Sang Byung Seo

University of Wisconsin - Madison

Assistant Professor of Finance

975 University Avenue

Madison, WI 53706-1324

http://sites.google.com/site/sangbyungseo

SCHOLARLY PAPERS

9

DOWNLOADS

2,769

SSRN CITATIONS

107

CROSSREF CITATIONS

7

Scholarly Papers (9)

1.
Downloads 681 ( 53,052)
Citation 22

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 12 Aug 2020
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 597 (62,023)
Citation 17

Abstract:

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implied volatilities, consumption disasters, jump-diffusions

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55
Number of pages: 71 Posted: 22 Oct 2013
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 68 (450,891)

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Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611
Number of pages: 63 Posted: 09 Nov 2013 Last Revised: 31 Jan 2022
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 16 (742,524)
Citation 3

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2.

Learning, Slowly Unfolding Disasters, and Asset Prices

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 09 Aug 2019 Last Revised: 30 Oct 2021
Mohammad Ghaderi, Mete Kilic and Sang Byung Seo
University of Kansas - School of Business, University of Southern California - Marshall School of Business and University of Wisconsin - Madison
Downloads 495 (79,257)
Citation 1

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3.
Downloads 467 ( 85,058)
Citation 23

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 11 Aug 2020
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 450 (88,027)
Citation 18

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disaster risk, financial crisis, collateralized debt obligations

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723
Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 02 Feb 2022
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 17 (734,013)
Citation 11

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4.

Synthetic Options and Implied Volatility for the Corporate Bond Market

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 01 Nov 2021 Last Revised: 02 Dec 2021
Steven Shu-Hsiu Chen, Hitesh Doshi and Sang Byung Seo
Texas A&M International University, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 340 (122,257)

Abstract:

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synthetic options, corporate bond index, option-implied moments, credit risk models

5.

Is There a Macro-Announcement Premium?

Number of pages: 65 Posted: 12 Oct 2020 Last Revised: 12 Apr 2021
Mohammad Ghaderi and Sang Byung Seo
University of Kansas - School of Business and University of Wisconsin - Madison
Downloads 261 (161,429)

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macro-announcement returns, announcement premium, asymmetric volatility, VIX

6.

Characterizing the Variance Risk Premium: The Role of the Leverage Effect

Review of Asset Pricing Studies, Forthcoming
Number of pages: 66 Posted: 27 Aug 2018 Last Revised: 09 Sep 2021
Guanglian Hu, Kris Jacobs and Sang Byung Seo
The University of Sydney - Discipline of Finance, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 236 (177,419)

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7.

What Interbank Rates Tell Us About Time-Varying Disaster Risk

Number of pages: 56 Posted: 23 Oct 2019 Last Revised: 24 Feb 2022
Hitesh Doshi, Hyung Joo Kim and Sang Byung Seo
University of Houston - C.T. Bauer College of Business, University of Houston - C.T. Bauer College of Business and University of Wisconsin - Madison
Downloads 103 (348,406)

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economic disasters, time-varying disaster risk, interbank rates, interbank rate options, maximum likelihood estimation, extended Kalman filter

8.

Asset Variance Risk and Compound Option Prices

Number of pages: 54 Posted: 14 Jul 2021
University of Houston - C.T. Bauer College of Business, McGill University, HEC Montreal and University of Wisconsin - Madison
Downloads 97 (362,292)

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9.

Why Do Rational Investors Like Variance at the Peak of a Crisis? A Learning-Based Explanation

Number of pages: 51 Posted: 14 Nov 2021 Last Revised: 14 Jan 2022
Mohammad Ghaderi, Mete Kilic and Sang Byung Seo
University of Kansas - School of Business, University of Southern California - Marshall School of Business and University of Wisconsin - Madison
Downloads 89 (382,222)

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