Finance 24 (4)

• S. I. Kim and Y. S. Kim, New stochastic process with long-range dependence, 2020, Journal of Statistical Theory and Applications 19 (3)

• S. I. Kim, Y. Shen, and C. Hsieh, International equity portfolio performance - to hedge or not to hedge foreign currency risk, 2020, The Empirical Economics Letters 19 (12)

• S. I. Kim and Y. S. Kim, Tempered stable structural model in pricing credit spread and credit default swap, 2018, Review of Derivatives Research 21 (1)

Working Papers

• Aaron Y. S. Kim, S. I. Kim, D. Lauria, and S. T. Rachev, "The ESG firm value model"

• S. I. Kim, "A new approach to firm value models: the application of the Esscher transform and EM algorithm"

• S. I. Kim, "Gaussian mixture systemic risk measures in global equity markets"