Photo of Dong Hwan Oh

Dong Hwan Oh

Education

  • Ph.D., Economics, Duke University, 2014
  • M.A., Economics, Duke University, 2009
  • M.A., Economics, Seoul National University, 2008
  • B.A., Economics, Seoul National University, 2003
Current Research Topics
  • Copula for High Dimensional Dependence
  • CDS Margin Models for Central Counterparties
  • Economist

    Board of Governors of the Federal Reserve System

    2014 - present
  • Dobrev, Dobrislav, Travis D. Nesmith, and Dong Hwan Oh (2017). "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Journal of Risk and Financial Management, vol. 10, no. 1.
  • Dobrev, Dobrislav, Travis D. Nesmith, and Dong Hwan Oh (2016). "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065. Board of Governors of the Federal Reserve System (U.S.).
  • Oh, Dong Hwan, and Andrew J. Patton (2016). "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Journal of Econometrics, vol. 193, no. 2, pp. 349-366.
  • Oh, Dong Hwan, and Andrew J. Patton (2015). "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-050. Washington: Board of Governors of the Federal Reserve System.
  • Oh, Dong Hwan and Andrew J. Patton (2015). "Modelling Dependence in High Dimensions with Factor Copulas," Finance and Economics Discussion Series 2015-051. Washington: Board of Governors of the Federal Reserve System.
  • Oh, Dong Hwan, and Andrew J. Patton (2013). "Simulated Method of Moments Estimation for Copula-Based Multivariate Models," Journal of the American Statistical Association, vol. 108, no. 502, pp. 689-700.
  • conference

    June 2016

    North American Econometric Society Summer Meeting, University of Pennsylvania

    Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

  • conference

    January 2016

    2016 ASSA Annual Meeting, San Francisco, CA

    Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

  • conference

    November 2015

    2015 INFORMS, Philadelphia, PA

    Stochastic Intensity Margin Modeling of Credit Default Swap Portfolios

  • conference

    August 2015

    11th World Congress of the Econometric Society

    High-Dimensional Copula-Based Distributions with Mixed Frequency Data

  • conference

    August 2014

    Joint Statistical Meetings, Boston, MA

    Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

  • conference

    December 2013

    Triangle Econometrics Conference, Durham, NC

    Modelling High Dimension Distributions with High Frequency Data and Copulas

  • conference

    June 2012

    North American Econometric Society Summer Meeting, Northwestern University

    Simulated Method of Moments Estimation for Copula-Based Multivariate Models

  • conference

    July 2011

    Asian Econometric Society Summer Meeting, Seoul, Korea

    Modelling Dependence in High Dimensions with Factor Copulas

Referee
  • Econometric Theory
  • Econometrics Journal
  • Journal of Applied Econometrics
  • Journal of Banking and Finance
  • Journal of Econometrics
  • Journal of Empirical Finance
  • Journal of Financial Econometrics
  • Journal of the American Statistical Association
  • Quantitative Finance
Professional Affiliation
  • American Economic Association
  • American Statistical Association
  • Econometric Society
Last update: May 19, 2017