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Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

Lee, Yong Woong; Poon, Ser-Huang - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10010373355

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Markow Chain Monte Carlo with particle filtering

Lee, Yong Woong; Poon, Ser-Huang - In: Handbook of research methods and applications in …, (pp. 169-193). 2013

Persistent link: https://www.econbiz.de/10011897443

Rule-Based LTV and Penalty Function for Concentration Risk

Lee, Yongwoong - 2012

This paper implements a simple and transparent procedure for setting loan-to-value (LTV) ratio based on the market risk of the underlying collateralized portfolio. The loan hair cut (i.e. 1-LTV) is closely related to value-at-risk (VaR) which is very sensitive to model assumptions and...

Persistent link: https://www.econbiz.de/10013110492

Accuracy of mortgage portfolio risk forecasts during financial crises

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456

Persistent link: https://www.econbiz.de/10011436707

Risk reduction in a time series momentum trading strategy

Hong, KiHoon; Park, KiBong; Lee, Yong Woong - In: The journal of risk model validation 10 (2016) 4, pp. 55-70

Persistent link: https://www.econbiz.de/10011587716

Optimal look-back period for adequate and less procyclical credit capital forecasts

Lee, Yong Woong; Cho, Yongbok; Yang, Kisung - In: Applied economics 53 (2021) 46, pp. 5337-5353

Persistent link: https://www.econbiz.de/10012626877

Sovereign risk contagion in East Asia : a mixture of time-varying copulas approach

Lee, Yong Woong; Hong, KiHoon; Yang, Kisung - In: Emerging markets finance & trade : a journal of the … 54 (2018) 7/8/9, pp. 1513-1537

Persistent link: https://www.econbiz.de/10012123613

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310