• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.471-481
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• 2013

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.

• Journal of the Korean Data and Information Science Society
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• v.22 no.6
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• pp.1065-1074
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• 2011

During several decades, many researchers in the field of finance have studied Value at Risk (VaR) to measure the market risk. VaR indicates the worst loss over a target horizon such that there is a low, pre-specified probability that the actual loss will be larger (Jorion, 2006, p.106). In this paper, we compare conditional copula method with two conventional VaR forecasting methods based on simple moving average and exponentially weighted moving average for measuring the risk of the portfolio, consisting of two domestic stock indices. Through real data analysis, we conclude that the conditional copula method can improve the accuracy of portfolio VaR forecasting in the presence of high kurtosis and strong correlation in the data.

• Management & Information Systems Review
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• v.31 no.3
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• pp.307-321
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• 2012

This paper examines the spillover effect between Korea stock market and Chinese stock market according to increasing economic power of Chinese. Chinese stock market start the transaction one hour and half early than Korea stock market. Especially we focuses the response of Korea stock market after Chinese stock market starts. So we analyze the return an volatility of Korea stock market after 10:30. We employee daily and intraday stock return and volatility. The sample period ranges from January 2008 to April 2010 total 28 months. Our results show that the gap of open price between Korea and Chinese stock market affect the five minute return and volatility of Korea stock market but don't affect the ten minute return and volatility. Recently, this spillover effect has increased more and more. This shows the rapid increase of economic power of Chinese to affect the Korea capital market.