100 Bond Issue Performance Evaluation Risk management 100, Jan. 21, 2005
100, Jan. 21, 200 5 100호, Jan. 21, 2005 2 100, Jan. 21, 2005
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( ) 250 200 150 100 50 ( ) ( ) 30% 25% 20% 15% 10% 5% 0 Jul-96 Jul-98 Jul-00 Jul-02 Jul-04 0% 8 100, Jan. 21, 2005
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n N n N! n N n Pn ( ) = NCp n (1 p) = p(1 p) n!( N n)! N E( Loss) = P( i) L( i) i = 1 where P(): i N i Li ():i 12 100, Jan. 21, 2005
13 100, Jan. 21, 2005
T Q BtT (, ) = E exp rsds ( ) IT ( ) t T Q Q = E exp r( s) ds E [ I( T) ] t = BtT (, ) PtT (, ) where B( t, T ) : default-free zero coupon bond BtT (, ) : defaultable zero coupon bond PtT (, ) : Survival Probability between time t and time T 1 if default after T IT ( ) = 0 if default before T 14 100, Jan. 21, 2005
λ T PtT (, ) = exp λi ( sds ) t λ () t = X + X i C i ( ) ( ) dx () t = κ θ X () t dt + σ X () t db() t C C C C dx () t = κ θ X () t dt + σ X () t db() t i i i i λ 15 100, Jan. 21, 2005
Λ () t = λ ()1 t i i A(,) i t where Λ(): t λi (): t 1 if Ait (, ) ( ) 1Ait (,) 0 if not Ait (, ) 16 100, Jan. 21, 2005
P ( t, T 2 ) P ( t, T1, T 2 ) = P ( t, T1 ) where P( t, T1, T 2 ) : t T1 ~ T 2 P ( t, Ti ) : t Ti 17 100, Jan. 21, 2005
80% 70% 60% 50% 40% 30% 0% 20% 10% 1 2 3 0% 4% 8% 12% 16% 20% 24% 28% 32% 36% 40% 44% 48% 52% 18 100, Jan. 21, 2005
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r = β + β + β C + ε i 1i 2i i 3i i i 23 100, Jan. 21, 2005
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(Gain) [ 1] ( : ) 25.0 20.0 15.0 Reinvestment Gain Income Gain Capital Gain 10.0 5.0-02-11 03-02 03-05 03-08 03-11 04-02 04-05 04-08 04-11 -5.0 [1] 27 100, Jan. 21, 2005
[ 2] ( : ) 12.0 10.0 8.0 Reinvestment Gain Income Gain Capital Gain 6.0 4.0 2.0-02-12 03-03 03-06 03-09 03-12 04-03 04-06 04-09 -2.0 28 100, Jan. 21, 2005
29 100, Jan. 21, 2005
(Gross Price Index) 30 100, Jan. 21, 2005
[ 3] 114.00 110.00 106.00 102.00 - () 6.00 5.00 4.00 3.00 2.00 98.00 1.00 94.00 02-11 03-02 03-05 03-08 03-11 04-02 04-05 04-08 04-11 - IndexT = RT * IndexT 1 Gross Price Index = (1 + AI ) Clean Price Index i= 1 T T T ( InterestTi, Issue AmountTi, ) i= 1 AIT = ( Clean Price Index Issue Amount ) Ti, Ti, RT 31 100, Jan. 21, 2005
[ 4] 0.35 0.30 Call(S)-Call(Y) Call(Y)-Call(A) 0.25 0.20 0.15 0.10 0.05-03-06 03-09 03-12 04-03 04-06 04-09 04-12 32 100, Jan. 21, 2005
[ 4] (Ceteris Paribus) 1 2. 4... (1) R T. R T = i= 1 ( Clean Price + Interest + Call Cash ) Issue Amount i= 1 Ti, Ti, Ti, Ti, ( Clean Price + Interest + Call Cash ) Issue Amount T 1, i T 1, i T 1, i T, i - (3) (, Call Cash.) Call Cash 0 (Chain Rule ). Call Cash, Call Cash 0 (3). Call Cash 0. Call Cash Call Cash 0 Call Cash Clean Price + Interest R T. Call Cash RT ( ) RT.. Benchmark. KOBI30 KOBI120 Index Fund Index Rule.. Benchmark 33 100, Jan. 21, 2005
[2] 34 100, Jan. 21, 2005
*1000 35 100, Jan. 21, 2005
= 1 TWRR = (1 + R )(1 + R ) L(1 + R ) 1 T 1 2 MVEi Ri = 1 MVBi TWRRT : T Ri : i MVEi : i MVB : i i NAVt : t t HPi : t i t BPj : t j t SPk : t k t HNi : t i t BN j : t j t SNk : t i i Ft : t i j Bt : t j k St : t k RP t : t RNt : t SRNt : t HRNt : t SAMT : t t 36 100, Jan. 21, 2005 T
HAMTt : t R : t t NAV = HP HN t t t i i i F t NAVt RPt = 1000 RN t NAV t RNt = 1000 RP t RN = RN + SRN HRN t t 1 t t SAMTt SRN t = 1000 RPt 1 HAMTt HRNt = 1000 RP t 1 37 100, Jan. 21, 2005
t SAMT = BP BN j Bt t HAMT = SP SN t t j j t t k k k St RPt 1+ Rt = RP t 1 RPt 1000 = 1000 RP t 1 NAVt 1000 RNt 1000 = ( 2) 1000 RP NAVt 1000 = RN RP t t 1 t 1 NAVt 1000 = ( ) RN + SRN HRN RP t 1 t t t 1 NAVt 1000 = ( ),( 5) NAVt 1 SAMTt HAMTt RPt 1 1000 + 1000 1000 RP RP RP t 1 t 1 NAVt = NAV + SAMT HAMT = t 1 t t HP HN t 1 t t i i i Ft t 1 t 1 t t t t HPi HNi + BPj BN j SPk SNk i Ft 1 j Bt k St ( ),( ) = + ( Cash Inflow ) ( Cash Outflow ) 38 100, Jan. 21, 2005
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1+ TWRR = 40 100, Jan. 21, 2005
210 220 120 140 1+ TWRR = = 1.54 200 210 220 220 + 100 120 TWRR = 0.54 210 220 330 340 1+ TWRR = = 1.1788 200 210 220 + 100 330 TWRR = 0.1788 210 220 10 11 1+ TWRR = = 1.21 200 210 220 230 10 TWRR = 2.21 41 100, Jan. 21, 2005
1+ TWRR = 210 220 120 + 220 140 1+ TWRR = = 1.3635 200 210 220 + 100 120 TWRR = 0.3635 210 220 330 340 1+ TWRR = = 1.1688 200 210 220 + 100 330 TWRR = 0.1688 210 220 10 + 230 11 1+ TWRR = = 1.32 200 210 220 10 TWRR = 0.32 42 100, Jan. 21, 2005
1+ TWRR = 43 100, Jan. 21, 2005
220 120 + 220 100 140 1+ TWRR = ( ) = 1.40 200 220 120 TWRR = 0.40 220 330 100 340 1+ = = 1.1849 200 220 330 TWRR = 0.1849 TWRR ( ) 220 10 + 230 11 1+ = = 1.32 200 220 10 TWRR = 0.32 TWRR ( ) + NCFP 1+ TWRR = + NCFN NCFP = max( -, 0) NCFN = max( -, 0) 44 100, Jan. 21, 2005
210 220 120 + (220 100) 140 1+ TWRR = = 1.40 200 210 220 120 TWRR = 0.40 210 220 330 340 1+ TWRR = = 1.1849 200 210 220 + 100 330 TWRR = 0.1849 210 220 10 + 230 11 1+ TWRR = = 1.32 200 210 220 10 TWRR = 0.32 45 100, Jan. 21, 2005
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C= S Nd ( ) Xe Nd ( ) rt 1 2 2 log( S / X ) + ( r + σ / 2) T d1 = σ T 2 log( S / X ) + ( r σ / 2) T d2 = = d1 σ T σ T σ S σc = Nd ( 1) σs C rt VE = VNd A ( 1) Ve D Nd ( 2) d log( V / V ) + ( r+ σ / 2) T 2 A D A 1 = d 2 σ A T 2 log( VA/ VD) + ( r σ A / 2) T = σ T A A σe = Nd ( 1) σ A E σ 48 100, Jan. 21, 2005
σ σ rt VE = VA Nd ( 1) VD e Nd ( 2) d log( V / V ) + ( r+ σ / 2) T 2 A D A 1 = d 2 σ A T 2 log( VA/ VD) + ( r σ A / 2) T = σ T A A σe = Nd ( 1) σ A E 2 log( VD / VA) ( r σ A / 2) T 1 Nd ( 2) = N( d2) EDF = N( d2) = σ A T 2 A r σ / 2 0 EDF N d N σ 2 log( VD / VA) ( r A / 2) T = ( 2) = σ A T log( VD / VA) N σ A T V / VA 1 VD V A N = N σ A T V A σ A T D V A VD VAσ A T 49 100, Jan. 21, 2005
VA VD VAσ A T N( DD) y = N( x ' β ) + u * it it it 50 100, Jan. 21, 2005
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72 100, Jan. 21, 2005 ï
ï dps + ( HR) dpf = 0 d(1 + r ) s D s Ps dp (1 + r ) s s HR = = dpf d(1 + rf ) D f Pf (1 + rf ) d(1 + rs) /(1 + rs) d(1 + rf) /(1 + rf) ( DsPs)/( DfPf) d(1 + r s ) d(1 + r f ) [ Ds(1 + rs) P ]/ s Df(1 + rf) P f 73 100, Jan. 21, 2005
St St 1 = α + β( Ft Ft 1) + εt ε β β Cov( S, F ) β = HR = Var( F ) β 74 100, Jan. 21, 2005
75 100, Jan. 21, 2005
St = α 0s + ε st ft = α 0 f + ε ft ε st ε ~ (0, ) t = ψt 1 N Ht ε ft hss, t hsf, t Ht = hfs, t hff, t 2 h ss, t C1 A11 A12 A13 e 1, t 1 B11 B12 B13 h ss, t 1 vech( H t) = h sf, t C 2 A21 A22 A 23 e1, t 1e 2, t 1 B21 B22 B = + + 23 hsf, t 1 C 2 h ff, t 3 A31 A32 A 33 e B 2, t 1 31 B32 B 33 h ff, t 1 ψ ε ε ε ε 76 100, Jan. 21, 2005
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k X / k i Y i i= 1 i= 1 = 1.0 k k X i Y i i= 1 i= 1 83 100, Jan. 21, 2005
0.8 ( X i / Yi ) 1.25 k k 0.8 X i / Y i 1.25 i= 1 i= 1 X i + Y i = 0.0 n ( X + 2 2 VR = 1 Y ) / Y i= 1 y = α + β x i i n i i 84 100, Jan. 21, 2005
85 100, Jan. 21, 2005
KRW 6.87% CD 3M 86 100, Jan. 21, 2005
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