• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.2
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• pp.712-717
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• 2011

Option issuers generally utilize Dynamic Delta Hedging(DDH) technique to avoid the risk resulting from continuously changing option value. DDH duplicates payoff of option position by adjusting hedge position according to the delta value from Black-Scholes(BS) model in order to maintain risk neutral state. DDH, however, is not able to guarantee optimal hedging performance because of the weaknesses caused by impractical assumptions inherent in BS model. Therefore, this study presents a methodology for dynamic option hedge using artificial neural network(ANN) to enhance hedging performance and show the superiority of the proposed method using various computational experiments.

• The Southeast Asian review
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• v.27 no.3
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• pp.93-135
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• 2017

Due to their geographic proximity to Beijing, the Southeast Asian states under the fallout of the China's growing power are struggling to seek the art of diplomacy to promote their national interests. This study explores why Cambodia previously taking a pro-US strategy after the end of the Cold War has switched to a pro-China one in the context of the rise of G-2 system, the ASEAN regionalism, the country's national interest and Hun Sen's regime legitimation. Theoretically, this study takes a realist constructivist approach and tries to find how realist interests and norms have affected the Hun Sen's regime legitimation. The relationship between China and Cambodia has been deepened by mutual economic interdependence and increasingly stronger Chinese power. Especially, the Chinese massive economic aids and investment have enormously supported the regime legitimation of Hun Sen. On the other hand, The US value diplomacy promoting democracy and human rights has undermined the Hun Sen's legitimacy and strained the two nations' relationship. However, the Hun Sen's pro-China strategy is not to check and balance against US strategic interests and not to recognize the Chinese hegemonic position in Southeast Asia. It is a hedging against the US value diplomacy while maximizing economic and other gains from China. ASEAN has been playing a coordinating role to limit the scope of power politics among big powers and to mitigate its ramifications. Yet, since the US and Chinese interests are so keenly criss-crossing, Cambodia may continue to react to the G-2 system through bilateral relations with them.

• The Southeast Asian review
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• v.28 no.4
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• pp.31-76
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• 2018

This article explores why the two Southeast Asian countries, Vietnam and the Philippines, choose different strategies to cope with the Chinese threat. Despite the evident Chinese threat in the South China Sea, Vietnam has not meaningfully expanded the military cooperation with the United States, whereas the Philippines, ironically, has distanced itself with its ally, the United States. Existing studies on the topic does not offer a satisfactory explanation. We assign that two cases are examples of "underbalancing" - the failure of balancing even though there is an evident threat. Furthermore, we demonstrate the difference between cases of the Philippines and Vietnam by arguing that the number of veto players affects the outcome of foreign policy, underbalancing of two countries. The Philippines has only one veto player, the president, hence its response to external threats is incoherent. On the other hand, the number of veto players in Vietnam is more than one and those players demand negotiation among them on the matter of foreign policy. Upon analyses on two cases we argue that the former is the case of underbalancing caused by a lack of policy stability, while the latter is the case of underbalancing caused by a lack of policy responsiveness.

• Environmental and Resource Economics Review
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• v.26 no.4
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• pp.499-517
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• 2017

The purpose of this article is to show profit margin hedging can be an optimal strategy in crude oil purchasing. This study theoretically analyzes profit margin hedging strategy is optimal in crude oil purchasing using expected target utility function and conducts simulations to show if the profit margin hedging is profitable. In addition, this study tests existence of mean reversion of crude oil futures prices to confirm the theory that profit margin hedging is more profitable than other strategies, such as always hedging or buying at expiration with spot price, if futures prices are mean reverting. The simulation results show that the expected utility of profit margin hedging higher than other strategies. Although we cannot find any evidence that crude oil futures prices follow mean reverting process, we can conclude that profit margin hedging can be optimal strategy in crude oil purchasing based on theoretical proof and simulation results.

• Journal of Korea Water Resources Association
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• v.56 no.4
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• pp.273-284
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• 2023

Water supply is continuously suffering from frequent droughts under climate change, and such extreme events are expected to become more frequent due to climate change. In this study, the decision scaling method was introduced to evaluate the drought vulnerability under future climate change in a wider range. As a result, the water supply reliability of the Boryeong Dam ranged from 95.80% to 98.13% to the condition of the aqueduct which was constructed at the Boryeong Dam. Furthermore, the Boryeong Dam was discovered to be vulnerable under climate change scenarios. Hence, genetic algorithm-based hedging rules were developed to evaluate the reduction effect of drought vulnerability. Moreover, three demand scenarios (high, standard, and low demand) were also considered to reflect the future socio-economic change in the Boryeong Dam. By analyzing quantitative reliability and the probability of extreme drought occurrence under 5% of the water storage rate, all hedging rules demonstrated that they were superior in preparing for extreme drought under low-demand scenarios.

• Korean Management Science Review
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• v.31 no.1
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• pp.49-61
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• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• Korea and Global Affairs
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• v.2 no.2
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• pp.89-130
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• 2018

This paper is to analyse the development of the U.S.-China relationship and pending issues and implications. To this end the paper is composed of 6 chapters titled instruction; the relationship between the US and China in the early and hostile confrontation period; the relationship of US-Chinese approach/normalization period and the relationship in the 1980s and 1990s; the relationship by mid-2010 since the opening of the G2 era; the US-China relations and major pending issues and implications in the era of Trump-Xi Jinping; and conclusion. The rapid growth of China over the past three decades has changed the existing US-centered international order and has triggered competition between the two countries. The United States and China have become the only countries that regularly hold strategic and economic dialogue, and the topic has also developed into a country that discusses not only bilateral relations but also global issues. The issues of US-China cooperation and conflicts encompass global issues as well as bilateral relations issues. For example, the South China Sea, the North Korean nuclear issue and the THAAD, the economic and financial order, and the Taiwan issue. It is not a matter of another country, but a problem that directly or indirectly leads to Korea's diplomacy, security and economy. In order to prevent 'Korea passing' in the US-China relationship, we need a hedging strategy that maintains and strengthens the strong ROK-US security cooperation and harmonious promotion of ROK-China economic cooperation.

• Korea and Global Affairs
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• v.3 no.1
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• pp.39-76
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• 2019

This paper is to analyze the trend and implications of the publication of China's defense and security white papers. To this end the paper is composed of 5 chapters titled instruction; publication details and composition of China's defense and security white paper; the gist of the white paper on national defense and security during the Chinese president Xi Jinping era; the implications of Chinese white paper on national defense and security during the Chinese president Xi Jinping era; and conclusion. The Chinese Ministry of National Defense had published seven books every two years since 1998 to 2010. In 1995, the ministry published a white paper titled 'China's arms control and disarmament' for the first time. In 2013, it published a white paper titled 'The Diversified Employment of China's Armed Forces' and 'China's Military Strategy' in 2015. All have the common characteristic of being a propaganda policy reflecting China's strategic calculations. It seems that China has began to publish defense white papers in a proactive manner, due to the following factors: (1)pressure on China to demand military transparency from neighboring countries such as the United States; (2)the erosion of the 'China threat.' and (3)confidence in the achievement of China's military modernization. The 'active defensive strategy' and the 'strong defense strategy' of Si Jinping are implied in the words "China's dream is a dream of a powerful country and dream of a strong nation is essential to construct a strong nation." His these strategies have raised security concerns for neighboring countries. We need to maintain and reinforce strong ROK-US security cooperation, and hedging strategies to harmoniously promote ROK-China economic cooperation.

• The Korean Journal of Financial Studies
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• v.8 no.1
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• pp.231-252
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• 2002

2000년 7월부터 채권시가평가의 실행으로 채권운용자들도 채권포트폴리오의 위험을 채권선물을 이용하여 통제하거나 감소시키기 위해 헤지를 하여야 한다. 이때 헤지비율을 추정하는 방법으로는 전통적 회귀분석모형, 백터오차수정모형(Vector Error Correction Model : VECM)과 VAR모형(Vector AutoRegressive Model)이 있다. 전통적인 회귀분석모형에 의하여 추정된 헤지비율은 시계열자료의 불안정성(nonstationary) 등으로 인하여 잘못 추정될 가능성이 있어 면밀한 검토와 분석 후 사용하여야 한다. 시계열자료의 불안정성으로 말미암아 야기되는 문제점들을 개선할 수 있는 모형으로서 VECM과 VAR모형이 널리 이용되고 있다. 따라서 본 연구는 VECM과 VAR모형을 사용하여 추정된 헤지비율과 전통적 회귀분석모형을 사용하여 추정한 헤지비율을 비교하여 어떤 모형으로 추정한 헤지비율이 더 정확한지를 평가하는데 목적을 두고 있다. 즉, 본 연구는 KTB 현 선물의 헤징에 대한 연구로 2000년 1월 4일부터 2001년 7월 27일까지 385일간의 KTB 현 선물 자료와 불룸버그 국채지수를 대상으로 VECM 및 VAR모형과 전통적 회귀분석모형에 의한 헤지비율을 추정하고 각 모형의 설명력과 예측력을 비교하고자 한다. 이 연구의 실증분석 결과, KTB 현물가격과 KTB 선물가격간, 블룸버그 국채지수와 KTB 선물가격간에는 공적분 관계가 존재하며, VECM 및 VAR와 전통적 회귀분석모형을 이용하여 추정한 최적헤지비율의 크기는 대동소이(大同小異)하며, 전통적 회귀분석방법을 이용하는 것이 VECM과 VAR모형을 이용할 때 보다 설명력과 예측력이 우월한 것으로 나타났다.

• Proceedings of the KIEE Conference
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• 2009.07a
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• pp.575_576
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• 2009

최근 전력산업의 구조적인 측면에서는 수직적 형태의 분리 및 경쟁 도입, 그리고 민영화를 통한 효율 증진 등 전력산업 개편이 전세계적으로 이루어지고 있다. 전력산업의 개편 과정에서 전력공급자(ESP)는 불완전한 시장으로 인한 재정적인 위험에 직면한다. ESP가 재정적인 위험에서 근본적으로 벗어나기 위해서는 합리적인 전기 소매 가격의 책정이 필요하다. 본 논문에서는 현재 적용되고 있는 고정 소매 가격제에 대한 문제점을 제시하고 이를 극복하기 위해서 전기 공급 도매 가격의 변동성을 예측함으로써 헤징을 통한 새로운 요금제의 도입의 필요성을 제안하는 것이 본 논문의 목적이다. 본 논문에서 소개될 새로운 요금제인 Critical Peak Pricing(CPP)에서 전기 공급 도매 가격의 변동성의 예측은 CPP 요금을 적용하는데 중요한 역할을 담당하는 지표로 활용된다. CPP 요금을 적용함으로써 ESP의 재정적인 위험을 최소화하고 수요 탄력성이 반영되어 전기 소비자들과의 관계 향상 또한 유도될 수 있다.[4],[6]