• Journal of Information Technology Applications and Management
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• v.26 no.6
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• pp.47-63
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• 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.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.1
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• pp.83-89
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• 2019

The purpose of this paper is to examine how the social system of deposit insurance affected the financial market in Korea. Specifically, we want to know how much the risk-seeking behavior of financial institutions has increased or decreased. The most important feature of the deposit insurance system is to prevent the insolvency of financial institutions and to properly protect depositors. In recent studies, it has been argued that characteristics of deposit insurance bring moral hazard of financial institutions and that financial institutions make unreasonably risky investments. Therefore, in this study, we will first examine whether such previous research can be applied to the Korean financial market. Next, we will examine the appropriateness of the differential premium rate that is currently used for each financial institution in the Korean financial market. In order to test the first hypothesis, we used the Capital Asset Pricing Model (CAPM) to calculate the total risk for each financial institution. As a result, significant changes were found in all regions before and after the introduction of the deposit insurance system. As for testing the second hypothesis, we conducted a variance analysis of financial institutions' indexes before and after the introduction of the deposit insurance and we discovered significance of the total risk difference.

• Journal of Digital Convergence
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• v.16 no.12
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• pp.175-183
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• 2018

This study analyzes determinants of bond returns in terms of systematic risk versus idiosyncratic risk by examining relationship among those factors. First we examined the cross-sectional determinants of corporate bond returns with Korean bond market data from 2001 to 2014. This paper uses term factor and default factor for systematic risk, and duration factor and credit rating factor for idiosyncratic risk. The empirical result shows that systematic risk can explain cross-sectional differences of bond returns rather than idiosyncratic risk which is the same result in advanced markets(US or Europe). This result is different from the previous Korean studies which showed that idiosyncratic risk is more important than systematic risk in Korean bond market. The reason for the different result may be the longer sample period which includes the most recent period. It is insisted that Korean bond market is getting more synchronized with the advanced bond market. In conclusion, this empirical result implies that Korean bond portfolio managers should focus on systematic risk, which is contrary to current system in Korean asset management industry.

• The Journal of the Korea Contents Association
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• v.15 no.7
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• pp.531-543
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• 2015

Benjamin, Lusht, and Shilling(1998) suggested that the level of deposit can be used as a tool to resolve the problem of adverse selection by the leaseholder under the circumstance of information asymmetry. In this respect, this research aims to verify how the level of deposit and monthly rent mitigate the problem of information asymmetry existing in the office market in Seoul. So far, the analysis of the office market in Seoul has been difficult due to the fixed rate of deposit and monthly rent. This research attempts to adopt the concept of occupancy cost, a global standard indicator that would replace the default risk of monthly payment for analyzing the market. As a result of a series of empirical analysis, the lessors tend to add about 9 percent of risk premium to the occupancy cost to hedge against the default risk of monthly payment. It allows for estimating at what extent one should reflect the leaseholder's default risk of monthly payment for operating deposit and monthly rent in the office building lease market.

• Journal of Information Processing Systems
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• v.20 no.3
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• pp.391-398
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• 2024

Given the further promotion of economic globalization, China's financial market has also expanded. However, at present, this market faces substantial risks. The main financial and economic risks in China are in the areas of policy, credit, exchange rates, accounting, and interest rates. The current status of China's financial market is as follows: insufficient attention from upper management; insufficient innovation in the development of the financial economy; and lack of a sound financial and economic risk protection system. To further understand the current situation of China's financial market, we conducted a questionnaire survey on the financial market and reached the following conclusions. A comprehensive enterprise questionnaire from the government's perspective, the enterprise's perspective and the individual's perspective showed that the following problems exist in the financial and economic risk prevention aspects of big data and Internet of Things in China. The political system at the country's grassroots level is not comprehensive enough. The legal regulatory system is not comprehensive enough, leading to serious incidents of loan fraud. The top management of enterprises does not pay enough attention to financial risk prevention. Therefore, we constructed a financial and economic risk prevention model based on big data and Internet of Things that has effective preventive capabilities for both enterprises and individuals. The concept reflected in the model is to obtain data through Internet of Things, use big data for screening, and then pass these data to the big data analysis system at the grassroots level for analysis. The data initially screened as big data are analyzed in depth, and we obtain the original data that can be used to make decisions. Finally, we put forward the corresponding opinions, and their main contents represent the following points: the key is to build a sound national financial and economic risk prevention and assessment system, the guarantee is to strengthen the supervision of national financial risks, and the purpose is to promote the marketization of financial interest rates.

• Journal of applied mathematics & informatics
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• v.27 no.5_6
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• pp.1073-1086
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• 2009

This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.

• Journal of the Korean Operations Research and Management Science Society
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• v.29 no.2
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• pp.45-57
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• 2004

The purpose of this paper is studying the valuation of option prices in Incomplete markets. A market is said to be incomplete if the given traded assets are insufficient to hedge a contingent claim. This situation occurs, for example, when the underlying stock process follows jump-diffusion processes. Due to the jump part, it is impossible to construct a hedging portfolio with stocks and riskless assets. Contrary to the case of a complete market in which only one equivalent martingale measure exists, there are infinite numbers of equivalent martingale measures in an incomplete market. Our research here is focusing on risk minimizing hedging strategy and its associated minimal martingale measure under the jump-diffusion processes. Based on this risk minimizing hedging strategy, we characterize the dynamics of a risky asset and derive the valuation formula for an option price. The main contribution of this paper is to obtain an analytical formula for a European option price under the jump-diffusion processes using the minimal martingale measure.

• The Transactions of the Korean Institute of Electrical Engineers P
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• v.59 no.3
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• pp.263-267
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• 2010

Although electricity market structures may be different from each country, they have a long-term forward market and a short-term spot market in general. Particularly, a bilateral contract transacted at a long-term forward market fixes the electricity price between a genco and a customer so that the customer can avoid risk due to price-spike in the spot market. The genco also can make an efficient risk-hedging strategy through the bilateral contract. In this paper, we propose a new mechanism for deriving the optimal bilateral contract price using game theory. This mechanism can make the customer reveal his true willingness to purchase so that an adequate bilateral contract price is derived.

• Journal of Electrical Engineering and Technology
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• v.9 no.3
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• pp.789-795
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• 2014

In a demand response (DR) market run by independent system operators (ISOs), load aggregators are important market participants who aggregate small retail customers through various DR programs. A load aggregator can minimize the allocation cost by efficiently allocating its demand response resources (DRRs) considering retail customers' characteristics. However, the uncertain response behaviors of retail customers can influence the allocation strategy of its DRRs, increasing the economic risk of DRR allocation. This paper presents a risk-based DRR allocation method for the load aggregator that takes into account not only the physical characteristics of retail customers but also the risk due to the associated response uncertainties. In the paper, a conditional value-at-risk (CVaR) is applied to deal with the risk due to response uncertainties. Numerical results are presented to illustrate the effectiveness of the proposed method.

• Journal of the Korean Society of Safety
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• v.27 no.3
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• pp.42-48
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• 2012

This paper is aimed to analysis of electrical fire risk by overcurrent and series arc signals in traditional market shops Firstly, the field state investigation was conducted for shops at the traditional market (30 shops). At each shop in the traditional market, load characteristics were investigated and thermal characteristics in Panel were analyzed. Thermal characteristics in Panel is an indicator that can determine the impact of overcurrent. Results of the field state investigation found out four shops which showed abnormal thermal characteristics in Panel. Electrical load characteristics of these 4 shops were simulated by experimental setup consists of generator, motor and heater. In order to verify the electrical fire risk by electrical loads of 4 shops, arc and overcurrent experiments were conducted. The waveshapes of arc and overcurrent are investigated in both the time and frequency domains to find signal characteristics. The results obtained in this paper will be very helpful for the prevention of electrical fires occurred at the shops in the traditional market.