|Associate Professor in the Business School||MHL 170||+44 (0) 191 33 45892|
Chulwoo Han is a lecturer in Finance at Durham University. His research interests include portfolio and risk management, algorithmic trading, other areas of quantitative finance, and, more recently, applications of deep learning to financial problems such as but not limited to trading algorithm development. Prior to joining the university, he co-founded and served as CEO of CMPR, a consultancy specializing in financial consulting and system development. He has an extensive experience of consulting and system development in the areas of risk management, asset allocation, asset-liability management, and modeling and analysis of financial instruments. He received his BS and MS at Seoul National University, and PhD at KAIST.
Chulwoo Han is a lecturer in Finance at Durham University. Before joining the university, he served as CEO of CMPR, financial consultancy in Korea. Prior to co-founding CMPR in 2003, he was with the Financial IT group at Samsung Life Insurance.
- Financial risk management
- Portfolio optimization
- Credit derivatives
- Interest rate models
- Tan, Z. Li, Y. & Han, C. (2021). A machine learning approach for the short-term reversal strategy. International Journal of Data Science and Analysis 7(6): 150-160.
- Han, Chulwoo & Park, Frank C. (2022). A Geometric Framework for Covariance Dynamics. Journal of Banking and Finance 134: 106319.
- Han, C. (2021). Bimodal Characteristic Returns and Predictability Enhancement via Machine Learning. Management Science
- Han, C. Kang, J. & Kim, S. (2021). Betting against analyst target price. Journal of Financial Markets
- Han, Chulwoo (2020). A Nonparametric Approach to Portfolio Shrinkage. Journal of Banking and Finance 120: 105953.
- Han,C. (2020). How Much Should Portfolios Shrink? Financial Management 49(3): 707-740.
- Chau, F., Han, C. & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis 55: 156-169.
- Chong, E., Han, C. & Park, F.C. (2017). Deep Learning Networks for Stock Market Analysis and Prediction: Methodology, Data Representations, and Case Studies. Expert Systems with Applications 83: 187-205.
- Han, C. & Taamouti, A. (2017). Partial Structural Break Identification. Oxford Bulletin of Economics and Statistics 79(2): 145-164.
- Han, Chulwoo, Park, Frank C. & Kang, Jangkoo (2017). A Geometric Treatment of Time-Varying Volatilities. Review of Quantitative Finance and Accounting 49(4): 1121-1141.
- Han, C. (2017). Modeling Severity Risk under PD-LGD Correlation. The European Journal of Finance 20(15): 1572-1588.
- Han, C., Hwang, S. & Ryu, D. (2016). Market overreaction and investment strategies. Applied Economics 47(54): 5868-5885.
- Fong, L. & Han, C. (2015). Impacts of derivative markets on spot market volatility and their persistence. Applied Economics 47(22): 2250-2258.
- Han, C. (2014). Comparative analysis of credit risk models for loan portfolios. Journal of Risk Model Validation 8(2): 3-22.
- Han, C., Lee, I. & Nam, C. (2013). Characteristic factors and fund evaluation in Korea. Emerging Markets Finance and Trade 49(S4): 70-80
- Han, C. & Jang, Y. (2013). Effects of debt collection practices on loss given default. Journal of Banking & Finance 37(1): 21-31.
- Han, C., Kang, H., Kim, K. & Yi, J. (2012). Logit regression based bankruptcy prediction of Korean firms. Asia-Pacific Journal of Risk and Insurance 7(1).
- Park, F.C., Chun, C.M., Han, C. & Webber, N. (2011). Interest rate models on Lie groups. Quantitative Finance 11(4): 559-572.
- Han, C. & Kang, J. (2008). An extended CreditRisk+ framework for portfolio credit risk management. Journal of Credit Risk 4(4): 63-80.
- Kang, J., Kim, S. & Han, C. (2007). Estimating the term structure of interest rates and default risk embedded in Korean corporate bonds. Korean Journal of Options and Futures 13(2).
- Han, C., Park, F.C. & Kang, J. (2007). Efficient Value-at-Risk estimation for mortgage-backed securities. Journal of Risk 9(3): 37-61.
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