{"id":1127,"date":"2026-11-05T19:17:44","date_gmt":"2026-11-05T10:17:44","guid":{"rendered":"https:\/\/www.fsquare.co.kr\/?p=1127"},"modified":"2026-11-05T19:19:57","modified_gmt":"2026-11-05T10:19:57","slug":"%ec%97%b0%ec%9e%ac2-%eb%b6%84%ec%82%b0-%ea%b3%b5%eb%b6%84%ec%82%b0%eb%b2%95%ec%9c%bc%eb%a1%9c-var-%ea%b3%84%ec%82%b0-1-2","status":"publish","type":"post","link":"https:\/\/www.fsquare.co.kr\/?p=1127","title":{"rendered":"[\uc5f0\uc7ac 2] \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\uc73c\ub85c VaR \uacc4\uc0b0 1\/2"},"content":{"rendered":"\uc774\ubc88 \uae00\uc5d0\uc11c\ub294 \uc2e4\uc81c VaR\ub97c \uad6c\ud558\ub294 \uc138 \uac00\uc9c0 \ud575\uc2ec \uacc4\uc0b0 \ubaa8\ub378 \uc911 \uccab \ubc88\uc9f8, \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95(Variance-Covariance Method, Delta-Normal Method)\uc5d0 \ub300\ud574 \uc138\ubd80\uc801\uc73c\ub85c \uc774\uc57c\uae30\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.\r\n<h2 class=\"wp-block-heading\">1. \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\uc774\ub780?<\/h2>\r\n\ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\uc740 \uc790\uc0b0\ub4e4\uc758 <b>\uc218\uc775\ub960\uc774 \uc815\uaddc\ubd84\ud3ec(Normal Distribution)\ub97c \ub530\ub978\ub2e4<\/b>\ub294 \uac00\uc815 \uc544\ub798, \uac01 \uc790\uc0b0\uc758 \ubcc0\ub3d9\uc131(\ud45c\uc900\ud3b8\ucc28)\uacfc \uc790\uc0b0 \uac04\uc758 \uc0c1\uad00\uacc4\uc218(\uacf5\ubd84\uc0b0)\ub97c \uc774\uc6a9\ud574 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ub9ac\uc2a4\ud06c\ub97c \uc0b0\ucd9c\ud558\ub294 \ubc29\ubc95\uc785\ub2c8\ub2e4.\r\n\r\n\uc870\uae08 \uc790\uc138\ud788 \uc124\uba85\ud558\uba74, \uac1c\ubcc4 \uc790\uc0b0\uc758 \ubd84\uc0b0( \ubcc0\ub3d9\uc131, \ud45c\uc900\ud3b8\ucc28\uc758 \uc81c\uacf1 )\uc744 \uc774\uc6a9\ud558\uc5ec \uc815\uaddc \ubd84\ud3ec \uc548\uc5d0\uc11c 95%\uc758 \ud655\ub960\ub85c \uc5bc\ub9c8\ub098 \ud558\ub77d\ud560 \uc9c0 ( \uc989, \uacfc\uac70 1\ub144\uac04 \ud639\uc740 \uc77c\uc815 \uae30\uac04\uc758 \ubcc0\ub3d9\uc131\uc73c\ub85c \ubbf8\ub8e8\uc5b4 \ubcf4\uc544 \uc774 \uc790\uc0b0\uc740 \uc624\ub298 \ud558\ub8e8 \ucd5c\ub300 \uc5bc\ub9c8\ub098 \ud558\ub77d\ud560 \uac83\uc778\uc9c0\ub97c 95%\uc758 \ud655\ub960\ub85c \uc608\uce21 \ud558\ub294 \uac83 )\ub97c \uacc4\uc0b0 \ud574 \ub0b4\uace0, \ub2e4\ub978 \uc790\uc0b0\ub4e4\uacfc\ub294 \uc5b4\ub290 \uc815\ub3c4\uc758 \uc0c1\uad00 \uad00\uacc4(\uacf5\ubd84\uc0b0)\ub97c \uac00\uc9c0\uace0 \uc788\uc73c\ub2c8 \uadf8\ub9cc\ud07c\uc740 \uac10\uc548\ud574 \uc8fc\uc5b4\uc11c \uacc4\uc0b0\ud558\ub294 \ubc29\ubc95\uc785\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n\r\n\uc774 \ubc29\ubc95\uc774 \uac00\uc7a5 \ub110\ub9ac \uc4f0\uc600\ub358 \uc774\uc720\ub294 &#8216;\uc9c1\uad00\uc801\uc774\uace0 \uacc4\uc0b0 \uc18d\ub3c4\uac00 \uc555\ub3c4\uc801\uc73c\ub85c \ube60\ub974\uae30 \ub54c\ubb38&#8217;\uc785\ub2c8\ub2e4. \ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158\ucc98\ub7fc \uc218\ucc9c~\uc218 \ub9cc \ubc88\uc758 \ub09c\uc218\ub97c \ub3cc\ub9b4 \ud544\uc694 \uc5c6\uc774, \ud589\ub82c \uacc4\uc0b0 \ud55c \ubc88\uc73c\ub85c \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ub9ac\uc2a4\ud06c\uac00 \ud558\ub098\uc758 \uc22b\uc790\ub85c \uc27d\uac8c \uacc4\uc0b0\uc774 \uac00\ub2a5\ud588\uc2b5\ub2c8\ub2e4. \ubaa8\ub4e0 \uc8fc\uc2dd\ub4e4\uc740 \ubca0\ud0c0\ub85c \ud658\uc0b0\ub418\uace0, \ucc44\uad8c\uc740 \ub9cc\uae30 \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131\ub9cc \uacc4\uc0b0\ud558\uba74 \uc22b\uc790\uac00 \uba87\uac1c \ud544\uc694\ud558\uc9c0\ub3c4 \uc54a\uc558\uc2b5\ub2c8\ub2e4.\r\n\r\n\ud558\uc9c0\ub9cc \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubca0\ud0c0\uc640 \ucc44\uad8c \ub9cc\uae30\uc218\uc775\ub960 \ud558\ub098\ub85c\ub9cc \uacc4\uc0b0\ud558\uae30\uc5d0\ub294 \uc624\ucc28\uac00 \ub108\ubb34 \ud06c\uac8c \ub098\ud0c0\ub098\ubbc0\ub85c \uc774\ub97c \ubcf4\uc644\ud558\uae30 \uc704\ud574\uc11c \uac1c\ubcc4 \uc8fc\uc2dd\ub4e4\uac04\uc758 \ubcc0\ub3d9\uc131\uacfc, \ucc44\uad8c\uc758 \uac01 \ub9cc\uae30 \uad6c\uac04\ubcc4 \uac00\uaca9 \uacc4\uc0b0, \uadf8\ub9ac\uace0 \ud30c\uc0dd\uc0c1\ud488\uc758 \uac00\uaca9 \ubbfc\uac10\ub3c4\uae4c\uc9c0 \uac10\uc548\ud55c \uacc4\uc0b0 \ubc29\ubc95\uc744 \ucd94\uad6c\ud558\ub2e4\ubcf4\ub2c8 \uacc4\uc0b0\uc774 \uadf8\ub807\uac8c \uac04\ub2e8\ud558\uc9c0\ub9cc\uc740 \uc54a\uac8c \ub418\uc5c8\uc2b5\ub2c8\ub2e4.\r\n\r\n\ud558\uc9c0\ub9cc VaR \uac12\uc758 \uc2e0\ub8b0\ub3c4\ub97c \ub192\uc774\uc704\ud574 \ub354 \uc815\ubc00\ud558\uac8c \uacc4\uc0b0\ud558\uace0, \uacc4\uc0b0\uc774 \ub354 \ucd94\uac00\ub418\uae34 \ud558\uc600\uc9c0\ub9cc \uc5ec\uc804\ud788 \uc18d\ub3c4\ub294 \ub2e4\ub978 VaR \uacc4\uc0b0 \ubc29\ubc95\uc5d0 \ube44\ud574 \uc555\ub3c4\uc801\uc778 \uac83\uc774 \ub9de\uc2b5\ub2c8\ub2e4. \uc5ed\uc0ac\uc801 \uc2dc\ubbac\ub808\uc774\uc158\ubc29\ubc95\uc774\ub098 \ubaac\ud14c\uce74\ub97c\ub85c \uc2dc\ubbac\ub808\uc774\uc158 \ubc29\ubc95\uc740 \uadf8 \uc2dc\ud589(\uacc4\uc0b0) \ud68c\uc218\uac00 \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\/\ub378\ud0c0-\ub178\ub9d0\ubc95\uc744 \uc218\ubc31\ud68c \ub418\ud480\uc774\ud558\ub294 \uac83\uc774\uae30 \ub54c\ubb38\uc5d0 \uc6d4\ub4f1\ud788 \uc801\uc740 \uacc4\uc0b0 \ubc29\ubc95\uc5d0\ub294 \ubd84\uba85\ud569\ub2c8\ub2e4.\r\n\r\n\uae30\uc5b5\ud574 \ub458 \ub0b4\uc6a9\uc740 &#8220;\ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc624\ub298 \ud558\ub8e8 \uc190\uc775\uc774 \uc5bc\ub9c8\uac00 \ub420 \uc9c0\ub294 \uc815\uaddc\ubd84\ud3ec\ub97c \uc774\ub8e8\ub294 \ub370 \uadf8 \uc911 99% \ud655\uc2e0\uc744 \uac00\uc9c0\uace0 \uc774 \uc774\uc0c1\uc740 \uc190\uc2e4\ub098\uc9c0 \uc54a\uc744 \uac81\ub2c8\ub2e4&#8221; \ub77c\uace0 \ub9d0 \ud560 \uc218 \uc788\ub294 \uae08\uc561\uc744 \ucc3e\ub294 \ubc29\ubc95\uc774 \ubd84\uc0b0-\uacf5\ubd84\uc0b0 \ubc29\ubc95\uc774\ub77c \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<h2>2. \ub2e8\uc77c \uc790\uc0b0\uc758 VaR \uacc4\uc0b0<\/h2>\r\n<span class=\"\">VaR \uacc4\uc0b0 \ubc29\ubc95\uc744 \uc124\uba85\ud558\uae30 \uc704\ud574 \uba3c\uc800 \uc790\uc0b0\uc774 \ub2e8 \ud558\ub098\ub9cc \uc788\ub294 \uac04\ub2e8\ud55c \uacbd\uc6b0\ub97c \uac00\uc815\ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/span>\r\n\r\n\uc55e\uc11c\u00a0 \uc5b8\uae09\ud588\ub4ef \ub2e8\uc77c \uc790\uc0b0\uc758 VaR \uacf5\uc2dd\uc740 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4.\r\n\r\nVaR = \uc790\uc0b0 \uac00\uce58(V) \u00d7 \uc2e0\ub8b0\uc218\uc900 Z-\uac12(\\(Z_\\alpha\\)) \u00d7 \uc790\uc0b0 \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131(\\(\\sigma\\))\r\n<ul>\r\n \t<li>\uc790\uc0b0 \uac00\uce58(V): \ud604\uc7ac \ubcf4\uc720 \uc911\uc778 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\/\uc790\uc0b0\uc758 \ud3c9\uac00 \uae08\uc561 (\uc608: 100\uc5b5 \uc6d0)\r\n<ul>\r\n \t<li>95\\(\\%\\)\u00a0\uc2e0\ub8b0\uc218\uc900 \u2192 Z \\(\\approx\\) 1.645<\/li>\r\n \t<li>99\\(\\%\\)\uc2e0\ub8b0\uc218\uc900 \u2192 Z \\(\\approx\\) 2.326<\/li>\r\n<\/ul>\r\n<\/li>\r\n \t<li><b>\uc2e0\ub8b0\uc218\uc900 Z-\uac12(\\(Z \\alpha\\)) ):<\/b> \uc815\uaddc\ubd84\ud3ec\ud558\uc5d0\uc11c \ud2b9\uc815 \uc2e0\ub8b0\uc218\uc900\uc5d0 \ud574\ub2f9\ud558\ub294 \uacc4\uc218<\/li>\r\n \t<li><b>\ubcc0\ub3d9\uc131(\u03c3) : <\/b>\ud574\ub2f9 \uae30\uac04(\uc77c\ubcc4 \ub610\ub294 10\uc77c) \ub3d9\uc548\uc758 \uc218\uc775\ub960 \ud45c\uc900\ud3b8\ucc28<\/li>\r\n<\/ul>\r\n<b>\ud83d\udca1 \uc608\uc2dc\ub85c \uc774\ud574\ud558\uae30<\/b> 100\uc5b5 \uc6d0\uc744 \ud22c\uc790\ud55c A \uc8fc\uc2dd\uc758 \uc77c\ubcc4 \uc218\uc775\ub960 \ud45c\uc900\ud3b8\ucc28(\u03c3)\uac00\u00a0 2%\ub77c\uace0 \uac00\uc815\ud574 \ubd05\uc2dc\ub2e4. 95% \uc2e0\ub8b0\uc218\uc900\uc5d0\uc11c 1\uc77c \ub3d9\uc548 \ubc1c\uc0dd\ud560 \uc218 \uc788\ub294 \ucd5c\ub300 \uc608\uc0c1 \uc190\uc2e4\uc561(1\uc77c 95% VaR)\uc740 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4.\r\n<p style=\"text-align: center;\">1\uc77c 95% VaR=100\uc5b5\u00d71.645\u00d70.02=3.29\uc5b5 \uc6d0<\/p>\r\n&#8220;\uc694\uc998 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0\uc11c \uc624\ub298 \uc8fc\uac00\uac00 \ud558\ub77d\ud558\uba74 95% \ud655\ub960\ub85c \uc190\uc2e4\uc561\uc740 3.29\uc5b5 \uc6d0\uc744 \ub118\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.&#8221;\ub77c\uace0 \uc9c1\uad00\uc801\uc73c\ub85c \ub9d0 \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\r\n\r\n\r\n\r\n\uc5ec\uae30\uc11c 99%\uc758 \ud655\ub960\ub85c \uc598\uae30\ud55c\ub2e4\uba74 \uc5b4\ub5a8\uae4c\uc694?\r\n\r\n99%\uc758 \ud655\ub960\ub85c \uacc4\uc0b0\ud55c VaR\uac12\uc740 \ub300\ub7b5 4.65\uc5b5 \uc815\ub3c4 \ub429\ub2c8\ub2e4. \uadf8\ub7fc &#8220;\uc694\uc998 \uc2dc\uc7a5 \uc0c1\ud669\uc5d0\uc11c \uc624\ub298 \uc8fc\uac00\uac00 \ud558\ub77d\ud558\uba74 99%\uc758 \ud655\ub960\ub85c \uc190\uc2e4\uc561\uc740 4.65\uc5b5 \uc6d0\uc744 \ub118\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.&#8221;\ub77c\uace0 \uc598\uae30\ud558\uac8c \ub420 \uac81\ub2c8\ub2e4. \uc774\uc81c \uc2e0\ub8b0\uad6c\uac04\uc758 \uc758\ubbf8\ub97c \uc774\ud574\ud588\uc744\uae4c\uc694? \ud754\ud788 \uc598\uae30\ud558\ub294 &#8220;\ub0b4\uac00 99% \ud655\uc2e0\ud558\ub294\ub370&#8230;&#8221;\ub77c\uace0 \ub9d0\ud558\ub294 \uac83\uacfc \ud06c\uac8c \ub2e4\ub974\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<h2 class=\"wp-block-heading\">3. \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR \uacc4\uc0b0<\/h2>\r\n\uc774\uc81c \ubcf8\uaca9\uc801\uc73c\ub85c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\ub97c \uacc4\uc0b0\ud574 \ubcf4\ub3c4\ub85d \ud558\uaca0\uc2b5\ub2c8\ub2e4.\r\n\r\n\ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub294 \uc8fc\uc2dd \ud55c \uc885\ubaa9 \ub610\ub294 \ud55c \uac00\uc9c0 \uc790\uc0b0\ub9cc\uc73c\ub85c \uad6c\uc131\ub418\uc9c0\ub294 \uc54a\uc2b5\ub2c8\ub2e4. \ucc44\uad8c, \uc678\ud658, \uc8fc\uc2dd \ud30c\uc0dd\uc0c1\ud488, \uae08\ub9ac \ud30c\uc0dd\uc0c1\ud488 \ub4f1 \ub2e4\uc591\ud55c \uc790\uc0b0 \uc885\ub958 \ub4e4\ub85c \uadf8\uac83\ub3c4 \ub9cc\uae30\ub3c4 \ub2e4\uc591\ud558\uace0, \uc870\uac74\ub3c4 \ub2e4\uc591\ud55c \uc5ec\ub7ec \uc885\ub958\ub4e4\uc758 \uc885\ubaa9\ub4e4\ub85c \uad6c\uc131\ub418\uc5b4 \uc788\uc2b5\ub2c8\ub2e4.\r\n\r\n\uc774\ub54c \uac1c\ubcc4 \uc790\uc0b0\uc758 VaR\ub97c \ub2e8\uc21c\ud788 \ub2e4 \ub354\ud558\uba74(\\(\\text{VaR}_A\\) + \\(\\text{VaR}_B\\)) \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\uac00 \ub420\uae4c\uc694? <b>\uadf8\ub807\uac8c \uc27d\uac8c \uacc4\uc0b0\uc774 \ub41c\ub2e4\uba74 \ub204\uad6c\ub098 VaR \uc804\ubb38\uac00\uac00 \ub418\uc5c8\uaca0\uc8e0.<\/b>\r\n\r\n\uc5ec\ub7ec \uc790\uc0b0\uc774 \uc11e\uc5ec \uc788\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc5d0\uc11c\ub294 \uc790\uc0b0 \uac04 \ubd84\uc0b0\ud22c\uc790 \ud6a8\uacfc(Diversification Effect)\uac00 \uc874\uc7ac\ud558\uc5ec, \uc0c1\uad00\uad00\uacc4\uac00 1\uc774 \uc544\ub2cc \uc774\uc0c1 \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ub9ac\uc2a4\ud06c\ub294 \uac1c\ubcc4 \ub9ac\uc2a4\ud06c\uc758 \ud569\ubcf4\ub2e4 \uc791\uc544\uc9c0\uae30 \ub54c\ubb38\uc785\ub2c8\ub2e4.\r\n\r\n\uc6b0\ub9ac\uac00 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\uc131\ud558\ub294 \ubaa9\uc801\uc774 \ubc14\ub85c \uac1c\ubcc4 \uc790\uc0b0\uc758 \ub9ac\uc2a4\ud06c\ub97c \uc0c1\uc1c4\uc2dc\ucf1c \uc904\uc774\ub294 \uac83\uc5d0 \uc788\uc73c\ubbc0\ub85c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR \uac12\ub3c4 \uac1c\ubcc4 \uc790\uc0b0\uc758 VaR\ub97c \ub2e8\uc21c \ud569\uc0b0\ud55c \uac83\ubcf4\ub2e4 \uc904\uc5b4\ub4e4\uc5b4\uc57c \ud558\uace0, \ub610 \uc2e4\uc81c \uc904\uc5b4\ub4e4\uac8c \ub429\ub2c8\ub2e4. \ub9cc\uc57d VaR\uac12\uc774 \ub354 \ucee4 \uc9c4\ub2e4\uba74, \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\uc131\ud560 \ud544\uc694\ub3c4 \uc5c6\uac70\ub2c8\uc640 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uc798 \ubabb \uad6c\uc131\ud55c \uac83\uc774\uc8e0.\r\n\r\n&nbsp;\r\n<h3>(1) 2\uac1c \uc790\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc608\uc2dc<\/h3>\r\n\uc6b0\ub9ac \ubaa8\ub450\uac00 \ucca0\uc369\uac19\uc774 \ubbff\uace0 \ub530\ub974\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc774\ub860\uc5d0 \ub530\ub974\uba74, \uc790\uc0b0 A\uc640 B\uc758 \ud22c\uc790 \uae08\uc561 \ube44\uc911\uc744 \\(w_A\\), \\(w_B\\), \uac01\uac01\uc758 \ubcc0\ub3d9\uc131\uc744 \\(\\sigma_A\\), \\(\\sigma_B\\), \uc0c1\uad00\uacc4\uc218\ub97c \\(\\rho_{AB}\\)\ub77c \ud560 \ub54c, \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc804\uccb4\uc758 \ubcc0\ub3d9\uc131(\\(\\sigma_p\\))\uc740\u00a0\ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<p style=\"text-align: center;\">\\(\\sigma_p = \\sqrt{w_A^2 \\sigma_A^2 + w_B^2 \\sigma_B^2 + 2 w_A w_B \\sigma_A \\sigma_B \\rho_{AB}}\\)<\/p>\r\n<i data-path-to-node=\"4,0,0\" data-index-in-node=\"7\">\ucc38\uace0: Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91\u00a0<\/i>\r\n\r\n&nbsp;\r\n\r\n\uc774 \\(\\sigma_p\\)\ub97c \uad6c\ud55c \ub4a4 \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uac00\uce58(\\(V_p\\))\uc640 Z-\uac12\uc744 \uacf1\ud574\uc8fc\uba74 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 VaR\uac00 \uc644\uc131\ub429\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<p style=\"text-align: center;\">\\({Portfolio VaR} = V_p \\times Z_\\alpha \\times \\sigma_p\\)<\/p>\r\n\uc774 \uacf5\uc2dd\uc744 \ubcf4\uba74 \uc790\uc0b0 A\uc640 \uc790\uc0b0 B\uc758 \uc0c1\uad00\uacc4\uc218\uac00 1\uc774\ub77c\uba74 \uc644\uc804\ud788 \ub450 \uc790\uc0b0\uc758 VaR\ub97c \ub354\ud574\uc900 \uac83\uacfc \uac19\uc740 \uac12\uc774\ub77c\ub294 \uac83\uc740 \uc218\ud3ec\uc790\uac00 \uc544\ub2c8\uba74 \uc798 \uc544\uc2e4\uac81\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<h3 class=\"wp-block-heading\">(2) N\uac1c \uc790\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 (\ud589\ub82c \uc5f0\uc0b0 \ubc29\uc2dd)<\/h3>\r\n\uc790\uc0b0 \uc218\uac00 \ub9ce\uc544\uc9c0\uba74 \uc5b4\ub5bb\uac8c \ud560\uae4c\uc694? \uc790\uc0b0 \uc218\uac00 \ub9ce\uc544\uc9c0\uba74 \uc704\uc758 \uacf5\uc2dd\uc744 \ub4a4\ub85c \uae38~\uac8c \uc5f0\uc7a5\ud558\uba74 \ub429\ub2c8\ub2e4. A\uc640 B, C\uc758 \uc790\uc0b0\uc774 \uc788\uc73c\uba74, A\uc640 B, A\uc640 C, B\uc640 C \uac01\uac01\uc758 \uacf5\ubd84\uc0b0\uc744 \uacc4\uc18d \ub354\ud574\uc8fc\ub294 \ud615\ud0dc\ub85c \ud558\uba74 \ub429\ub2c8\ub2e4. \uc774 \uacbd\uc6b0 (\uc790\uc0b0 \uc218\uac00 \ub9ce\uc544\uc11c \uacf1\ud558\uae30\ub97c \uacc4\uc18d \ud574\uc57c \ud558\ub294 \uacbd\uc6b0 ) \ud589\ub82c(Matrix)\ub85c \uacc4\uc0b0\ud558\ub294 \uac83\uc774 \ud6e8\uc52c \uba85\ud655\ud558\ub2e4\ub294 \uac83\uc744 \ubc30\uc6e0\uc2b5\ub2c8\ub2e4. \ud504\ub85c\uadf8\ub7a8\uc73c\ub85c \ucf54\ub529\ud558\uae30\ub3c4 \uc27d\uc2b5\ub2c8\ub2e4. \uc774\uacfc\uc0dd\uc5d0\uac8c \uc124\uba85\ud574\uc8fc\uae30\ub3c4 \ud3b8\ud558\uace0.\r\n<ol>\r\n \t<li><b>\ud22c\uc790\uae08\uc561 \ubca1\ud130 (W):<\/b> \uac01 \uc790\uc0b0\ubcc4 \ud3c9\uac00\uae08\uc561 \ub610\ub294 \ube44\uc911 \ubca1\ud130 (\\(\\times 1\\))<\/li>\r\n \t<li><b>\uacf5\ubd84\uc0b0 \ud589\ub82c (\\(\\Sigma\\)):<\/b> \uc790\uc0b0 \uac04 \uc218\uc775\ub960\uc758 \ubd84\uc0b0\uacfc \uacf5\ubd84\uc0b0\uc744 \ub2f4\uc740 \\(N \\times N\\)\u00a0\ud589\ub82c<\/li>\r\n \t<li><b>\ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ubd84\uc0b0 (\\(\\sigma_p^2\\)):<\/b> \\(W^T \\Sigma W\\)<\/li>\r\n \t<li><b>\ucd5c\uc885 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 VaR:<\/b>\\({Portfolio VaR} = Z_\\alpha \\times \\sqrt{W^T \\Sigma W}\\)<\/li>\r\n<\/ol>\r\n\uc5ec\uae30\uc11c \ubd84\uc0b0\uacfc \uacf5\ubd84\uc0b0\uc744 \ub2f4\uc740 \\(N \\times N\\) \ud589\ub82c\uc774\ub77c\ub294 \uac83\uc744 \uc124\uba85\ud558\uae30 \uc704\ud574 \uc790\uc0b0 \ub2e8\uc704\ub97c \uc5b4\ub514\uae4c\uc9c0 \ucabc\uac24\uac83\uc778\uac00\uc5d0 \ub300\ud55c \uace0\ubbfc\ubd80\ud130 \uc124\uba85\ud574\uc57c\uaca0\uc2b5\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<h3>(3) \uc5ec\ub7ec \uc790\uc0b0\uc758 VaR\ub97c \uacc4\uc0b0\ud558\ub294 \ubc29\ubc95<\/h3>\r\n\uc704\uc758 \ub450 \ubc29\uc2dd\uc740 \uacb0\uad6d \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc804\uccb4\uc758 \ubcc0\ub3d9\uc131\uc744 \uad6c\ud574\uc11c VaR \uacf5\uc2dd\uc5d0 \ub300\uc785\ud558\ub294 \ubc29\ubc95\uc774\uace0, \ub2e4\uc74c\uc758 \uacc4\uc0b0\uc2dd\uc740 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uac1c\ubcc4 \uc790\uc0b0\ubcc4 VaR\ub97c \ub530\ub85c \uad6c\ud574\uc11c \ub354\ud574\uc11c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 VaR\ub97c \uad6c\ud558\ub294 \ubc29\ubc95\uc785\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n<p style=\"text-align: center;\">Portfolio\u00a0 VaR = \\( \\sqrt{VaR_A+VaR_B+2 VaR_A VaR_B \\rho_{AB}}\\)<\/p>\r\n\uc2dd\uc774 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 VaR\ub97c \uacc4\uc0b0\ud558\ub294 \uc2dd\uacfc \uc720\uc0ac\ud55c \uc774\uc720\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uae08\uc561\uc744 \uac1c\ubcc4 \uc790\uc0b0 \uae08\uc561\uc73c\ub85c \ucabc\uac1c\uc5b4 \\( \\sqrt{} \\) \uc548\uc73c\ub85c \ub123\uc5b4\uc11c \uc815\ub9ac\ud55c \uacb0\uacfc\uc774\uae30 \ub54c\ubb38\uc785\ub2c8\ub2e4.\r\n\r\n&nbsp;\r\n\r\n&nbsp;<!-- \/wp:post-content -->","protected":false},"excerpt":{"rendered":"<p>\uc774\ubc88 \uae00\uc5d0\uc11c\ub294 \uc2e4\uc81c VaR\ub97c \uad6c\ud558\ub294 \uc138 \uac00\uc9c0 \ud575\uc2ec \uacc4\uc0b0 \ubaa8\ub378 \uc911 \uccab \ubc88\uc9f8, \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95(Variance-Covariance Method, Delta-Normal Method)\uc5d0 \ub300\ud574<\/p>\n","protected":false},"author":1,"featured_media":1189,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_sitemap_exclude":false,"_sitemap_priority":"","_sitemap_frequency":"","footnotes":""},"categories":[6],"tags":[82,83],"class_list":["post-1127","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-risk-management","tag-82","tag-83"],"_links":{"self":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1127","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=1127"}],"version-history":[{"count":58,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1127\/revisions"}],"predecessor-version":[{"id":1195,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1127\/revisions\/1195"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/media\/1189"}],"wp:attachment":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1127"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1127"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1127"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}