재무연구 제 권 호 (2012년 8월)
Asian Review of Financial Research, Vol., No..
pp.303~368
pp.303~368
Nonparametric factor analytic risk measure in Common Stocks in Korean Financial Firms: an empirical perspective
Seungho Baek Stuart School of Business, Illinois Institute of Technology
Joseph D. Cursio Stuart School of Business, Illinois Institute of Technology
Seung Youn Cha College of Business, Seoul National University
The purpose of this research is to measure risk in common stocks in Korean financial firms by industrial clusters applying a nonparametric methodology, which is Monte Carlo simulation, but also to identify the most critical factor explaining the volatility of stocks in financial firms and in each sector of financial firms (banks, insurance companies, and investment and security trading companies). The study suggests that the stock returns of Korean firms are covariated because of this parallel shift factor. The result shows similar VaRs and ESs for each industry when using a factor analytic approach.
Seungho Baek
Joseph D. Cursio
Seung Youn Cha
The purpose of this research is to measure risk in common stocks in Korean financial firms by industrial clusters applying a nonparametric methodology, which is Monte Carlo simulation, but also to identify the most critical factor explaining the volatility of stocks in financial firms and in each sector of financial firms (banks, insurance companies, and investment and security trading companies). The study suggests that the stock returns of Korean firms are covariated because of this parallel shift factor. The result shows similar VaRs and ESs for each industry when using a factor analytic approach.
Risk management,Value at Risk,Expected Shortfall,Full valuation,Monte Carlo simulation,Principal Component Analysis,Ito’s lemma,Nonparametric method
