I am an Economist in the Quantitative Risk Analysis Section of the Board of Governors of the Federal Reserve System.

My research interests include asset pricing, derivatives, financial econometrics, and macro-finance.
The analysis and conclusions presented on this website are my own and do not indicate concurrence by the Board of Governors or the Federal Reserve System.

Curriculum Vitae
Email: hyungjoo.kim@frb.gov

Working Papers ($\dagger$ indicates scheduled presentations)

Characterizing the Conditional Pricing Kernel: A New Approach

Presentations: IAAE (2023), EEA-ESEM (2022), Virtual Derivatives Workshop (2021), NZFM (2021), WFBS (2021), Concordia University, Cornerstone Research, Federal Reserve Board of Governors, Korea Development Institute, Korea Insurance Research Institute, Saint Mary's University, University of Houston, Wilfrid Laurier University

Options on Interbank Rates and Implied Disaster Risk (with Hitesh Doshi and Sang Byung Seo)

Revise and Resubmit, Journal of Financial and Quantitative Analysis

Presentations: North American Summer Meeting of the Econometric Society (2021), EFA (2020), NFA (2020), FMA (2019), University of Houston

Best Paper Award Semifinalist, FMA (2019)

Volatility Risk and Monotonic Pricing Kernels (with Steven Heston and Kris Jacobs)

Presentations: AFA (2023), CBOE Conference on Derivatives and Volatility (2022), SoFiE (2022), Finance Down Under (2022), K.U. Leuven, Syracuse University, University of Houston, University of Liverpool

A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility (with Steven Heston and Kris Jacobs)

Presentations: University Paris 1 (2024)$^\dagger$, Federal Reserve Board (2024)$^\dagger$, Seoul National University (2024), Cancun Derivatives and Asset Pricing Conference (2024)

Work in Progress

Pseudo Firms and Expected Stock Returns (with Hitesh Doshi and Sang Byung Seo)

Teaching

Corporate Finance (FINA 4330) at the University of Houston

Mean Evaluation: 4.9/5.0