DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 김경국 | - |
dc.contributor.author | Lee, Ji-Eun | - |
dc.contributor.author | 이지은 | - |
dc.date.accessioned | 2024-07-26T19:31:10Z | - |
dc.date.available | 2024-07-26T19:31:10Z | - |
dc.date.issued | 2023 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=1047731&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/321030 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2023.8,[40 p. :] | - |
dc.description.abstract | This study applies the methodology proposed by Faias (2023) to estimate cross-sectional tail risk SCSTR in the Korean market, and compares it with the similar previous tail risk measure CSTR, proposed by Kelly and Jiang (2014). The findings prove that SCSTR is a more precise representation of monthly tail risk and serves as a superior predictor of future market movement. It consistently demonstrates robust predictive power in the Korean market from 1999 to 2022, unaffected by economic conditions or investment horizon, and further verifies its effectiveness as a risk indicator by providing evidence of a positive premium. Additionally, SCSTR adds economic value by accurately predicting systematic risk beyond the scope of the financial market. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | 꼬리위험▼a횡단면▼a예측력▼a시스템리스크▼a금융안정지수 | - |
dc.subject | Tail Risk▼aCross-sectional▼aPredictability▼aSystematic Risk▼aFinancial Stability Index | - |
dc.title | Navigating the tails | - |
dc.title.alternative | 한국 시장에서의 횡단면 꼬리위험에 대한 실증 분석 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | Kim, Kyoung-Kuk | - |
dc.title.subtitle | uncovering cross-sectional tail risk in the Korean market | - |
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