{"id":1098,"date":"2026-11-03T15:15:15","date_gmt":"2026-11-03T06:15:15","guid":{"rendered":"https:\/\/www.fsquare.co.kr\/?p=1098"},"modified":"2026-11-03T15:15:15","modified_gmt":"2026-11-03T06:15:15","slug":"%ec%97%b0%ec%a0%9c1-varmarket-var%ec%9d%98-%ec%9d%98%eb%af%b8%ec%99%80-%ed%99%9c%ec%9a%a9","status":"publish","type":"post","link":"https:\/\/www.fsquare.co.kr\/?p=1098","title":{"rendered":"[\uc5f0\uc81c1] VaR(Market VaR)\uc758 \uc758\ubbf8\uc640 \ud65c\uc6a9"},"content":{"rendered":"<p>( \uc774\ubbf8 10 \uc218 \ub144 \uc804\uc5d0 \ud588\ub358 \uc77c\uc774\ub77c\uc11c \uae30\uc5b5\uc740 \uac00\ubb3c\uac00\ubb3c\ud558\uc9c0\ub9cc \uc544\uc9c1 \uae30\uc5b5\uc774 \uc870\uae08\uc774\ub77c\ub3c4 \ub0a8\uc544 \uc788\uc744 \ub54c \uae30\ub85d\uc744 \ub0a8\uaca8 \ub450\uae30\ub85c \ud569\ub2c8\ub2e4. \uc774\uc81c\ub294 AI\uac00 \ud6cc\ub96d\ud574\uc11c \ud504\ub85c\uadf8\ub7a8\uc744 \ucc99\ucc99 \uc54c\uc544\uc11c \uc9dc \uc8fc\uaca0\uc9c0\ub9cc \uc138\ubd80\uc801\uc778 \uacc4\uc0b0 \ubc29\ubc95\uc740 \ud574\uc11d\uc801 \ucc28\uc774\uc640 \uae30\uc220\ub825\uc758 \ucc28\uc774\ub85c \uc870\uae08\uc529 \ub2e4\ub974\uac8c \uad6c\ud604\ud558\ubbc0\ub85c \ub0b4\uac00 \uae30\uc5b5\ud558\ub358 \ubd80\ubd84\uacfc \ub0b4\uac00 \uc54c\uace0 \uc788\ub294 \ubc29\ubc95\ub4e4\uc744 \ubaa8\ub450 \uc124\uba85\ud574 \ubcf4\uace0\uc790 \ud569\ub2c8\ub2e4. )<\/p>\n<p>\uba3c\uc800 VaR\uc5d0 \ub300\ud574 \uc804\ubc18\uc801\uc778 \uc124\uba85\uc744 \uba3c\uc800\ud558\uace0 \uc138\ubd80\uc801\uc778 \uad6c\ud604 \ubc29\ubc95\uc740 \ud558\ub098\uc529 \ud558\ub3c4\ub85d \ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n<p>VaR\uc758 \uc2dc\ucd08\ub294 JP\ubaa8\uac74\uc758 \uacbd\uc601\uc790( \ub610\ub294 \uc784\uc6d0)\uc774 &#8220;\uc6b0\ub9ac \uc740\ud589\uc774 \uc624\ub298 \ud558\ub8e8 \ucd5c\ub300\ub85c \uc190\uc2e4 \ubcfc \uc218 \uc788\ub294\uc9c0\ub97c \ud558\ub098\uc758 \uc22b\uc790\ub85c \ubcf4\uace0&#8221;\ud558\ub3c4\ub85d \uc9c0\uc2dc\ud558\uc5ec \uc2dc\uc791\ub429\ub2c8\ub2e4. \uae08\uc735\uacf5\ud559\uacfc \ud22c\uc790\ub860 \ub4f1\uc5d0\uc11c \uc704\ud5d8\uc744 \ubcc0\ub3d9\uc131\uc73c\ub85c \ub098\ud0c0\ub0b4\uc5b4\uc11c\ub294 \uadf8 \uc815\ud655\ud55c \uaddc\ubaa8\uac00 \uac10\uc774 \uc624\uc9c0 \uc54a\uc73c\ub2c8 \uc77c\ub2e8 \ud558\ub098\uc758 \uc22b\uc790(\uc190\uc2e4 \uac00\ub2a5\uc561)\ub85c \ub098\ud0c0\ub0b4\ub3c4\ub85d \ud558\uc600\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc774 \ubaa8\ud615\uc740 \ud6d7\ub0a0 Risk Metrics\ub77c\ub294 \ubaa8\ud615\uc73c\ub85c \uacf5\uac1c\ub418\uc5c8\uace0, \ud604\uc7ac\ub294 MSCI\uc5d0\uc11c \uc18c\uc720\ud558\uace0 \uc6b4\uc601\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4. \ub2e4. \uadf8 \ubaa8\ud615\uacfc \ubc29\ubc95\ub860\uc740 \uc774\ubbf8 \ub110\ub9ac \uc54c\ub824\uc838 \ud558\ub098\uc529 \uc815\ub9ac\ud574 \ubcf4\uace0\uc790\ud569\ub2c8\ub2e4.<\/p>\n<h1>1. VaR\uc758 \uc758\ubbf8<\/h1>\n<p>VaR(Value at Risk)\ub294 \uadf8 \ubc30\uacbd\uc5d0 \ub300\ud574\uc11c\ub3c4 \uc4f4 \uac83\uacfc \uac19\uc774 &#8220;\ucd5c\ub300 \uc190\uc2e4 \uc608\uc0c1\uc561&#8221;\uc785\ub2c8\ub2e4. \uc624\ub298 \ud558\ub8e8, \ub610\ub294 10\uc77c\ub3d9\uc548 \uc6b0\ub9ac \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uac00 \uc2dc\uc7a5\uc758 \uae09\uaca9\ud55c \ubcc0\ub3d9\uc5d0 \uc758\ud574 \uc190\uc2e4 \ubcfc \uac83\uc73c\ub85c \uc608\uc0c1\ub418\ub294 \ucd5c\ub300 \uae08\uc561 \uc785\ub2c8\ub2e4. \uacbd\uc601\uc790\uc758 \uc785\uc7a5\uc5d0\uc11c\ub294 &#8220;\uc6b0\ub9ac \ud68c\uc0ac \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uac00 \uc694\uc998 \uac19\uc740 \ubcc0\ub3d9\uc131 \uc7a5\uc138\uc5d0\uc11c\ub294 \uc7ac\uc218\uc5c6\uc73c\uba74 100\uc5b5\uc6d0\uae4c\uc9c0 \uc190\uc2e4 \ubcfc \uc218\ub3c4 \uc788\uaca0\uad70&#8221; \ud558\ub294 \ubc29\uc2dd\uc785\ub2c8\ub2e4.<\/p>\n<p>\uc5ec\uae30\uc11c \uc8fc\ubaa9\ud574\uc57c \ud560 \uc810\uc740 (Market) VaR\ub294 \uc815\uc0c1\uc801\uc778 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0\uc11c\uc758 \ucd5c\ub300 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc785\ub2c8\ub2e4. \uc989, \ube14\ub799\uc2a4\uc644\uc774 \ub098\ud0c0\ub098\uac70\ub098 1929\ub144 \ube14\ub799\uba3c\ub370\uc774, 2008\ub144 \ubbf8\uad6d\uc758 \uae08\uc735\uc704\uae30\uc640 \uac19\uc740 \uae08\uc735 \uc2dc\uc7a5 \uc804\uccb4\uc758 \ubd95\uad34\uc640 \uac19\uc740 \uc0c1\ud669\uc744 \uac00\uc815\ud558\ub294 \uac83\uc740 \uc544\ub2c8\uace0, \uc77c\ubc18\uc801\uc778 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0\uc11c\uc758 \ucd5c\ub300 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc744 \uacc4\uc0b0\ud558\ub294 \uac83\uc785\ub2c8\ub2e4.<\/p>\n<h1>2. VaR\uc758 \ud65c\uc6a9<\/h1>\n<p>VaR\ub294 \uadf8\ub0e5 \ubcf4\uace0\uc6a9\uc73c\ub85c \uc4f0\uc774\uac70\ub098 &#8220;\uc544 \uadf8\ub807\uad6c\ub098&#8221; \ud558\ub294 \uc9c0\uc801 \ud638\uae30\uc2ec\uc73c\ub85c \uc0ac\uc6a9\ub418\ub294 \uac83\uc774 \uc544\ub2c8\ub77c \uc801\uadf9\uc801\uc778 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc6b4\uc6a9\uc5d0 \ud65c\uc6a9\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc5d0\uc11c Marginal VaR\uc640 Component VaR\ub97c \ud65c\uc6a9\ud558\uc5ec \uc5b4\ub5a4 \uc885\ubaa9\uc744 \ucd94\uac00\ub85c \ub354 \ub2f4\uc744 \ub54c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\uac00 \uae09\uaca9\ud788 \ucee4\uc9c0\ub294\uc9c0, \ub2e8\uc704 \uc704\ud5d8 \ub2f9 \uc608\uc0c1 \uc218\uc775\ub960\uc740 \uc5b4\ub5bb\uac8c \ub418\ub294 \uc9c0 \ub4f1\uc744 \uc798 \ud30c\uc545\ud558\uc5ec \uacfc\ub3c4\ud55c \uc704\ud5d8\uc744 \ub2f4\ubcf4\ub85c \ub192\uc740 \uc218\uc775\ub960\uc744 \ucd94\uc885\ud558\ub294 \ubb34\ubaa8\ud55c \uc9d3\uc744 \uc0ac\uc804\uc5d0 \uc608\ubc29\ud558\uac70\ub098, \uc5b4\ub5a4 \uc885\ubaa9\uc744 \uc81c\uac70\ud558\uba74 \uc704\ud5d8\uc774 \ub0ae\uc544\uc9c8 \uc218 \uc788\ub294 \uc9c0 \ud30c\uc545\ud558\uc5ec \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc704\ud5d8\uc740 \ub0ae\ucd94\uace0 \uc218\uc775\ub960\uc744 \ube44\uc2b7\ud55c \uc218\uc900\uc73c\ub85c \uc720\uc9c0\ud558\ub294 \ubc29\uc548 \ub4f1\uc73c\ub85c \ud65c\uc6a9\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ubb3c\ub860 \ud558\uc774\ub9ac\uc2a4\ud06c, \ud558\uc774\ub9ac\ud134\uc774\ub77c\ub294 \ub9d0\uc740 \uc798 \uc54c\uace0 \uc788\uc9c0\ub9cc \ud1f4\uc9c1\uc5f0\uae08, \uc5f0\uae30\uae08\uc758 \uc6b4\uc6a9\uc5d0\uc11c\ub294 \uc808\ub300 \uae08\uae30\uc2dc\ud558\ub294 \uc6b4\uc6a9\uc804\ub7b5\uc774\ubbc0\ub85c \ud56d\uc0c1 \ub9ac\uc2a4\ud06c\ub97c \uac10\uc548\ud55c \uc218\uc775\ub960\uacfc \ub9ac\uc2a4\ud06c\ub97c \uac10\uc548\ud55c \uc6b4\uc6a9\uc744 \ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\uc5ec\uae30\uc5d0 \ub354\ud574, VaR \uc5d4\uc9c4\uc744 \ud65c\uc6a9\ud55c \uc2a4\ud2b8\ub808\uc2a4\ud14c\uc2a4\ud2b8\uc640 \uc0ac\uc804\uc801 \uc2dc\ubbac\ub808\uc774\uc158 \ub4f1\uc744 \ud1b5\ud574 \ud55c\ub3c4 \uc124\uc815(VaR\ud55c\ub3c4 \uc124\uc815)\uacfc \uac19\uc740 \ub9ac\uc2a4\ud06c \uad00\ub9ac \uae30\uc900 \uc124\uc815\uc744 \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>VaR\ub97c \uacc4\uc0b0\ud560 \ub54c \uc0ac\uc6a9\ud558\ub294 \ud45c\uc900 \ud3b8\ucc28\ub294 \uacfc\uac70 1\ub144 ( 250\uac1c \ub610\ub294 Calendar\ub85c 1\ub144 \ub3d9\uc548\uc758 \uc601\uc5c5\uc77c )\uc744 \uc0ac\uc6a9\ud558\ub294 \uacbd\uc6b0\uac00 \ub9ce\uc740\ub370 \uc5c4\uc5f0\ud788 \uc774 \ud45c\uc900\ud3b8\ucc28\ub294 \uc774\ubbf8 \uc9c0\ub098\uac04 \uacfc\uac70\uc758 \uc77c\ub85c\uc368 \uc55e\uc73c\ub85c \ub2e4\uac00\uc62c \uc77c\uc740 \uc798 \ubc18\uc601\uc744 \ubabb\ud55c\ub2e4\ub294 \ube44\ud310\uc744 \ubc1b\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc55e\uc5d0\uc11c \ub9d0\ud55c \ubc14\uc640 \uac19\uc774 VaR\ub780 &#8220;\uc815\uc0c1\uc801\uc778 \uc2dc\uc7a5\uc0c1\ud669&#8221;\ud558\uc5d0\uc11c\uc758 \ucd5c\ub300 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc774\ubbc0\ub85c \ucd5c\uadfc \ubcc0\ub3d9\uc131\uc774 \uc870\uae08 \ub192\uc544\uc838\ub3c4 \ub2e4\uc2dc \uc608\uc804 \uc218\uc900\uc73c\ub85c \ub610\ub294 \ud3c9\uade0 \uc218\uc900\uc73c\ub85c \ub3cc\uc544\uac00\uac70\ub098 \ucd95\uc18c\ub420 \uac83\uc774\ub77c\ub294 \uac00\uc815\ud558\uc5d0\uc11c \uc0b0\ucd9c\ub429\ub2c8\ub2e4.<\/p>\n<p>\ud558\uc9c0\ub9cc \uc0ac\ub78c\uc774 \uc0ac\ub294 \uc77c\uc774 \ud56d\uc0c1 \uadf8\ub807\uc9c0 \uc54a\uc9c0\uc694.\u00a0 \ub9e4\uc77c \uc0c8\ub85c\uc6b4 \ud574\uac00 \ub728\uace0 \ub9e4\uc77c \uc0c8\ub85c\uc6b4 \uc77c\uc774 \ubc8c\uc5b4\uc9c0\ub294 \uae08\uc735\uc2dc\uc7a5\uc5d0\uc11c \uc5b4\uc81c\uc640 \uac19\uc740 \ubcc0\ub3d9\uc131\uc744 \ubc18\ub4dc\uc2dc \ub530\ub974\ub77c\ub294 \ubc95\uc740 \uc5c6\uc73c\ubbc0\ub85c \uc55e\uc73c\ub85c \ubcc0\ub3d9\uc131\uc774 \uc810\uc810 \ucee4\uc9c0\ub294 \uacbd\uc6b0 ( \uc2dc\uc7a5 \uac00\uaca9\uc774 \uae09\uaca9\ud788 \ub192\uc544\uc9c0\uac70\ub098 \uae09\uaca9\ud788 \ub0ae\uc544\uc9c0\uac70\ub098 ) \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc740 \ub354 \ucee4 \uc9c8 \uc218 \uc788\ub294 \uacf5\uc0b0\uc774 \ud06c\ubbc0\ub85c \uc774 \ub54c\ub294 \ubbf8\ub798\uc9c0\ud5a5\uc801\uc774\uac70\ub098 \ucd5c\uadfc\uc758 \uc0c1\ud669 \ub610\ub294 \ubbf8\ub798\ub97c \ubc18\uc601\ud574 \uc8fc\ub294 VaR\ub97c \uc694\uad6c\ud558\ub294 \uacbd\uc6b0\uac00 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c ex-Ante VaR \ub77c\uace0 \ud558\uace0, \uacfc\uac70\uc758 \ubcc0\ub3d9\uc131\uc744 \uadf8\ub300\ub85c \uc0ac\uc6a9\ud558\uc5ec \uc0b0\ucd9c\ud558\ub294 VaR\ub97c ex-Post VaR\ub77c\uace0 \ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h1>3. VaR \uacc4\uc0b0 \ubaa8\ub378<\/h1>\n<p>VaR\ub97c \uacc4\uc0b0\ud558\ub294 \ubc29\ubc95\uc740 \ud1b5\uc0c1 \ubd84\uc0b0 \uacf5\ubd84\uc0b0\ubc95(Variance-Covariance Method), \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158(Historical Simulation), \ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158(Monte Carlo Simulation) \ub4f1\uc744 \uc0ac\uc6a9\ud569\ub2c8\ub2e4.<\/p>\n<p>\ud558\ub098\uc758 \uc790\uc0b0\uc5d0 \ub300\ud55c VaR\ub294 \ub2e4\uc74c\uacfc \uac19\uc774 \uad6c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p><span class=\"iNqyIf\" data-sfc-cp=\"\" data-sfc-root=\"c\" data-complete=\"true\"><br data-sfc-root=\"c\" data-sfc-pl=\"|||[]\" data-complete=\"true\" \/><em><strong>VaR<\/strong> = \uc790\uc0b0\uac00\uce58\u00a0 \u00d7\u00a0 \uc790\uc0b0 \uc218\uc775\ub960\uc758 \ud45c\uc900\ud3b8\ucc28(\u03c3)\u00a0 \u00d7 \uc2e0\ub8b0\uc218\uc900 Z-\uac12\u00a0<\/em><!--TgQPHd|||[]--><\/span><\/p>\n<p>&nbsp;<\/p>\n<p>\ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc5d0\ub294 \ud558\ub098\uc758 \uc790\uc0b0\ub9cc \uc874\uc7ac\ud558\ub294 \uac83\uc774 \uc544\ub2c8\ub77c \ub2e4\uc591\ud55c \uc885\ub958\uc758 \uc790\uc0b0\ub4e4\uc774 \uc11e\uc5ec\uc11c \uc874\uc7ac\ud569\ub2c8\ub2e4. \ub530\ub77c\uc11c \uac1c\ubcc4 \uc790\uc0b0\uc758 VaR\ub97c \uacc4\uc0b0\ud574\uc11c \ub2e8\uc21c \ud569\uc0b0\ub9cc\uc73c\ub85c\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\ub97c \uacc4\uc0b0\ud560 \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.<\/p>\n<ul>\n<li>\ubd84\uc0b0 \uacf5\ubd84\uc0b0\ubc95\uc740 \uac01 \uac1c\ubcc4 \uc790\uc0b0\uc758 \ubd84\uc0b0\uacfc \ub2e4\ub978 \uc790\uc0b0\ub4e4\uac04\uc758 \uacf5\ubd84\uc0b0\uc744 \uac10\uc548\ud558\uc5ec \uacc4\uc0b0\ud558\ub294 \ubc29\ubc95\uc785\ub2c8\ub2e4.<\/li>\n<li>\uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158 \ubc95\uc740 \uacfc\uac70 1\ub144\uce58 \uc815\ub3c4\uc758 \uc77c\ubcc4 \uc218\uc775\ub960\ub4e4\uc744 \ubaa8\ub450 \uc800\uc7a5\ud574 \ub450\uace0 \ub2f9\uc7a5 \uc624\ub298 \uacfc\uac70 1\ub144\uac04 \ubc1c\uc0dd\ud588\ub358 \ud558\ub8e8 1 \uc218\uc775\ub960 ( \ubaa8\ub4e0 \uc8fc\uc2dd\ub4e4\uc744 1\ub144\uc804 \uc624\ub298 \ubd80\ud130 \uadf8 \ub2e4\uc74c\ub0a0, \ub610 \uadf8 \ub2e4\uc74c\ub0a0 \uacfc \uac19\uc740 \ubc29\uc2dd\uc73c\ub85c \ud558\ub8e8\uc529)\uc744 \ubaa8\ub450 \ub300\uc785\ud558\uba74 \uc624\ub298 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 250\uac1c\uc758 \uac00\uce58\uac00 \ub098\uc635\ub2c8\ub2e4. \uc774 250\uac1c\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uae08\uc561\uc744 \ubaa8\ub450 \uc77c\ub82c\ub85c \uc774\uc775\uc774 \ub09c \uae08\uc561\ubd80\ud130 \uc190\uc2e4\uc774 \ub09c \uae08\uc561\uae4c\uc9c0 \uc21c\uc11c\ub300\ub85c \uc138\uc6cc \uc0c1\uc704\ub85c\ubd80\ud130 95%, 99% \ubc88\uc9f8\uc758 \uc190\uc775\uae08\uc561\uc744 \ucc3e\uc2b5\ub2c8\ub2e4. 250\uac1c\ub77c\uba74 250<span class=\"iNqyIf\" data-sfc-cp=\"\" data-sfc-root=\"c\" data-complete=\"true\">\u00d70.95 =237.5 \uc989 238\ubc88\uc9f8, 250\u00d70.99=247.5\u00a0 \uc989 248\ubc88\uc9f8 \uae08\uc561\uc774 \uac01\uac01 VaR\uac00 \ub429\ub2c8\ub2e4.<\/span><\/li>\n<li>\ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158 \ubc95\uc740 \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158\ubc95\uc5d0\uc11c \uc0ac\uc6a9\ud558\ub358 \uacfc\uac70 \uc218\uc775\ub960 \ub300\uc2e0 \uc77c\ubcc4 \uc218\uc775\ub960\uc744 \ub09c\uc218\ub97c \ubc1c\uc0dd\ud558\uc5ec \uac01 \uc218\uc775\ub960\ub4e4\uc744 \uc0c1\uad00\uad00\uacc4\ub97c \uc720\uc9c0\ud558\ub3c4\ub85d \ud558\uc5ec 250\uac1c\ub4e0 500\uac1c\ub4e0 1000\uac1c\ub4e0 \ub9cc\ub4ed\ub2c8\ub2e4. \uc774 \uc218\uc775\ub960\uc744 \ud65c\uc6a9\ud558\uc5ec \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158 \ubc95\uacfc \uac19\uc774 \uc77c\ubcc4 \uc190\uc775\uc744 \uacc4\uc0b0\ud558\uace0 \uc774\ub97c \uc21c\uc11c\ub300\ub85c \ub098\uc5f4\ud55c \ub2e4\uc74c 95%, 99% \ubc88\uc9f8\uc758 \uc190\uc775\uae08\uc561\uc744 \ucc3e\uc2b5\ub2c8\ub2e4.<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h1>4. VaR\uc758 Backtesting<\/h1>\n<p>VaR \uacc4\uc0b0\uc744 \ud560 \ub54c \uacfc\uac70 \uc218\uc775\ub960\uc744 \uc0ac\uc6a9\ud558\uc5ec \uc9c0\ub098\uce58\uac8c \ub0ae\uc740 \ubcc0\ub3d9\uc131\uc774 \uc801\uc6a9\ub418\uac70\ub098 \ud639\uc740 \ud30c\uc0dd\uc0c1\ud488\uc758 \uc801\uc808\ud55c \uac00\uaca9\uacc4\uc0b0\uc774 \uc774\ub8e8\uc5b4\uc9c0\uc9c0 \uc54a\uac70\ub098 ( VaR\ub294 \uc2dc\uc7a5 \ubcc0\ub3d9\uc5d0 \ub300\ud55c \u03b2 \ub97c \uacc4\uc0b0\ud558\ub294 \ubc29\uc2dd\uc5d0\uc11c \ucd9c\ubc1c\ud588\uc73c\ub098 \ud30c\uc0dd\uc0c1\ud488\uc774\ub098 \ubcf5\uc7a1\ud55c \uc635\uc158 \uc0c1\ud488\uc740 \u03b2\ub9cc\uc73c\ub85c \uacc4\uc0b0\uc774 \ub418\uc9c0 \uc54a\uace0 \u03b3 \uae4c\uc9c0 \uacc4\uc0b0\uc5d0 \ud3ec\ud568\uc2dc\ucf1c\uc57c \ud569\ub2c8\ub2e4 ) \ucda9\ubd84\ud788 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc744 \uc608\uc0c1\ud558\uc9c0 \ubabb\ud558\ub294 \uacbd\uc6b0 \ubaa8\ub378\uc744 \uc870\uc808\ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>Full Pricing\uc744 \ud558\ub294 \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158\uc774\ub098 \ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158\ub3c4 \ubcc0\ub3d9\uc131\uc774 \ucda9\ubd84\ud788 \ubc18\uc601\ub418\uc9c0 \uc54a\ub294 \uacbd\uc6b0(\ubcc0\ub3d9\uc131\uc774 \uc810\uc810 \ucee4\uc9c0\ub294 \uacbd\uc6b0)\uc5d0\ub294 VaR \uc608\uc0c1 \uae08\uc561\uc744 \ucd08\uacfc\ud55c \uc190\uc2e4 \uae08\uc561\uc774 \ubc1c\uc0dd\ud558\ub294 \uacbd\uc6b0\uac00 \uc788\uc2b5\ub2c8\ub2e4. (99% \uc2e0\ub8b0\ub3c4\ub098 95% \uc2e0\ub8b0\ub3c4\ub97c \uc0ac\uc6a9\ud558\ub294 \uac83 \ubaa8\ub450 \uc815\uaddc \ubd84\ud3ec\ub97c \uac00\uc815\ud558\ubbc0\ub85c \uc815\uaddc\ubd84\ud3ec\uac00 \uc544\ub2cc \ud604\uc2e4\uc758 \uacbd\uc6b0 \ub2f9\uc5f0\ud788 \uc624\ucc28\uac00 \ubc1c\uc0dd\ud569\ub2c8\ub2e4.)<\/p>\n<p>\uc774 \uacbd\uc6b0 \ubaa8\ub378\uc5d0\uc11c \uc608\uce21\ud55c \uc190\uc2e4 \uac00\ub2a5\uae08\uc561\uacfc \ub2e4\uc74c\ub0a0 \ubc1c\uc0dd\ud55c \uc2e4\uc81c \uc190\uc2e4 \uae08\uc561\uc744 \uacc4\uc0b0\ud574\uc11c, \ubaa8\ub378\uc774 \uc2e4\uc81c \uc190\uc2e4 \uae08\uc561\ubcf4\ub2e4 \uc801\uc740 \uacbd\uc6b0\uac00 \uc5bc\ub9c8\ub098 \uc790\uc8fc \ubc1c\uc0dd\ud558\ub294\uc9c0 \ubaa8\ub2c8\ud130\ub9c1\uc744 \ud569\ub2c8\ub2e4. \ub9cc\uc57d 100\uc77c\uc5d0 5\ud68c \uc774\uc0c1\uc758 \uc624\ucc28\uac00 \ubc1c\uc0dd\ud558\uba74(5% \uc774\uc0c1\uc758 \uc624\ucc28 \ubc1c\uc0dd) \ubcc0\ub3d9\uc131\uc744 \uacc4\uc0b0\ud560 \ub54c \uacfc\uac70 \uae30\uac04\uc744 \uc5f0\uc7a5\ud558\uac70\ub098, 95% \uc2e0\ub8b0\uc218\uc900\uc744 \uc0ac\uc6a9\ud558\uc9c0 \uc54a\uace0 99% \uc2e0\ub8b0\uc218\uc900\uc744 \uc0ac\uc6a9\ud558\uac70\ub098, \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158\uc774\ub098 \ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158 \ubc29\uc2dd\uc73c\ub85c \uc804\ud658\ud558\uac70\ub098 \uc218\uc775\ub960 \ubcc0\ub3d9\uc131\uc744 EWMA \ubc29\uc2dd\uc73c\ub85c \uc0ac\uc6a9\ud558\ub294 \ubc29\uc2dd\uc744 \uc0ac\uc6a9\ud558\ub3c4\ub85d \ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h1>5. Stress Test<\/h1>\n<p>\ubc18\ubcf5\uc801\uc73c\ub85c \uc124\uba85\ud558\ub2e4\uc2dc\ud53c, VaR\ub294 \uc815\uc0c1\uc801\uc778 \uc2dc\uc7a5 \uc0c1\ud669\ud558\uc5d0\uc11c\uc758 \ucd5c\ub300 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc744 \uacc4\uc0b0\ud558\ub294 \ubc29\uc2dd\uc774\ubbc0\ub85c, 911 \ud14c\ub7ec\ub098 2008\ub144 \uae08\uc735\uc704\uae30 \ub4f1\uacfc \uac19\uc740 \uc2dc\uc7a5\uc5d0\uc11c \uc608\uce21\ud558\uc9c0 \ubabb\ud55c \ub3cc\ubc1c \ubcc0\uc218 \ub610\ub294 \uae08\uc735 \uc2dc\uc7a5\uc774 \ube44\uc815\uc0c1\uc801\uc778 \uc0c1\ud669\uc73c\ub85c\uc758 \uc804\ud658\uc774 \ubc1c\uc0dd\ud558\ub294 \uacbd\uc6b0\ub97c VaR\ub85c \uc608\uce21\ud560 \uc218\ub294 \uc5c6\uc2b5\ub2c8\ub2e4. \uc774\ub7f0 \uacbd\uc6b0 \uc2e4\uc81c \ub2f9\uc2dc\uc758 \uc2dc\uc7a5 \uc0c1\ud669 ( \uae08\ub9ac \ud3ed\ub4f1, \uc8fc\uc2dd \ud3ed\ub77d \ub4f1 )\uc744 \uac00\uc0c1\ud558\uc5ec \ucd5c\ub300 \uc190\uc2e4 \uac00\ub2a5 \uae08\uc561\uc744 \uacc4\uc0b0\ud569\ub2c8\ub2e4. \uc774\ub97c \ucd5c\ub300 \uc190\uc2e4\ud55c\ub3c4 ( \ud68c\uc0ac \ub610\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uac00 \uacac\ub51c \uc218 \uc788\ub294 \ud55c\ub3c4 )\uc640 \ube44\uad50\ud558\uc5ec \ub9cc\uc57d Stress Test \uacb0\uacfc\uc758 \uc190\uc2e4\uc774 \ucd5c\ub300\uc190\uc2e4\ud55c\ub3c4\ub97c \uc0c1\ud68c\ud558\uba74 \uc989\uac01 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uc870\uc808\ud558\ub3c4\ub85d \ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<p>\uc774\uc0c1 VaR\uc758 \uac1c\ub150\uacfc \ud65c\uc6a9\ubc29\uc548, \uacc4\uc0b0\ubc29\ubc95\uc5d0 \ub300\ud574 \ub300\ub7b5\uc801\uc778 \uc124\uba85\uc744 \ud588\uc2b5\ub2c8\ub2e4. \ub2e4\uc74c \uae00\uc5d0\ub294 \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\uc73c\ub85c \uc2e4\uc81c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\ub97c \uacc4\uc0b0\ud558\ub294 \ubc29\ubc95\ubd80\ud130 \ud558\ub098\uc529 \uc124\uba85\ud574 \ub098\uac00\ub3c4\ub85d \ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>( \uc774\ubbf8 10 \uc218 \ub144 \uc804\uc5d0 \ud588\ub358 \uc77c\uc774\ub77c\uc11c \uae30\uc5b5\uc740 \uac00\ubb3c\uac00\ubb3c\ud558\uc9c0\ub9cc \uc544\uc9c1 \uae30\uc5b5\uc774 \uc870\uae08\uc774\ub77c\ub3c4 \ub0a8\uc544 \uc788\uc744 \ub54c \uae30\ub85d\uc744 \ub0a8\uaca8<\/p>\n","protected":false},"author":1,"featured_media":1099,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_sitemap_exclude":false,"_sitemap_priority":"","_sitemap_frequency":"","footnotes":""},"categories":[6],"tags":[76,79,77,78,80],"class_list":["post-1098","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-risk-management","tag-var","tag-79","tag-77","tag-78","tag-80"],"_links":{"self":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1098","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1098"}],"version-history":[{"count":1,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1098\/revisions"}],"predecessor-version":[{"id":1100,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1098\/revisions\/1100"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/media\/1099"}],"wp:attachment":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1098"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1098"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1098"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}