Photo of Sang Byung Seo

Sang Byung Seo

Research Interests: asset pricing, credit risk, derivatives markets, financial econometrics

Links: CV, Job Market Paper

I will be available for interviews at the 2015 ASSA meetings in Boston, MA in January 2015.


Contact Information

Phone: (267) 994-8052
Email: sangseo@wharton.upenn.edu
Address: 
2300 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
 

Research Interests

Asset Pricing, Credit Risk, Derivatives Markets, Financial Econometrics
 

Job Market Paper
     Abstract: I investigate whether the possibility of economic catastrophes, defined as massive correlated defaults, is an important risk factor for asset pricing. I develop a model where default correlations among multiple firms arise through regime and belief shifts. From an estimation using the daily time series of CDS curves for 215 firms, I construct a catastrophic tail risk measure. Using the rich information contained in the term structure and various tail extremities of this measure, I find that investors put more weight on future extreme events even after the stock market showed signs of recovery from the recent financial crisis. Furthermore, I show that high catastrophic tail risk robustly predicts high future excess returns for various assets, including stocks, government bonds, and corporate bonds. This risk is negatively priced, generating substantial dispersion in the cross section of stock returns. These results reveal that seemingly impossible catastrophes are a significant source of risk perceived by investors.
 

Education

Ph.D. & M.A., Finance, The Wharton School, University of Pennsylvania, 2015 (Expected)

B.S., Management Engineering & Mathematics, Korea Advanced Institute of Science and Technology (KAIST), summa cum laude, valedictorian, 2007
 

Experience

Assistant Manager, Derivatives ModelingKorea Bond Pricing & Korea Ratings Co., 2007-2010
 

References

Jessica Wachter
Richard B. Worley Professor of Financial Management, Professor of Finance
Finance Department
The Wharton School
Phone: (215) 898-7634 
Email: jwachter@wharton.upenn.edu
Associate Professor of Finance
Finance Department
The Wharton School
Phone: (215) 746-0004
Email: nroussan@wharton.upenn.edu
Robert Morris Professor of Banking
Finance Department
The Wharton School
Phone: (215) 898-1241
Email: yarona@wharton.upenn.edu