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Journal Articles

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Changsoo Hong, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2025) 33 (2): 150–167.

https://doi.org/10.1108/JDQS-12-2024-0048

Published: 11 March 2025

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Journal Articles

Does information environment affect information spillover between the CDS and stock markets in Korea?

Heewoo Park, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2024) 32 (2): 145–158.

https://doi.org/10.1108/JDQS-09-2023-0029

Published: 26 February 2024

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Includes: Supplementary data

Journal Articles

Retail investors and overpricing of left-tail risk: evidence from the Korean stock market

Jungmu Kim, Yuen Jung Park, Thuy Thi Thu Truong

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2023) 31 (4): 309–327.

https://doi.org/10.1108/JDQS-04-2023-0008

Published: 12 September 2023

View article titled, Retail investors and overpricing of left-tail risk: evidence from the Korean stock market

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Journal Articles

Stock buybacks and credit default swap spread changes

Heewoo Park, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2023) 31 (1): 55–75.

https://doi.org/10.1108/JDQS-08-2022-0019

Published: 13 December 2022

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Journal Articles

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Jungmu Kim, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2020) 28 (3): 107–122.

https://doi.org/10.1108/JDQS-08-2020-0019

Published: 13 October 2020

View article titled, Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

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Journal Articles

The Cross-Section of Expected Returns on Defaultable Assets

Jungmu Kim, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2017) 25 (4): 479–508.

https://doi.org/10.1108/JDQS-04-2017-B0001

Published: 30 November 2017

View article titled, The Cross-Section of Expected Returns on Defaultable Assets

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Journal Articles

The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

Yuen Jung Park, Jungmu Kim

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (3): 565–595.

https://doi.org/10.1108/JDQS-03-2014-B0007

Published: 31 August 2014

View article titled, The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

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Journal Articles

Does CDS Slope Predict Future Stock Returns? Evidence from the Korean Market

Jungmu Kim, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (2): 203–222.

https://doi.org/10.1108/JDQS-02-2013-B0003

Published: 31 May 2013

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Journal Articles

The Information Content of the Implied Volatility in OTC Individual Stock Options Market

Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (2): 195–235.

https://doi.org/10.1108/JDQS-02-2012-B0003

Published: 31 May 2012

View article titled, The Information Content of the Implied Volatility in OTC Individual Stock Options Market

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Journal Articles

The Impact of Default Correlations on the Prices of Collateralized Bond Obligat

In Joon Kim, Suk Joon Byun, Yuen Jung Park

Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (1): 113–142.

https://doi.org/10.1108/JDQS-01-2002-B0005

Published: 31 May 2002

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Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Does information environment affect information spillover between the CDS and stock markets in Korea?

Retail investors and overpricing of left-tail risk: evidence from the Korean stock market

Stock buybacks and credit default swap spread changes

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

The Cross-Section of Expected Returns on Defaultable Assets

The Determinants of Corporate CDS Spreads: Do Equity Liquidity and Jump Matter?

Does CDS Slope Predict Future Stock Returns? Evidence from the Korean Market

The Information Content of the Implied Volatility in OTC Individual Stock Options Market

The Impact of Default Correlations on the Prices of Collateralized Bond Obligat

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