• Journal of the Korean Data and Information Science Society
• /
• 제21권5호
• /
• pp.945-950
• /
• 2010

As the U.S. Congress has continued to debate over the health care reform pushed by President Obama, there is an ample reason to believe that the systematic risk of the health care industry, especially health care plan providers, is increasing. This study measures and compares the systematic risk of two health care industry indexes and one portfolio of health care plan providers from before and after the introduction of the health care legislation into Congress in September, 2009. The Capital Asset Pricing Model (CAPM) is used to measure the systematic risk, and a dummy variable approach and the Chow test are used to formally compare the systematic risk from before and after the introduction of the legislation.

• Journal of Information Technology Applications and Management
• /
• 제25권4호
• /
• pp.157-169
• /
• 2018

The purpose of this study was to examine the volatility of bitcoin, diagnose if bitcoin are a systematic risk asset, and evaluate their effectiveness by estimating market beta representing systematic risk using GARCH (Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that the market beta of Bitcoin using the OLS model was estimated at 0.7745. Second, using GARCH (1, 2) model, the market beta of Bitcoin was estimated to be significant, and the effects of ARCH and GARCH were found to be significant over time, resulting in conditional volatility. Third, the estimated market beta of the GARCH (1, 2), AR (1)-GARCH (1), and MA (1)-GARCH (1, 2) models were also less than 1 at 0.8819, 0.8835, and 0.8775 respectively, showing that there is no systematic risk. Finally, in terms of efficiency, GARCH model was more efficient because the standard error of a market beta was less than that of the OLS model. Among the GARCH models, the MA (1)-GARCH (1, 2) model considering non-simultaneous transactions was estimated to be the most appropriate model.

• 산업경영시스템학회지
• /
• 제2권2호
• /
• pp.115-124
• /
• 1979

The purpose of this study is theoretical research on risk. The research is focused on systematic risk. Chapter I is objective of this study, Chapter II includes definition and measurement of risk. Chapter III introduces attitudes toward risk and classification of risk. Chapter IV discusses Portfolio theory, Capital market line and Shape and Lintner model The objective of firm is assumed to maximize its value. In a world of uncertainty, value is not determined by earnings alone, the degree of risk involved with the streams of earnings. Financial manager has to consider the risk in order to maximize the value of firm. Total risk can be classifier into two parts : Systematicrisk and unststematic risk by Sharpe. Systematic risk is important because investors can't diversify it. Blume and Jensen measured f and they testified that the f is stationary over the time For further study, Korean stock mark has to take emperical study about $\beta$ and its stationarity.

• Journal of Information Technology Applications and Management
• /
• 제26권6호
• /
• pp.47-63
• /
• 2019

The volatility of major crypto currencies was examined and they are diagnosed whether they have a systematic risk or not, by estimating market beta representing systematic risk using GARCH( Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that their prices are very volatile over time because of the existence of ARCH and GARCH effects. Second, in terms of efficiency, asymmetric GJR model was estimated to be the most appropriate model because the standard error of a market beta was less than that of the OLS model and GARCH model. Third, the estimated market beta of Bitcoin using GJR model was less than 1 at 0.8791, showing that there is no systematic risk. However, unlike OLS model, the market beta of Ethereum and Ripple was estimated at 1.0581 and 1.1222, showing that there is systematic risk. This result shows that bitcoin is less dangerous than Ripple and Ethereum, and ripple is the most dangerous of all three crypto currencies. Finally, the major cryptocurrency found that the negative impact caused greater variability than the positive impact, causing bad news to fluctuate more than good news, and therefore good news and bad news had a different effect on the variability.

• 디지털융복합연구
• /
• 제16권12호
• /
• pp.175-183
• /
• 2018

본 논문의 연구목적은 국내 회사채시장에서 시장전체의 체계적 위험 (systematic risk)과 각각의 고유위험(idiosyncratic risk)이 회사채 수익률에 미치는 영향을 분석하고자 한다. 2001년부터 2014년까지 채권시장의 자료를 분석하기 위해, 본 연구는 체계적 위험의 대용변수로 기존의 연구에서 사용된 회사채수익률 기간구조 요인(term factor)과 지급불능 요인(default factor) 등을 사용하고, 고유위험의 대용변수로 듀레이션(duration)과 신용평가등급 요인을 선정하였다. 이러한 요인들이 채권의 수익률에 미치는 영향력을 횡단면 회귀분석을 통해 분석한 결과, 체계적 위험과 관련된 요인들은 통계적 설명력이 있는 것으로 나타났다. 반면에 회사채 고유위험과 관련된 요인들은 기존의 국내 연구와 달리 회사채 수익률을 통계적으로 설명하지 못하는 것으로 나타났다. 이러한 결과는 본 연구의 분석기간이 기존 연구의 7년 자료보다 긴 14년간의 자료를 사용하고 최근의 기간까지 확장했다는 점 때문에, 오히려 미국의 연구결과와 유사한 것으로 나타났다. 이는 우리나라 채권시장이 IMF사태 이후 국제화가 확대되어 선진국과 동조현상을 보이는 것으로 해석된다. 따라서 본 연구는 국내 채권투자시장에서도 선진국의 경우와 마찬가지로 개별 채권의 특성보다는 채권시장 전체의 위험에 보다 더 집중해서 투자할 필요가 있다는 점을 제시하고 있다.

• The Journal of Asian Finance, Economics and Business
• /
• 제10권2호
• /
• pp.355-365
• /
• 2023

This study examined the relationship between corporate governance and risk disclosure via a systematic literature review and bibliometric visualization analysis. The study aimed to present evidence of risk disclosure intellectual structure, volume, and development knowledge trends. Data was extracted from Scopus and analyzed with Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines and RTools. In turn, 64 articles were extracted from the Scopus database. The results demonstrated that the number of corporate governance and risk disclosure publications increased significantly from 2015 to 2019 compared to before 2015. RTools revealed the most prominent journals, authors, and interests in the field. The co-occurrences map was constructed based on 208 keywords from 64 articles, where the keywords were required to appear once in the research. Interestingly, the keyword search yielded new concepts relatively unexplored in the risk disclosure field. The 13 clusters were generated, which contained 1987 total links and 1567 direct citations. Based on the scientific analysis discussion, corporate governance and risk disclosure is an interesting topic that has produced many publications. Applying research keywords arguably aided in producing and publishing papers in top journals. Despite the number of publications decreasing due to the COVID-19 pandemic, the pandemic also presented new opportunities for future research.

• 한국항해항만학회지
• /
• 제41권2호
• /
• pp.71-78
• /
• 2017

This paper aims to investigate the time-varying systematic risk of the stocks of Korean logistics firms. For this purpose, the period from January 1991 to October 2016 was examined with respect to 21 logistics companies that are listed on the Korea Exchange. The systematic risk of the logistics stocks is measured in terms of the Capital Asset Pricing Model (CAPM) beta for which the sensitivity of a stock is compared to the return changes of the whole market. Overall, the betas of the stocks of the Korean logistics companies are significantly lower than those of the market unity; however, it was revealed that the logistics betas are not constant, but are actually time-varying according to different economic regimes, which is consistent with the previous empirical findings. This finding is robust across different measurements of the logistics betas. In addition, the impact of macroeconomic factors on the logistics betas was examined. The present study shows that the logistics betas are positively associated with foreign exchange-rate changes.

• The Journal of Asian Finance, Economics and Business
• /
• 제7권12호
• /
• pp.627-633
• /
• 2020

The study attempts to analyze the impact of firm's risk on capital structure in the context of seasonal and non-seasonal businesses. We use two independent variables namely credit risk and systematic risk and one dependent variable to explore this connection. Sugar sector is taken as seasonal while the textile sector as non-seasonal businesses. The panel data of twenty-five firms from each sector are taken ranging for the period of 2012 to 2019 which has been retrieved from their annual reports for empirical analysis of the study. The results reveal the negative impact of credit risk on capital structure in both types of businesses. Increasing (decreasing) one point of credit risk causes a decrease (increase) leverage ratio by 0.27 points for seasonal while increasing (decreasing) one point of credit risk causes to decrease (increase) leverage by 0.15 points for non-seasonal businesses. Furthermore, the study shows positive impact of systematic risk on leverage ratio in non-seasonal business and no impact in seasonal business. Any increase (decrease) in the systematic risk causes an incline (decline) leverage ratio by 2.68 units for non-seasonal businesses. The study provides a guideline to managers for risk management in businesses. The research focusses on theoretical as well as managerial and policy implications on risk management in businesses.

• 응용통계연구
• /
• 제24권2호
• /
• pp.253-268
• /
• 2011

본 논문은 우리나라 기업의 신용등급 전이행렬을 활용하여 부도율과 신용 등급 전이에 내재된 체계적 요인을 추출하는 방법을 소개하고, 이률 활용한 위기상황분석에 관한 연구를 수행하였다. 본 논문의 주요 발견은 등급전이행렬에 내재된 체계적 요인의 변동은 경기 동행성이 뚜렷하고, 실제 경기 변동을 설명하는 것을 확인할 수 있었다. 특히, 투자적격등급과 투기등급별로 경기에 반응하는 속도가 상당히 다르다는 것을 확인할 수 있었다. 신용등급 전이행렬에 내재된 체계적 위험을 고려한 위기상황분석은 부도확률에만 초점을 맞추는 방법에 비해 위기상황에 대한 포트폴리오의 변화를 파악할 수 있기 때문에 개념적으로 우월하고, 분석 결과 등급 전이를 고려한 위기상황분석이 부도확률만을 고려하는 방법에 비해 예상손실에 상당한 차이가 있음을 발견하였다.

• 정보관리연구
• /
• 제31권4호
• /
• pp.1-12
• /
• 2000

도서관 운영에 수반되는 잠재적 리스크들은 막대한 경제적 손실을 초래할 수 있는 바 체계적인 관리가 요구되고 있다. 리스크의 인지, 리스크의 측정, 리스크 처리기법의 선택, 실행, 평가를 통한 리스크 관리과정은 대물(對物)리스크, 배상책임(賠償責任)리스크, 인사(人事)리스크를 가장 보편적인 방법인 보험에 의하여 처리되도록 제시하고 있다. 도서관의 체계적 리스크 관리를 위해서는 리스크 관리자를 선임하여 프로그램 개발과 보험가입에 책임이 주어져야 한다. 또한 제한적인 공제회의 보장대상은 보험상품 개발을 통해 충분한 리스크의 담보가 이루어져야 한다. 보다 체계적이고 현실적인 도서관 리스크 관리의 개선과 보험의 적용을 위해 추가적인 연구가 요구된다.