• 경영정보학연구
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• 제9권2호
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• pp.129-147
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• 2007

2002년 신용대란 전후 S카드사는 결제능력 및 신용도의 적절한 측정을 통한 리스크 관리의 효율성 제고를 위해 회원 신용평가에 있어 소득을 고려하고자 하는 새로운 시도를 하였다. 보다 개선된 리스크 관리를 위해 잠재가치, 즉 소득을 추가로 고려한 다차원 평가체계로 회원을 파악하자는 것이었다. 그 이전까지 S카드를 비롯하여 모든 카드사는 연체속성, 입회기간, 사용상태, 한도소진율 등의 내부의 행위요소(behavioral factor) 자료와 외부 신용평가사에서 획득한 회원 등급이나 금융거래 내역 등에 의존하여 한도를 부여했다. 그러나 이 같은 방식은 과거로부터 현재까지의 행동패턴에 기반한 것으로서 회원의 객관적 능력범위를 가늠하는 데 어려움이 따랐고 결과적으로 리스크 관리의 한계로 이어졌다. 본 연구에서는 S카드사가 어떠한 방식으로 회원의 소득을 추정하였고 그 결과를 어떻게 활용하는가에 대해 살펴봄으로써 금융기관 리스크 관리 정교화의 방향을 제시하고자 한다.

• 한국콘텐츠학회논문지
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• 제21권11호
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• pp.320-332
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• 2021

본 연구는 국내 주식시장에서 개별종목의 주가급락위험을 과거 1년간 일별수익률의 VaR(Value-at-Risk) 통계량으로 정의하고, 주가급락위험이 기대수익률에 미치는 영향을 분석하였다. 결과는 다음과 같이 요약된다. 첫째, 전체 종목을 전월의 주가급락위험의 크기 순으로 10개의 포트폴리오로 나눈 후, 주가급락위험이 가장 높은 포트폴리오를 매수하고 가장 낮은 포트폴리오를 공매도하여 매월 구성한 무비용 포트폴리오는 월평균 -2.29%의 수익률(주가급락위험 프리미엄)을 나타낸다. 둘째, Fama-MacBeth 횡단면 회귀분석에서 기업규모, 장부가대시장가비율, 시장베타, 유동성, 최대수익률, 고유변동성, 왜도 등의 다양한 기업특성변수를 통제한 후에도 전월의 주가급락위험은 금월 수익률에 대해 유의한 음(-)의 설명력을 갖는다. 셋째, 최근 1개월 이내에 주가급락폭이 큰 종목일수록 다음 달 수익률이 더 낮다. 넷째, 전월 시장수익률의 변동성과 주가급락위험 프리미엄의 크기는 음(-)의 상관관계를 갖는다. 이러한 결과는 주가급락위험에 대해 투자자들이 과소반응하는 경향으로 인해 주가급락위험이 높은 종목일수록 주가가 고평가된다는 행태재무학적 관점에서의 가설을 지지한다.

• 한국중재학회지:중재연구
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• 제26권1호
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• pp.89-105
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• 2016

2008 began with the American financial crisis which gave way to the liquidity crisis (Fannie Mae and Freddie Mac) situation in which 'the withdrawal of investment initiated from the insufficiency of the U.S. subprime mortgage loan companies', 'the large size loss situation of the financial company (Bear Stearns) due to the American structured bond insufficiency' and the second half opening part national debt mortgage company. Within the American financial crisis was propagated the crisis of international derivatives. Due to this, the withdrawal of foreign investment progressed in the interior of a country with the considerable. By the end of 2007, the exchange rate fluctuation was absorbed in the domestic financial circle on the belief the potentiality of the domestic financial market had been growing drastically through the expansion of the foreign currency debt according to this and it came to the defence but while the exchange rate jumped up to the dollar shortage according to the international crisis, the small and medium companies making the banks and exchange rate-related derivatives contract were going bankrupt due to the derivatives loss. The small and medium factories establish the bank exchange rate-related derivatives has nose (KIKO), pivot (PIVOT), and snowball (Snowball) etc. at that time and the damage which it is the KIKO grasped at 6 end of the months in 2008 caused by reaches to 1 thousand billion 4 thousand hundred million dollars. Small and medium companies in which the dollar which it has to denounce among small and medium companies bearing the KIKO contract in fact with the Knock-In generation city bank exceeds the amount of sales were known to be 68 enterprises among 480 enterprises. This paper departs in this awareness of a problem and tries to look into the risk factor of the derivatives, including nose and study the essential ring risk management plan of small and medium manufacturer.

• 한국항해항만학회지
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• 제46권4호
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• pp.359-366
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• 2022

FFA는 1990년대 초반 이후 시장위험의 헤징을 위한 유효한 수단으로 대두되었지만 베이시스위험으로 헤징의 효과성이 크게 저해될 수 있다는 점과 현금흐름의 불일치 등이 활성화의 장애요인으로 지적된다. 본 연구는 FFA의 헤징효과에 영향을 미치는 베이시스위험에 대하여 분석하고 이를 축소하기 위한 대안을 제시한다. 베이시스위험은 시점불일치, 항로불일치, 선박크기불일치 및 저유동성 베이시스위험으로 구분할 수 있는데 그 중 시점불일치 베이시스위험은 특정일 기준으로 지급되는 실물 선박의 용선료와 일정기간의 평균으로 정산되는 FFA의 정산가격과의 차이에 의해서 발생하는 것으로 헤징오류 원인 중 가장 큰 차이를 발생시키는 것이다. 이 연구에서는 성약일 기준 용선료를 15일 간격 이동평균 용선료로 변경한다는 대안을 제시하고 이의 차이와 운임선도거래 정산가격과의 차이를 도출하는 것을 역사적 시뮬레이션을 통하여 실증분석하였다. 연구결과 시점불일치 베이시스위험은 15일 이동평균을 적용함으로써 현저히 축소시킬 수 있는 것이 확인되었다. 이 연구는 용선료 지급기준 변경을 통해 베이시스위험을 축소하고 궁극적으로 운임선도거래를 활성화시킬 수 있는 가능성을 제시함으로써 해운실무에 유의미한 시사점을 제시한다.

• The Journal of Asian Finance, Economics and Business
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• 제7권6호
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• pp.39-46
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• 2020

Playing an important role in developing the economy and overall developments of the country, commercial banks have to be aware of their crucial presence in order to perform well and contribute significantly. At the same time, as a place to receive deposits, banks are required to be in safe situations to avoid bankruptcy or deal with financial crises. This research seeks to identify the determinants of Capital Adequacy Ratio and Banks' performance as well as the relationship between these two dependent variables. The paper uses 128 observations of 16 Vietnamese commercial banks during the period from 2010 to 2017, with two simultaneous dependent variables CAR and ROE, and independent variables including Return on Assets, Tobin Q, Credit growth, GDP growth, Equity to Deposits, Loans to Deposits, Bank size, Cost to Income, Liquidity risk, Provision for Loan loss ratio, Non-performing loans and Inflation. The results reveal that Capital Adequacy Ratio and Banks' Performance have statistically significant relationship and Credit growth, GDP growth, Equity-to-Deposit ratio and Cost-to-Income ratio all have significant effects on two dependent variables. The findings of this study suggest that commercial banks should control the respective elements in order to maintain adequate level of capital and also create effective performance.

• KDI Journal of Economic Policy
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• 제29권2호
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• pp.75-116
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• 2007

본 연구는 외환위기를 전후로 우리나라 기업의 현금보유 패턴에 어떠한 변화가 발생하고 있는지 분석하였다. 분석결과에 따르면, 첫째 최근 현금보유가 증가한 것은 소수의 기업들이 현금보유 규모를 과거에 비해 급격하게 증가시키는 과정에서 관찰된 현상이며, 전반적으로 기업들의 현금보유가 증가하였다고 보기는 어려운 것으로 나타났다. 둘째, 선진국의 경험과 유사하게 우리나라 기업들의 경우에도 영업성과의 불확실성이 높을수록 현금보유 비중을 높게 가져가는 경향이 있는 것으로 나타났다. 최근 영업성과의 불확실성이 과거에 비해 상승한 것도 우리나라 기업의 현금보유 패턴 변화에 일부 영향을 미쳤을 것으로 사료된다.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.19-30
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• 2020

This paper investigates, in a single equation framework, the effect of bank-specific and macroeconomic determinants on micro-, small- and medium-sized loans by commercial banks in Indonesia. This study uses a sample of 790 observations from 79 commercial banks in Indonesia over the years 2006-2015. This study uses two estimation methods for our panel regressions: static and dynamic generalized method of moments (GMM) panel estimator. In static relationships, the literature usually uses the least square methods on fixed effects (FE) or random effects (RE). I found evidence that all banks, bank profitability and size are positively and significantly related to micro-, small- and medium-sized loans, while the coefficients of liquidity are significantly positive in all specifications, except government banks which is significantly negative. The relationship between risk and credit growth is negative for non-government banks. All estimated equations show that the effect of the capital variable on lending banks to MSMEs is not important in government banks and non-government banks. Finally, macroeconomic variables, such as inflation and gross domestic product, clearly affect the lending of the banking sector particularly non-state banks. The findings have several policy implications to Indonesia government, regulatory authority and bank managers in order to improve bank profitability through bank lending.

• The Journal of Asian Finance, Economics and Business
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• 제7권9호
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• pp.135-145
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• 2020

This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.

• 아태비즈니스연구
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• 제11권4호
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• pp.243-254
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• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.

• The Journal of Asian Finance, Economics and Business
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• 제8권1호
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• pp.665-673
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• 2021

Default has become an extreme concern in the current world due to the financial crisis. The previous prediction of companies' bankruptcy exhibits evidence of decision assistance for financial and regulatory bodies. Notwithstanding numerous advanced approaches, this area of study is not outmoded and requires additional research. The purpose of this research is to find the best classifier to detect a company's default risk and bankruptcy. This study used secondary data from the Pakistan Stock Exchange (PSX) and it is time-series data to examine the impact on the determinants. This research examined several different classifiers as per their competence to properly categorize default and non-default Pakistani companies listed on the PSX. Additionally, PSX has remained consistent for some years in terms of growth and has provided benefits to its stockholders. This paper utilizes machine learning techniques to predict financial distress in companies listed on the PSX. Our results indicate that most multi-stage mixture of classifiers provided noteworthy developments over the individual classifiers. This means that firms will have to work on the financial variables such as liquidity and profitability to not fall into the category of liquidation. Moreover, Adaptive Boosting (Adaboost) provides a significant boost in the performance of each classifier.