Jihong Park
Business student working across hedge calculation, hedge accounting and disclosure
In one paragraph
I took one position, a Korean crude importer's joint WTI and USD/KRW exposure, and worked it through four layers: budget, trading, accounting and disclosure. The calculations became six papers, the engines went into an ERP prototype, and the part the papers could not cover is being filled by parsing every derivative footnote on the KOSPI. I work on both the accounting side and the quantitative side.
Six papers posted on SSRN and ResearchGate
Core
- Optimal WTI–FX Hedge Ratios Under a Fixed Budget
A maturity-matched strip of twelve slices reconciles a monthly budget with option expiries, then re-optimises on a tail-loss objective.
PDF - Covariance-Aware Delta Hedging of a Quanto Knock-Out
A double-barrier quanto hedge whose delta carries the WTI–KRW covariance, framed against the plain collar.
PDF - IFRS 9 Cash-Flow Hedge: Combined vs Split Designation
The same position booked under two designation structures, and how P&L volatility and ineffectiveness differ.
PDF - Mandatory ESG Disclosure and Corporate Hedging (Korea / KSSB)
380 KOSPI firms, filings from 2016 to 2024: what governance-report and environmental-disclosure mandates did to hedge-accounting adoption and derivative use.
PDF
Follow-up notes
- KIKO Through the Program
The 2008 knock-in knock-out episode recomputed in the four-layer frame. A barrier turns market risk into survival risk.
PDF - The Benign and the Lethal Barrier
A double-knock-out hedge and KIKO under one calibration: similar knock-out odds, opposite optionality and opposite institutions.
PDF
Code and manuscripts: github.com/JihongParker/wti-fx-hedge-program
Things I built
- HongERP open repo
- An ERP prototype for the decision layer that ESG software does not cover: give it an exposure and it computes how much to hedge and how much to disclose at once. The engines of four papers are frozen as the computational core; an ERP shell with roles, approval queues, an audit trail and fiscal-year close runs on top. React, TypeScript.
- Hedge Observatory open repo
- Reading every derivative footnote of KOSPI-listed firms, classifying and normalising them into a public hedging panel. A four-stage batch (collect, classify, normalise, publish); the site only reads precomputed files. Python, React.
- Quant Lab open repo
- 44 quantitative models from coursework and the papers, each driven by sliders. A static site with no external libraries; every chart is hand-drawn.
- Trading Desk screen
- A personal automated US-equity desk. Strategies never place orders directly; every order passes a risk gate and is journaled. Python, SQLite.
Experience
- 2022.10 – 2024.04 · Republic of Korea Army
- Completed mandatory service, sergeant
- 2024.04 – 2025.03 · Hans Language Institute, Busan
- English instructor
- 2025.03 – present · UK Language Institute, Busan
- English instructor
- 2025.09 – 2025.12 · KAMCO mentoring programme
- English tutoring for children in welfare facilities
How I work
I set the design and the criteria; a language-model pipeline does the repetitive work. Having a model read and classify footnote sentences, the classification rules and the sample checks were my work.
Tools
Python · TypeScript · Excel VBA · LaTeX · OpenDART · SQLite