...Hwa-Sung Kim; Kwangil Bae The previous studies on coskewness and cokurtosis between assets concentrate on the effects of coskewness and cokurtosis on the returns and prices of financial assets. This paper explores the default correlation in the presence of coskewness and cokurtosis between two firm...

...Hwa-Sung Kim The previous theoretical studies on default correlations analyze them only when the firm value moves continuously. Unlike these researches, this paper examines them when the firm value is exposed to jump risks and these jump risks between firms are correlated. Under these conditions...

...In Joon Kim; Suk Joon Byun; Yuen Jung Park This paper presents a numerical procedure for pricing collateralized bond obligations (CBO) and analyze the impact of default correlations for the prices of collateralized bond obligations. Specifically, we adopt default correlation model of Zhou (2001...