Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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An Empirical Study on Measuring Systemic Risk Based on Information Flows using Variance Decomposition and DebtRank

분산분해와 뎁트랭크를 활용한 정보흐름에 기반으로 시스템 위험 측정에 관한 실증연구

  • Park, A Young (Department of Business Administration, Graduate School, Chosun University) ;
  • Kim, Ho-Yong (Department of Business Administration, Graduate School, Chosun University) ;
  • OH, Gabjin (Department of Business Administration, The College of Business, Chosun University)
  • 박아영 (조선대학교 일반대학원 경영학과) ;
  • 김호용 (조선대학교 일반대학원 경영학과) ;
  • 오갑진 (조선대학교 경상대학 경영학부)
  • Received : 2015.10.07
  • Accepted : 2015.11.18
  • Published : 2015.11.30
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Abstract

We analyze the systemic risk based on the information flows using the variance decomposition, DebtRank methods, and the Industry Sector Indices during 2001. 01 to 2015. 08. Using the KOSPI stock market as our setting, we find that (i) the systemic risk calculated by information flows of variance decompositions method shows strong positive relations with the market volatility, (ii) the magnitude of systemic risk measured from the information flows network by DebtRank method increases after the subprime financial crisis.

Keywords

References

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