DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Byun, Suk-Joon | - |
dc.contributor.advisor | 변석준 | - |
dc.contributor.author | Chang, Jae | - |
dc.date.accessioned | 2018-06-20T06:14:12Z | - |
dc.date.available | 2018-06-20T06:14:12Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=708730&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/242783 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2017.2,[iv, 23 p.:] | - |
dc.description.abstract | This study investigates profitability of the butterfly strategy, which is commonly used by active bond fund managers to mitigate risk and to enhance portfolio returns. While the strategy's success is conditional on the accuracy of forecast shifts in the yield curve, it also has a defensive feature that may enable any losses incurred to be relatively small. I test out this strategy in the Korean Market and find that the cash and dollar duration-neutral butterfly on average, generates less profits compared to the regression weighted butterfly strategy. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Yield Curve▼aRelative Value▼aArbitrage▼aButterfly Strategy▼aFixed income▼aRisk Management | - |
dc.subject | 수익율 곡선▼a차익거래▼a버터플라이 전략▼a리스크 관리▼a채권 | - |
dc.title | Profitability of executing relative value (RV) yield curve arbitrage strategy | - |
dc.title.alternative | 한국 채권시장의 차익거래 실효성에 대한 연구 : 버터플라이 전략 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | 장재원 | - |
dc.title.subtitle | (a) study of korean butterflies | - |
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