교수진
회계학
김배호Kim, Baeho
- 재무금융
- 교수
- 파생상품, 위험관리, 파이낸셜 애널리틱스
- LG-POSCO 경영관 520호
- TEL : 02-3290-2626
- Email : baehokim@korea.ac.kr
- Fax : 02-922-7220
- Homepage :
- Office Hour : Friday 2-4 PM
학력
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Stanford University 경영공학 박사 (경제/금융 분야 전공)
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Stanford University 금융수학 석사
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POSTECH 산업경영공학/컴퓨터공학 학사
경력
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고려대학교 경영대학 재무금융 교수 (2020.3~현재)
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University of California, Berkeley 방문교수 (2023.2~현재)
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고려대학교 경영전문대학원 연구부원장 (2018.11~2020.10)
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Center for Digital Transformation & Business (CDTB) 센터장 (2021.2~2022.2)
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Business Analytics 전공주임교수 (2022.3~2023.2)
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고려대학교 경영대학 재무금융 부교수 (2015.3~2020.2)
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고려대학교 경영대학 재무금융 조교수 (2010.3~2015.2)
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University of California, Berkeley 방문교수 (2016.8~2017.7)
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싱가폴국립대학 (NUS) 방문교수 (2011.7~2011.8)
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고려대학교 경영대학 연구우수교수 SK-SUPEX Research Fellow (2014.4~2020.3)
논문
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)