• 대한산업공학회지
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• 제36권2호
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• pp.101-107
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• 2010

Among a variety of asset dynamics models in order to explain the common properties of financial underlying assets, parametric models are meaningful when their parameters are set reliably. There are two main methods from which we can obtain them. They are to use time-series data of an underlying price or the market option prices of the underlying at one time. Based on the Girsanov theorem, in the pure diffusion models, the parameters calibrated from the option prices should be partially equivalent to those from time-series underling prices. We call this phenomenon model consistency. In this paper, we verify that the two-state regime switching Black-Scholes model is superior in the sense of model consistency, comparing with two popular conventional models, the Black-Scholes model and Heston model.

• 자원ㆍ환경경제연구
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• 제13권3호
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• pp.417-440
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• 2004

미국의 PJM(Pennsylvania-New Jersey-Maryland) 전기도매시장의 전기 가격을 가변 전환확률 국면전환모형(regime switching model with time-varying transition probability model)을 이용해서 추정해보았다. 전기수요뿐만 아니라 기온을 전환확률 방정식의 설명변수로 포함시킴으로써 전기가격이 낮은 국면에서 높은 국면으로 전환할 확률의 문턱점(threshold) 효과가 뚜렷이 향상되었다. 따라서 도매전기가격의 스파이크(spike) 발생을 예측할 수 있게 되는 것이다. 이는 또한 미국의 도매시장 전기가격의 스파이크는 기온에 의해서도 잘 설명되며, 이를 이용하여 날씨관련 파생상품이나 계약을 통해서 도매전기 구입비용의 위험을 해지할 수 있다는 것을 의미한다.

• 대한수학회보
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• 제56권5호
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• pp.1355-1376
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• 2019

We investigate the valuation of participating life insurance policies with default risk under a geometric regime-switching jump-diffusion process. We derive explicit formula for the Laplace transform of the price of participating contracts by solving integro-differential system and then price them by inverting Laplace transforms.

• East Asian mathematical journal
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• 제38권5호
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• pp.617-641
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• 2022

In this study, we first present a brief overview of the Korean general insurance market. We then explore the characteristics of the loss ratios of the Korean general insurance industry and apply Markov regime-switching methodology to model the loss ratios of these insurance companies by line of business based on changes in economic regimes. This study applies a number of confirmatory tests such as Zivot-Andrews test (2002), the Chow (1960) test and the Bai and Perron (1998) to confirm the presence of structural breaks in the time series of the loss ratios by line of business. Then, we employ Markov regime-switching methodology to model these loss ratios. We find empirical evidence that the loss ratios reported by insurance companies in Korea is characterized by two distinct regimes; a regime with high volatility and a regime with low volatility, except for vehicle insurance. Our analyses suggest that macro-economic conditions have significant explanatory effect on loss ratios but the direction of effect differs based on the line of business and the regime. Unlike previous studies that have applied linear regressions or divided the samples into different periods and then apply linear regressions to model loss ratios, we argue for the application of Markov regime-switching methodology, which are able to automatically distinguish the different regimes that may be associated with the movements of loss ratios based on differing economic conditions and regulatory upheavals. This study provides a more in depth understanding of loss ratios in the general insurance industry and will be of value to insurance practitioners in modelling the loss ratios associated with their businesses to aid in their decision making. The results may also provide a basis for further studies in other markets apart from Korea as well as for shaping policy decisions related to loss ratios.

• 대한산업공학회지
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• 제42권4호
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• pp.290-295
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• 2016

This paper proposes a new method for the automatic detection of atrial fibrillation (AF), using Markov regime switching GARCH (1, 1) model. The proposed method is based on the observation that variability patterns of heart rate intervals during AF significantly differ from regular patterns. The proposed method captures the different patterns of heart rate intervals between two regimes : normal and AF states. We test the proposed method using Massachusetts Institute of Technology-Beth Israel Hospital (MIT-BIH) atrial fibrillation database, and demonstrate the effectiveness of the proposed method.

• 응용통계연구
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• 제28권3호
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• pp.429-442
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• 2015

변동성(volatility)은 투자위험을 의미하며 자산의 가격결정이나 포트폴리오 관리 및 투자전략에서 아주 중요한 역할을 한다. 이러한 변동성을 모형화하기 위한 조건부 이분산 모형으로서 전통적인 GARCH(generalized autoregressive conditional heteroskedastic) 모형 및 확장된 형태들이 널리 사용되어지고 있으나, 금융위기와 재정위기와 같은 구조적 변화를 변동성 예측에 반영할 수 없다는 단점을 가지고 있다. 본 논문에서는 이를 극복하기 위한 모형으로서 국면전환 GARCH(Markov regime switching GARCH) 모형을 소개하고, 한국의 일별 KOSPI 수익률에 적용하여 변동성 분석 및 예측을 실시하고, 기존의 GARCH 모형들과 비교하여 그 성능을 평가한다. 그 결과 표본 내(in-sample)의 변동성 적합도 측면에서 국면전환 GARCH 모형이 가장 우수한 성능을 보였으며, 표본 외(out-of-sample) 예측력 측면에서는 국면전환 GARCH 모형이 단기적 예측에서 좋지 않은 성능을 보였으나 장기적 예측에서 우수함을 보였다.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.63-73
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• 2021

This study investigates the key determinants of exchange rate (RER) misalignment for the period 1991 to 2020. The BEER technique has been used to estimate the degree of the equilibrium exchange rate. To explore the actual exchange rate misalignment and to assess the behavior of variables that are different in different regimes of undervaluation and overvaluation, the nonlinear technique of Markov regime-switching (MSM) was applied. The mean and variance of each regime are highly significant and show that undervaluation episodes have a low mean (116.139) and more volatility (1.229) while overvaluation episodes have a high mean (126.732) with less volatility (0.871). The findings show that MSM accurately identifies exchange rate misalignment in both regimes as separate incidents of overvaluation and undervaluation. Results further depict that misalignment of the RER is affected by terms of trade, net foreign assets, interest differential, government investment, and consumption decision. Results recommend that if policymakers want to use the exchange rate as a policy tool, they must first consider the drivers of the equilibrium exchange rate. As a result, any deliberate actions to address exchange rate misalignment must focus on the underlying fundamentals that drive the exchange rate.

• Journal of applied mathematics & informatics
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• 제38권5_6호
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• pp.439-461
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• 2020

A step-up option is a newly developed financial instrument that simultaneously provides higher security and profitability. This paper introduces two step-up options: step-up type1 and step-up type2 options, and derives the option pricing formulas using the Laplace transform. We assume that the underlying equity price follows a regime-switching model that reflects the long-term maturity of these options. The option prices are calculated for the two types of funds, a pure stock fund composed of risky assets only and a mixed fund composed of stocks and bonds, to reflect possible variety in the fund underlying asset mix. The impact of changes in the model parameters on the option prices is analyzed. This paper provides information crucial to product developments.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.15-22
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• 2021

This study aims to obtain a stock investment strategy model based on the industrial sector in Indonesia Stock Exchange (IDX). This study uses IDX data for the period of January 1996 to December 2016. This study uses the Markov Regime Switching Model to identify trends in market conditions that occur in industrial sectors on IDX. Furthermore, by using the Logit Regression Model, we can see the influence of economic factors in determining trends in market conditions sectorally and the probability of trends in market conditions. This probability can be the basis for determining stock investment decisions in certain sectors. The results showed descriptively that the stocks of the consumer goods industry sector had the highest average return and the lowest standard deviation. The trend in sectoral stock market conditions that occur in IDX can be divided into two conditions, namely bullish condition (high returns and low volatility) and bearish condition (low returns and high volatility). Differences in the conditions are mainly due to differences in volatility. The use of a Logit Regression Model to produce probability of market conditions and to estimate the influence of economic factors in determining stock market conditions produces models that have varying predictive abilities.

• 자원ㆍ환경경제연구
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• 제31권3호
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• pp.393-417
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• 2022

전력시장 도매가격인 전력계통한계가격(System Marginal Price, SMP)의 급등락은 발전 사업자들의 재생에너지 및 기존 신규 발전설비에 대한 투자 결정을 변경하거나 지연시켜 에너지 정책 실현에 부정적인 영향을 미칠 수 있다. 이 연구는 2016~2020년 시간별 데이터를 활용하여 우리나라 SMP 주간 실현 변동성을 측정하고 결정요인을 파악함으로써 SMP 급등락 현상에 대한 정보 제공을 목적으로 한다. 국면전환(regime-switching)을 베이지안 변수선택(Bayesian stochastic selection) 모형에 적용하여 추정한 결과, SMP 고변동·저변동 국면 모두에서 기저 발전인 석탄 및 원자력 발전과 재생에너지인 태양광 발전의 증가는 SMP 변동성을 심화시키고, 가스발전량과 LNG 가격 변화는 고변동 국면에서만 SMP 변동성을 감소시키는 것으로 나타났다. 이러한 결과는 탄소 중립이나 에너지 전환 정책에 따른 재생에너지의 점진적인 확대가 SMP 변동성을 확대할 수 있지만, 재생에너지의 간헐성을 보완하기 위한 가스발전의 증가나 탄소 중립을 위한 석탄발전 감축은 SMP 변동성 증가를 상쇄시키는 역할을 할 수 있음을 시사한다.