Accounting
Kim, Baeho 김배호
- Finance
- Professor
- Derivatives, Risk Management, Financial Analytics
- Room 520 in LG-POSCO bldg.
- TEL : 02-3290-2626
- Email : baehokim@korea.ac.kr
- Fax : 02-922-7220
- Homepage :
- Office Hour :
Education
- Ph.D., Stanford University, Stanford, CA, USA
- Department of Management Science and Engineering
- Concentration: Economics and Finance (Supervisor: Professor Kay Giesecke)
- M.S., Stanford University, Stanford, CA, USA
- Financial Mathematics
- B.S., POSTECH, Pohang, Republic of Korea
- Department of Industrial and Management Engineering
- Department of Computer Science and Engineering
Career
- Professor of Finance, Korea University Business School (Mar. 2020 – Present)
- Visiting Professor, University of California, Berkeley (Feb. 2023 – Present)
- Associate Dean for Research, Korea University Business School (Nov. 2018 – Oct. 2020)
- Director of Center for Digital Transformation & Business (CDTB) (Feb. 2021 – Feb. 2022)
- Area Chair of Business Analytics (Mar. 2022 - Feb. 2023)
- Associate Professor of Finance, Korea University Business School (Mar. 2015 – Feb. 2020)
- Assistant Professor of Finance, Korea University Business School (Mar. 2010 – Feb. 2015)
- Affiliated Researcher, Center for Risk Management Research (CRMR), University of California, Berkeley (Sep. 2017 – Present)
Publications
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Selected Refereed Journal Publications:
- Risk Analysis of Collateralized Debt Obligations, 2011, Operations Research, 59(1), 32-49 (with K. Giesecke)
- Systemic Risk: What Defaults are Telling Us, 2011, Management Science, 57(8), 1387-1405 (with K. Giesecke)
- Premia for Correlated Default, 2011, Journal of Economic Dynamics and Control, 35(8), 1340-1357 (with S. Azizpour and K. Giesecke)
- Monte Carlo Algorithms for Default Timing Problems, 2011, Management Science, 57(12), 2115-2129 (with K. Giesecke and S. Zhu)
- Optimal Credit Swap Portfolios, 2014, Management Science, 60(9), 2291-2307 (with K. Giesecke, J. Kim and G. Tsoukalas)
- Systematic Cyclicality of Systemic Bubbles: Evidence from the U.S. Commercial Banking System, 2014, Journal of Macroeconomics, 42(3), 281-297 (with M.H. Kim)
- Liquidity and Credit Risk Before and After the Global Financial Crisis: Evidence from the Korean Corporate Bond Market, 2015, Pacific-Basin Finance Journal, 33, 38-61 (with D. Shin)
- Default Probabilities of Privately Held Firms, 2018, Journal of Banking and Finance, 94C, 235-250 (with J.C. Duan, W. Kim and D. Shin)
- A Smiling Bear in the Equity Options Market and the Cross-section of Stock Returns, 2019, Journal of Futures Markets, 39(11), 1360-1382 (with H. Park and H. Shim)
- Heterogeneity and Netting Efficiency under Central Clearing: A Stochastic Network Analysis, 2020, Journal of Futures Markets, 40(2), 192-208 (with I. Hwang)
- Informed Options Trading on the Implied Volatility Surface: A Cross-sectional Approach, 2020, Journal of Futures Markets, 40(5), 776-803 (with D. Kim and H. Park)