Korean Abstract: 본 논문은 시장리스크의 주된 측정수단인 VaR(value at risk)의 여러 예측모형을 한국의 국고채(1년, 5년, 10년 만기 할인채) 보유수익률에 적용하여 비교 분석하였다 …. 특히 EVT(extreme value theory)를 적용한 모형과 CAViaR(conditional autoregressive value at risk) 모형의 예측성과에 초점을 맞추었다. 실증 분석 결과, 채권 …English Abstract: In this paper, we compare various forecasting models for VaR(value at risk), which is the main …

-theoretic framework. In addition, we propose the Systemic-PCA based on a common factor of systemic risk measures extracted by using the …

, 배당 및 투자, 주식유동성, 효율성, 기업고유위험(idiosyncratic risk)의 측면에서 확인하였다. 조세피난처 투자자의 주식거래가 주식시장에 미치는 영향은 주식거래를 총 거래량, 매수, 매도, 순매수의 네 … efficiency and idiosyncratic risk. Moreover, this study investigates the effect of tax haven investors' trading on liquidity and …&D investments, stock liquidity, or idiosyncratic risk. Third, tax haven investors' trading exacerbates liquidity in the stock market …

English Abstract: In this study, the evaluation results of the risk-based deposit insurance premium system for the … the market opinion for the risk and the actual differential rate evaluation results.The relationship would be weakly …

systemic risk in financial markets, which is based on a new concept of cumulative returns in the same direction as well as the …