지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.3
- 수록면
- 24 - 39 (16page)
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초록· 키워드
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In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions.
We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.
We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.
목차
1. 서론
2. 선행 연구
3. 연구자료와 연구방법론
4. 실증분석
5. 결론
참고문헌
참고문헌 (12)
참고문헌 신청
1. [보고서] - Aas, K / 2005 / Risk Capital Aggregation
2. [학술대회논문] - Alessandri, P / 2007 / An Economic Capital Model Integrating Credit and Interest Rate Risk, Working paper / Conference on the Interaction of Market and Credit Risk
3. [보고서] - Alexander, C / 2003 / On the Aggregation of Firm-Wide Market and Credit Risks
4. [학술대회논문] - Breuer, T / 2007 / Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?, Working paper / Conference on the Interaction of Market and Credit Risk
5. [보고서] - Cech, C / 2006 / Copula-based top-down approaches in financial risk aggregation
2. [학술대회논문] - Alessandri, P / 2007 / An Economic Capital Model Integrating Credit and Interest Rate Risk, Working paper / Conference on the Interaction of Market and Credit Risk
3. [보고서] - Alexander, C / 2003 / On the Aggregation of Firm-Wide Market and Credit Risks
4. [학술대회논문] - Breuer, T / 2007 / Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?, Working paper / Conference on the Interaction of Market and Credit Risk
5. [보고서] - Cech, C / 2006 / Copula-based top-down approaches in financial risk aggregation
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UCI(KEPA) : I410-ECN-0101-2013-530-002595937