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- W1978002340 abstract "J. P. Morgan의 RiskMetrics을 기반으로 하는 현행 VaR 모형은 구조적으로 미래 경기상황을 반영할 수 없는 단점으로 인해 불안정한 경기상황에서는 손실이 VaR을 초과하는 결정적인 문제점을 내포하고 있다. 어느 기업의 미래의 주가는 해당 기업만의 고유요인은 물론 모든 기업의 주가에 공통적으로 영향을 미치는 경기변동 공통요인에 의해 결정된다. 따라서 본 연구에서는 주가의 변동요인을 기업의 고유요인과 경기변동 공통요인으로 구분하여, 미래 경기변동 공통요인에 대해서는 현재시점에서 예측한 값을 사용하는 원-팩터(One-factor) VaR 모형을 제안한다. 이와 같은 원-팩터 VaR 모형은 미래의 예측된 경기상황을 반영을 반영하여 손실이 VaR을 초과하는 현행 VaR 모형의 문제점을 해결할 수 있을 뿐만 아니라 자산의 목표보유기간을 증가시켜 경기변동에 따른 손실을 최소화하기 위한 포트폴리오에 대한 자산구성과 자금이전을 선제적으로 실시할 수가 있다. The current VaR Model based on J. P. Morgan's RiskMetrics has problem that actual loss exceeds VaR under unstable economic conditions because the current VaR Model can't re ect future economic conditions. In general, any corporation's stock price is determined by the rm's idiosyncratic factor as well as the common systematic factor that in uences all stocks in the portfolio. In this study, we propose an One-factor VaR Model for stock portfolio which is decomposed into the common systematic factor and the rm's idiosyncratic factor. We expect that the actual loss will not exceed VaR when the One-factor Model is implemented because the common systematic factor considering the future economic conditions is estimated. Also, we can allocate the stock portfolio to minimize the loss." @default.
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- W1978002340 date "2013-06-30" @default.
- W1978002340 modified "2023-09-27" @default.
- W1978002340 title "An One-factor VaR Model for Stock Portfolio" @default.
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- W1978002340 doi "https://doi.org/10.5351/kjas.2013.26.3.471" @default.
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