Cholesky parameterization for a correlation matrix

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Posts on the following issues will be updated shortly.
Issues:

• Cholesky decomposition for the MLE estimation of a correlation matrix
• Parallel computing in MATLAB

Nonlinear Optimization

Presented on February 8, 2012

Pair Copula Contructions of Multiple Dependencies

Presented on April 4, 2011

The Hamilton Regime Switching Model

Presented on October 15, 2010

Exchange Rate Risk and International Investment with Regime Switching Mixed Copula (submitted)

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Curriculum Vitae

Curriculum Vitae (download pdf)

Kyuwon Choi

100-241Bunji, Haengun Dong, Gwanak Gu, Seoul City, Republic of Korea

Phone: +82-2-877-2714

Cell: +82-10-5040-5333

diekun84@snu.ac.kr

Research Interest:

Financial Derivatives Pricing, Asymmetric Dependence between Financial Assets, Market Efficiency, International Asset Allocation, Risk Management, Credit Risk Modeling

Education:

M.S., Industrial Engineering, Seoul National University, Feb 2012

ŸConcentrations: Financial Engineering

ŸThesis: Exchange Rate Risk and International Investment with Regime Switching Mixed Copula

ŸGPA: 4.10/4.30

B.S, Industrial Engineering, Seoul National University, Feb 2010

ŸGPA: 3.80/4.30, Cum Laude

Awards and Honors:

Recipient, 10^th Samsung Scholarship Program, 2012-2017 (awarded)

Graduated Cum Laude, Seoul National University, 2010

Recipient, Korea Student Aid Foundation Scholarship (merit based), 2003-2005 & 2009

Korea Physics Olympiad, Bronze Medal at the Seoul Contest, 2002

Conference Proceedings:

“Exchange Rate Risk and International Investment with Regime Switching Mixed Copula,” (with Hyung-Sik Oh), 2011, Korean Securities Association Conference Proceedings, May 2011.

“Empirical Analysis: Order Imbalance of Each Investor Group and Forecasts of Short Term Equity Returns,” (with Hyung-Sik Oh), 2010, Korean Institute of Industrial Engineers, Fall Conference Proceedings, Nov 2010.

“Asymmetry of volatilities and correlation coefficients, and returns in KOSPI200 stocks,” (with Yeonsik Jang, Sue-Jeong Kwon, Hyung-Sik Oh), 2010, Korean Institute of Industrial Engineers, Fall Conference Proceedings, Nov 2010.

Publications:

“Exchange Rate Risk and International Investment with Regime Switching Mixed Copula,” (with Hyung-Sik Oh), submitted.

Working papers:

“Market inefficiency in the Japanese Swaption market” (with Dong-Hyun Ahn, Ji-Yeong Chung)

Experience:

Computer Programmer, Jan 2006 – Jan 2008, YoungWoo CnI, Seoul, Korea

ŸDeveloped several Computer Aided Design software packages including TexPro, TexKnit, TexWeave

ŸUsed C++, Boland Studio 6.0, Adobe Flex extensively

Computer Programmer, Feb 2008 – Feb 2009, ESTsoft, Seoul, Korea

ŸDuties included Developing multimedia applications including ALSee Moviemaker (link), and a user authentication module, ALtools Package Authentication Module

ŸUsed C++, Visual Studio 2005 & 2008 extensively

Teaching Assistant, Engineering Economy, 2010, Industrial Engineering Department, Seoul National University, Seoul, Korea

Research Assistant, Investment Engineering Lab., 2009 - Present, Industrial Engineering Department, Seoul National University, Seoul, Korea

ŸConducting a research project on international investment

ŸDuties include literature review, designing models, programming experiments, and writing a paper on the results

Proofreader, 2011 - Present, Department of Economics, Seoul National University, Seoul, Korea

ŸAssisting Professor ByoungSeon Choi in writing a textbook on Financial Engineering

ŸExamining the manuscripts to make sure proofs in the book are free of errors

Activities:

Peer Tutoring Program, 2011-Present, Tutor, Teaching English to freshmen, Seoul National University, Seoul, Korea

English Café, 2011-Present, Member, Managing the café and talking with visitors in English, Seoul National University, Seoul, Korea

AIESEC, 2003-2004, Vice President, International Student Internship Program, Recruited companies, matched, delivered and managed foreign students as interns for the companies, Seoul National University, Seoul, Korea

Skills and Qualifications:

Statistical Package:

ŸExtensive knowledge of MATLAB statistical programming

ŸWorking knowledge of SPSS, SAS

Econometrics:

ŸNonlinear Stochastic Optimization

ŸMarkov Regime Switching Model Estimation, Multivariate Copula Estimation

ŸFinancial Time Series

Mathematical Methods:

ŸStochastic Calculus

ŸFinite Differential Methods, Monte Carlo Simulation

Chartered Financial Analyst (CFA) Level III Candidate
Extensive programming ability in C#, C++, VBA and PHP

Native in Korean and Fluent in English (TOEFL iBT 115 (29/29/27/30), GRE 760/800/3.0)