SelectedWorks - Kian Guan LIM

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Selected Works of Kian Guan LIM

Professor of Finance

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About Kian Guan LIM

Present	Vice Provost (Undergraduate Matters), Singapore Management University
Institution Organization Position Type Position Title Time Period to Options Current Position Affiliate my profile with this Institution

Finance and Financial Management

Finance and Quantitative Finance

+65 6828 0828

Singapore Management University

Administration Building

81 Victoria Street

Singapore 188065

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Articles (105)

Article

Industry integration and stock price synchronicity

Research Collection Lee Kong Chian School Of Business (2017)

Hao CHENG, Kian Guan LIM, Tien Foo SING and Long WANG

This paper provides an alternative explanation of the negative relationship between price synchronicity and proprietary right protection that are uncorrelated ...

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Article

Performance control and risk calibration in the Black-Litterman model

Journal of Portfolio Management (2017)

Chyng Wen TEE, Shirley HUANG and Kian Guan LIM

The authors show that risk aversion and prior estimation error input parameters of the Black-Litterman model that are arbitrarily fixed ...

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Article

Hedging derivative securities with volatility futures

International Journal of Financial Markets and Derivatives (2016)

Kian Leong Nelson YAP, Kian Guan LIM and Yibao ZHAO

We show a method to replicate S&P; 500 exchange traded fund (ETF) European synthetic put by optimally rebalancing a portfolio ...

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Article

A Risk- and Complexity- Rating Framework for Investment Products

Financial Analysts Journal (2015)

Seng Kee Benedict KOH, Cher Chiew Francis KOH, LEE, David Kuo Chuen, Kian Guan LIM, et al.

Many investors who bought such investments as Lehman Brothers’ minibonds did not understand the products’ complicated features. This fact suggests ...

OpenURL

Article

A risk- and complexity-rating framework for investment products

Financial Analysts Journal (2015)

Benedict S. K. KOH, Francis KOH, David K. C. LEE, Kian Guan LIM, et al.

Many investors who bought such investments as Lehman Brothers’ minibonds did not understand the products’ complicated features. This fact suggests ...

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Article

New Approach to Density Estimation and Application to Value-at-Risk

Journal of Mathematical Finance (2015)

Kian Guan LIM, Hao CHENG and Nelson K. L. YAP

The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying ...

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Article

Predictability of EU Bank Stress Test Results

Global Economy and Finance Journal (2015)

Kian Guan LIM

Since the global financial crisis of 2008 and the European sovereign debt crisis of 2009, the banking system in EU ...

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Article

Testing Dependencies in Term Structure of Interest Rates

Modeling Dependence in Econometrics: Selected Papers of the Seventh International Conference of the Thailand Econometric Society, Faculty of Economics, Chiang Mai University, Thailand, January 8-10, 2014 (2014)

Kian Guan Lim

In this paper we study the term structure of interest rates and test the rational expectations hypothesis using single regression ...

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Article

Variations in Credit Spread Term Structures

Journal of Business and Economics (2013)

Kian Guan LIM, Yi ZHOU and Yun LI

This paper examines the slope and structure of credit spread curves across different ratings. We initially bootstrap a separate risky ...

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Article

Choice of Copulas in Explaining Stock Market Contagion

6th International Conference of the Thailand Econometric Society 2013 (2013)

Kian Guan LIM

Article

Choice of Copulas in Explaining Stock Market Contagion

Uncertainty Analysis in Econometrics with Applications: Proceedings of the Sixth International Conference of the Thailand Econometric Society TES'2013 (2013)

Kian Guan Lim

We provide in this paper an assessment of how well the Archimedean class of copulas can explain equity market contagion ...

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Article

The Term Structure and S&P100 Model-Free Volatilities

Quantitative Finance (2013)

Hian Ann, Christopher TING and Kian Guan Lim

We develop an improved method to obtain the model-free volatility more accurately despite the limitations of a finite number of ...

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Article

The Term Structure of S&P100 Model-Free Volatilities

Quantitative Finance (2013)

Kian Guan LIM and Hian Ann, Christopher TING

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Article

The term structure of S&P 100 model-free volatilities

Quantitative Finance (2013)

Kian Guan LIM and Hian Ann, Christopher TING

OpenURL

Article

Portfolio value-at-risk optimization for asymmetrically distributed asset returns

European Journal of Operational Research (2012)

Joel Weiqiang GOH, Kian Guan LIM, Melvyn SIM and Weina ZHANG

We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach ...

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Article

Global Warming, Extreme Weather Events, and Forecasting Tropical Cyclones: A ...

ASTIN Bulletin: The Journal of the International Actuarial Association (2012)

Carolyn W. CHANG, Jack S. K. CHANG and Kian Guan LIM

Global warming has more than doubled the likelihood of extreme weather events, e.g. the 2003 European heat wave, the growing ...

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Article

Global Financial Risks, CVaR and Contagion Management

Journal of Business and Policy Research (2012)

Kian Guan LIM

The September 2008 collapse of Lehman Brothers was the 9/11 on Wall Street, and many articles had been written on ...

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Article

Global Financial Risks and Changes in Conditional Value-at-Risk

World Business, Economics and Finance Conference, Bangkok, 26-227 September 2011 (2011)

Kian Guan LIM

Article

Climate risk management: The case of forecasting tropical cyclones

Research Collection Lee Kong Chian School Of Business (2010)

Carolyn W CHANG, SK Jack CHANG and Kian Guan LIM

Global warming has induced an increasing number of deadly tropical cyclones with a continuing trend. Developing high-functional climate risk management ...

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Article

Extreme events and the copula pricing of commercial mortgage-backed securities

Journal of Real Estate Finance and Economics (2009)

Zhanyong Liu, Gang-Zhi FAN and Kian Guan LIM

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, ...

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Article

Extreme Events and the Copula Pricing of Commercial Mortgaged Backed ...

Journal of Real Estate Finance and Economics (2009)

Kian Guan LIM, Zhang-Yong Liu and Gang-Zhi Fan

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Article

On the Term Structure of Model-Free Volatilities and Volatility Risk ...

Asia-Pacific Futures Research 18th Symposium, Seoul, 3-4 April 2008 (2008)

Christopher Hian Ann TING and Kian Guan LIM

Article

Bond Rating Using Support Vector Machine

Intelligent Data Analysis (2007)

Lijuan CAO, Kian Guan LIM and Jingqing ZHANG

This paper deals with the application of support vector machine (SVM) for bond rating. The three commonly used methods for ...

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Article

The Asia Pacific Journal of Management between 1992 and 1995

Asia Pacific Journal of Management, 25th Anniversary Special Issue (2007)

Kian Guan LIM

I was involved with the Asia Pacific Journal of Management since the late 1980s. At that time, the Chief Editor ...

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Article

Estimating Credit Risk Premia

ICFAI Journal of Financial Risk Management (2006)

Kian Guan LIM

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Articles (105)