Sun-Yong Choi

NICE P&I

Sun-Yong Choi, received his Ph.D. in Mathematics from Yonsei University in 2014. He was a research fellow at the Department of Mathematics, POSTECH (Pohang University of Science and Technology), from September 2014 to 2015. Since January 2016, he has worked at NICE P&I, a bond rating agency. His research interests include financial mathematics, risk management, and actuarial mathematics.

Articles by Sun-Yong Choi

Original research

Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates

This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.

24 May 2016

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