DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김광익 | - |
dc.contributor.author | 최선용 | - |
dc.date.accessioned | 2018-07-17T10:47:22Z | - |
dc.date.available | 2018-07-17T10:47:22Z | - |
dc.date.created | 2017-09-19 | - |
dc.date.issued | 2017-03 | - |
dc.identifier.issn | 1738-124X | - |
dc.identifier.uri | https://oasis.postech.ac.kr/handle/2014.oak/92127 | - |
dc.description.abstract | This paper provides empirical results showing Value-at-Risk(VaR) for equity-linked annuities(ELA) calculated by different volatility models: GARCH, EGARCH, and GJR-GARCH models. We will use two procedures to calculate VaR for ELA. The first procedure examines the performance of various GARCH-type models with regard to forecasting the future volatility of S\&P 500 index daily returns. We use the three GARCH-type models mentioned above to forecast volatility. To further the robustness of estimating results, we compare the empirical performances of the three GARCH-type models for the both in-sample and out-of-sample tests. The second is to calculate VaR for S\&P 500 index return and ELA using the forecasting results of each GARCH-type model. We also calculate the value of ELA and VaR under the Student's t-distribution. Additionally, we analyze the effect of contract terms of ELA on the VaR in this procedure. | - |
dc.language | Korean | - |
dc.publisher | 한국금융공학회 | - |
dc.relation.isPartOf | 金融工學硏究 | - |
dc.subject | Forecase | - |
dc.subject | Volatility | - |
dc.subject | GARCH | - |
dc.subject | EGARCH | - |
dc.subject | GJR-GARCH | - |
dc.subject | S&P 500 index | - |
dc.subject | Equity-Linkd Annuity | - |
dc.subject | 변동성 예측 | - |
dc.subject | GARCH | - |
dc.subject | E-GARCH | - |
dc.subject | GJR-GARCH | - |
dc.subject | S&P 지수 | - |
dc.subject | 주식연계연금 | - |
dc.title | S&P 500 지수의 변동성 예측을 통한 주식연계연금의 VaR 측정 | - |
dc.title.alternative | Evaluating VaR for Equity-Linked Annuities by Forecasting Volatility of S&P 500 Index Return | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | 金融工學硏究, v.16, no.1, pp.115 - 149 | - |
dc.identifier.kciid | ART002212438 | - |
dc.citation.endPage | 149 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 115 | - |
dc.citation.title | 金融工學硏究 | - |
dc.citation.volume | 16 | - |
dc.contributor.affiliatedAuthor | 김광익 | - |
dc.description.journalClass | 2 | - |
dc.description.journalClass | 2 | - |
dc.subject.keywordAuthor | Forecase | - |
dc.subject.keywordAuthor | Volatility | - |
dc.subject.keywordAuthor | GARCH | - |
dc.subject.keywordAuthor | EGARCH | - |
dc.subject.keywordAuthor | GJR-GARCH | - |
dc.subject.keywordAuthor | S&P 500 index | - |
dc.subject.keywordAuthor | Equity-Linkd Annuity | - |
dc.subject.keywordAuthor | 변동성 예측 | - |
dc.subject.keywordAuthor | GARCH | - |
dc.subject.keywordAuthor | E-GARCH | - |
dc.subject.keywordAuthor | GJR-GARCH | - |
dc.subject.keywordAuthor | S&P 지수 | - |
dc.subject.keywordAuthor | 주식연계연금 | - |
dc.description.journalRegisteredClass | kci | - |
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