기타자료.PDF

< > 1 1 2 1 21 1 22 2 221 2 222 3 223 4 3 5 31 5 311 (netting)5 312 (matching) 5 313 (leading) (lagging)6 314 6 32 6 321 7 322 8 323 13 324 19 325 20 326 20 327 20 33 21 331 (ALM)21 332 VaR(Value at Risk) 22 4 23 41 23 411 23 412 Case Studies24 413 25 42 26 i

421 26 422 26 43 28 431 Website28 432 28 5 30 35 ii

1 1997 2 21,,,,,,,, 1, 1 (hedge) : 1

22 221 1,250/$$1,000,000, 1,300/$, 50,000,000((1,300 1,250) $1,000,000),, 2,,, 68, (ALM), 2 : : : 2

222 (transaction exchange risk) CoolGuy 1,000,000 3 1,250/U$ 100,000 1,230/U$ 3 1,000,000 1,200/U$ 12 3, 2 3 12 2 3 5 100,000 12 5% 9% 3

1,200/$ ($) $100,000 () 120,000,000 6% 9% 1 1 1 4% 1,152/$ 122,112,000 130,800,000-8,688,000 2% 1,176/$ 124,656,000 130,800,000-6,144,000 1,200/$ 127,200,000 130,800,000-3,600,000 2% 1,224/$ 129,744,000 130,800,000-1,056,000 4% 1,248/$ 132,288,000 130,800,000 1,488,000 6% 1,272/$ 134,832,000 130,800,000 4,032,000 1 3% (, ) 223,, (real cash flow exchange risk) (economic exchange risk),, 4

,,, 3 31,,, (netting), (matching), (leading) (lagging), (ALM), (invoicing currency adjustment) (,, ), (,, ) 311 (netting) (multilateral netting) 312 (matching) 5

3 313 (leading) (lagging) (leading) (lagging) 3, 314, 32, (forward), (currency futures), (currency options),, (factoring), (discount), 2002 1 16 9 / 1,28580/$ 1 1,28580 1 2002 116 2002 12 (USD112) 1,26320/$ 2002 116 2002 12 1,26320/$ 2002 12, 6

2002 12 1,26320/$ 1,150/$ 321 (forward exchange), 2000,, 2000 2300 2000 10 2000 30 2000 2001 2 500 2000 2001 2001 4 700 2001 4 500 2001 200 2001 700, 4 500 7

8 2001 2001 (forward protection agreement: FRA) 322 (currency futures), (http://wwwkofexcom), 3 25,000 5 (5 $50,000 = $250,000) 3 $250,000 <3 1>

$50,000 3 + 3, 6, 9, 12 6 ($) 02, 1tick = 10,000 (50,000 1 tick (02/$)) ~ : 9:30 ~ 16:30( ) : 9:30 ~ 11:30 ( ) 2 1 2 1,, bid(ask) () bid(ask) 3 2, (Physical Delivery) - - - 250, OMS II 2002 115 CC 2002 616 $975,000 25,000,000 (20 2,500,000 ) 160,000 (20 8,000 ) 6 20 (20 $50,000 = $1,000,000) 2001 1 16 1,279/$ 1,280/$ 9

2002 6 15 1,300/$ 1,300/$ 615 160,000 (20 8,000 ) 6 20 (20 $50,000 = $1,000,000) 6 15 $1,000,000 13 ( 1,300 $1,000,000 = 1,300,000,000) 615 $1,000,000 13 3 116 12 8 2 2 1 16 12 8 $1,000,000 (<3 2> ), 620 (6 ) 2% (netting) CC (2 ) 3 10

1,279/$ 1 16 1 17 1 18 6 14 6 15 1,300/$ 1,280/$ 1,276/$ 1,282/$ 1,299/$ 1,300/$ 0 4,000,000 a 6,000,000 b 2,000,000 c 1,000,000 d 25,000,000 21,000,000 27,000,000 44,000,000 45,000,000 a (1,276 1,280) $1,000,000 = 4,000,000 b (1,282 1,276) $1,000,000 = 6,000,000 c 6 13 1,297/$, (1,299 1,297) $1,000,000=2,000,000 d (1,300 1,299) $1,000,000 = 1,000,000 25 51 12 8 (1,280 $1,000,000 = 1,280,000,000) 117 4 21 118 6 2 7, 12 4, 4 119 1,254/$, (1,254 1,282) $1,000,000 = 28,000,000 1 12 11

(Forward) (Futures),,,, 2% LG SK http://wwwkookminfuturescokr/ http://wwwnacffuturescokr/ http://wwwtyfuturescokr/ http://wwwpueunfuturescokr/ http://wwwssfuturescokr/ http://wwwyesfuturescokr/ http://wwwcjfuturescokr/ http://203228234195/ http://wwwcyberfuturescokr/ http://wwwhyundaifuturescom/ http://wwwfuturescokr/ http://wwwskfuturescom/ 12

323 (forward) 5 (futures), (currency call option), ( ) <3 4> :, :, (currency option) (option) 5 (forward protection agreement: FRA) 13

(option premium) (call option) (put option), 6,, ( ) ( ) 6 ( ),,, ( ) 14

15 ( ),,,, ( )

16 ( ) ( ),, ( ) ( )

1 $ 10,000 7 3 3, 6, 9, 12 14 7( 3, 1, 3) 8,, (in-the-money) = (at-the-money) (out-of-the-money) (out-of-the-money) (at-the-money) (in-the-money), 1 2 1,280/$ 13 (4 ) 1,310/$( ), 1,300/$ ( ), 1,290/$( ), 1,280/$( ), 1,270/$( ), 1,260/$( ), 1,250/$( ) 7 1 13 1,290/$ 1,310/$( ) 8 9 <3 6> 7 8 2( ) 4(4 ) 7 ( 3, 1, 3) = 42 9 3 17

$ 10,000 3 + 3, 6, 9, 12 4 ( 3 3, 6, 9, 12 1 ) 02 : 25 (1tick = 2,000 ) 01 : 25 (1tick = 1,000 ) (European Style) 10 ITM 3, ATM 1, OTM 3 a 3 - ~: 09:30 ~ 16:30( ) - : 09:30 ~ 11:30 3 ( ) - : 3 2 : ITM OTM (Random Allocation) (Physical Delivery Settlement) * : " ", " " : " ", " " * : " ", " x " : " ", " " a ITM(in-the-money):, ATM(at-the-money):, OTM(out-of-themoney): 18

2001 1 22 CC 2001 2 23 $400,000 1 2 122 1,280/$ (at-the-money) ( 1,280/$12)2 40 14,400,000 (36 $10,000 40 ) 2 2 21 2 21 1,330/$ 512,000,000 (1,280 $10,000 40 ) $400,000 223 532,000,000 (1,330 $400,000) 5,600,000 ((1,330 1,280 36) $400,000) ( ) ( ) 1,330 1,280 36 =14 (36 ) 1,280 1,316 1,330 324 8%, 12%, 1 22 223 1,280/$, 1,330/$ 508,609,280 $397,351 19

$397,351 1 223 $397,351 $400,000 ($397,351 (1 + 8%/12)) CC 513,695,373 (508,609,280 (1 + 12%/12)) 513,695,373 $400,000 1,284/$ 46 (1,330 1,284) 1,280/$ 325 (factoring) (factor) (factor) 326 (discounting) 327 1 (foreign exchange fluctuation insurance) (http://wwwkeicorkr) 20

33 331 (asset liability management: ALM) (funds management strategy),,,,,,,,, 0 21

332 VaR (Value at Risk) VaR(Value at Risk) VaR VaR,, A 6 $1,000,000 1,300/$ A $1,000,000 1,300,000,000 VaR 6 / ($ ) 1,175 1,225 1,275 1,325 1,375 1,175 1,425 1,225 1,275 1,325 1,375 1,425 2% 3% 20% 50% 20% 3% 2% 6 22

23 4 41 1997, 411 1997 1999, 75%, 10

,, PC,,,,,, 12, 412 Case Studies 10 A : 3, 6, 9, 12 : 10 24

25 B 200~300 B 1 Bargaining Power 413,,, 10 13, 75% 88%

26, KOTRA (supply chain), (, ) 42 421 422

27 < 4-1> (,,, ),, ( - ) ( ) VAR ( ) ( ) ( )

43 431 Website IP,, - (http://wwwfxdealcokr) (http://wwwforexbankcokr) (http://wwwforextouchcokr) fxkorea(http://wwwfxkoreacokr) fxmarket(http://wwwfxmarketcokr) - emoney(http://wwwemoneycokr):, (http://wwwinvestment-koreacokr): TopZon(http://wwwtopzoncom): 432 FX,, SMILE, NEWTON 28

FX Korea IMS FX SMILE NEWTON / NT, UNIX, LINUX NT UNIX UNIX, Mainframe - - - - - - - - - / - VaR - Risk - - - - - - - - OA - - - - - - SWIFT - - - - -SWIFT - - - - - -SWIFT - - SWIFT - -, - - - / 7~8 1 2 3~5 5~10 29

5 11 1) X2 X1 40% 20%,, 3 3 5,970,000,000 ( :, ) X0 X1 X2 $ 20 $30 $50 9725/$ 1,020/$ 1,060/$ 1,001/$ 1,050/$ 1,150/$ 570 900 4,500 X3 13 $50,000,000 X3 93, 1 / / 11,, pp 535~544, 30

/$ / $ /SFr SFr/$ 3 6 12 1,150 1,001 114885 1,160 1,170 1,180 1,160 1,170 1,200 1,250 12% 1% 05% 02% FX FX X3 93 1,180/$, X3 12 1,210 FX 1: 2:, 1,151/$ 3:, $50,000,000 4:, 12 X3 93 X3 93 1,190/$ 12 1,220/$ 2) 1: 20 [=(1,190/$ - 1,150/$) X $50,000,000] 31

X3 9 3 2: X3 1 3 1,950,000,000[=(1,190/$ - 1,151/$) X $50,000,000] 13 1,151/$ 93 1,190/$ 1,950,000,000 X3 13 1,150/$ X $50,000,000 = 57,500,000,000 X3 93 1,190/$ X $50,000,000 = 59,500,000,000 (1,190/$ - 1,151/$) X $50,000,000 = 1,980,000,000 2,000,000,000 1,950,000,000 3: 1,170/$ 93 (1,190/$ - 1,170/$) X $50,000,000 = 1,000,000,000 $50,000,000 X 1% X 1,150/$ = 575,000,000 425,000,000 1,1815/$ 32

- : 1,170/$ X3 13 1,150/$ X $50,000,000 = 57,500,000,000 -$50,000,000 - : 575,000,000 (=$500,000 X 1,150/%) - 1,190/$ X $50,000,000 X3 93 (W1,190/$ - 1,170/$) X = 59,500,000,000 $50,000,000 = 1,000,000,000 2,000,000,000 425,000,000 4: 1,000 (= $50,000,000/$50,000) 16,000 X 1,000 = 16,000,000 X3 13 / 12 59,000,000,000 X3 93 X3 12 61,000,000,000 2,000,000,000 1150032/$ ( ) 1 1,190/$ 595 2 1,151/$ 5755 3 1,190/$ 59075 4 1,190/$ 575016 33

34 4 1 1,998,400,000 2 1,950,000,000, 3 25,000,000

< > 1) FX - -,, - (Sensitivity), VaR(Value at Risk), (Cash Flow), (Simulation) - - - - 112 - -, -,,, - 35

- - - - - 36

FX Korea() FX Korea() 14-11 10F 220-81-64951 On/Off-Line / 1,085 37

40 10, 37 20, 2, 1, 1, 3 3,, 5 18 217,000 5,000 1,085,000,000 : 100,000,000 2000 2~3: 500,000,000 ( 5,000 ) 2000 4: 100,000,000 ( 5 25,000, 4) 2000 5: 385,000,000 ( 77 ) - ( ) : FX - - - 38

: FX Korea() 02-761-1600 2) - ( ) : FX Korea 3 ( ) : : : - 39

, : : Netposition : Netposition : Position Simulation : - Risk, net, Risk Simulation : net VaR portfolio effect ( ), Volatility: Implied Volatility VaR : VaR VaR, : : VaR net Position 40

Position : :,, Risk : ( ) : : VaR : (fromto) VaR VaR VaR : VaR Gross VaR, Portfolio Effect, Net VaR VaR : (fromto) VaR VaR VaR : VaR Gross VaR, Portfolio Effect, Net VaR - : : 41

: - : : : : : : : 42

-, - (, ) - --> - 43

- 3) SMILE (Swift Message Interface & Link Easy) TOTAL SOLUTION PACKAGE, CONFIRM P/O, HOST,,, TOTAL SOLUTION,,, Business Process 44

Component Base Development Component Component, SWIFT,, Trading P/O, A/A One Transaction Business Process, 45

- Interface,, -, (1, ) (, LIBOR) Deal Slip Interface: Dealing2000 FX, Money Market, / Interface Slip Depo : Depo Confirmation, P/O : Interface Open Position Risk : (Futures, Options) (,SWAP, ) :,, : ALM, BIS, Total Exposure 46

- (SWIFT) TELEX, E-LINK SWIFT - : DATA : (, ) : ( ) (, ),, :, REIM,, CREDIT LINE :, (ACTUAL)SWIFT (SHADOW) TEST-KEY: E-MAIL, TELEX / / TABLE 47

CORE ( ) 02-3433-8592 4) NEWTON -,,,,,,, MIS 3 Tier TP Monitor, DB UNIX system IBM Mainframe - Parameter Driven - - Traffic - Simulation Test - Monitoring - - H/W UNIX O/S SMP, SMP Cluster, MPP IBM Mainframe - RDBMS Oracle, INFORMIX RDBMS - TP Monitor TUXDEDO, TOPEND TP Monitor - TCP/IP, X25 protocol - Language Server Application C COBOL, Application Delphi 48

- Parameter Driven - - - Journaling Auditing - Multi-Currency - - - Deferred Log - Application - - - Library - - H/W S/W - Open System - Protocol TP Monitor - TP Monitor C/S 3 Tier 49

NEWTON - (CIF), (G/L), (Deposit), (Loan), (MIS), Standing Order Settlement, Miscellaneous, (F/X), Credit Card, InterBank Payment IMS ( ) 02-501-2210 : IMS System Co, Ltd : 135-280 945 5 : wwwimssystemcom : TEL (02) 501-2210 FAX (02) 539-8223 : GEMS(3216%), (2027%), (2027%), KTB(179%) (179%), (189%), (189%), 1 (189%), (1805%) : IMS Taiwan (100%), (16%), (2%) : 1993 02 08 : 131 (2000 11 30 ) :, : 53 50