{"id":1183,"date":"2026-11-06T17:17:06","date_gmt":"2026-11-06T08:17:06","guid":{"rendered":"https:\/\/www.fsquare.co.kr\/?p=1183"},"modified":"2026-11-07T00:53:39","modified_gmt":"2026-11-06T15:53:39","slug":"variance-covariance-var-2","status":"publish","type":"post","link":"https:\/\/www.fsquare.co.kr\/?p=1183","title":{"rendered":"[\uc5f0\uc7ac 3] \ubd84\uc0b0-\uacf5\ubd84\uc0b0\ubc95\uc73c\ub85c VaR \uacc4\uc0b0 2\/3"},"content":{"rendered":"<p>&nbsp;<\/p>\n<p>&nbsp;<\/p>\n<h2>4. \uc790\uc0b0 \ub2e8\uc704\ubcc4 \uacc4\uc0b0 \ubc29\ubc95<\/h2>\n<p>&nbsp;<\/p>\n<p>VaR\ub97c \uacc4\uc0b0\ud560 \ub54c \uac01 \uc790\uc0b0\ubcc4\ub85c VaR\ub97c \uad6c\ud574\uc11c \ubaa8\ub450 \ud569\uce58\ub4e0 \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubcc0\ub3d9\uc131\uc744 \uacc4\uc0b0\ud558\uc5ec \ud55c \ubc88\uc5d0 VaR\ub97c \uad6c\ud558\ub4e0 \uc2e4\uc81c \uc0c1\ud488\uc5d0 \uc801\uc6a9\ud560 \ub54c\ub294 \uc8fc\uc2dd\uacfc \uac19\uc774 \uadf8 \uc790\uccb4\uc758 \uac00\uce58 \ud3c9\uac00\ub85c \uac00\uaca9\uc774 \uacb0\uc815\ub418\ub294 \uc0c1\ud488\uc740 \uc2dc\uc7a5\uc758 \uc601\ud5a5\uc744 \uc5bc\ub9c8\ub098 \ubc1b\ub294\uc9c0 \ub9cc \ud655\uc778\ub418\uba74 \ud06c\uac8c \uc5b4\ub824\uc6c0\uc774 \uc5c6\uc73c\ub098, \ucc44\uad8c\uacfc \uc635\uc158 \uc0c1\ud488\uacfc \uac19\uc740 \uc885\ubaa9\uc740 \uc5ec\ub7ec \uae08\ub9ac \uc694\uc778\uacfc \uc5ec\ub7ec \ud658\uc758 \uc601\ud5a5\uc744 \ud568\uaed8 \uace0\ub824\ud574\uc11c \uacc4\uc0b0\ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\uc0c1\ud488\uc758 \ud2b9\uc131\uc744 \ubb34\uc2dc\ud558\uace0 \uad50\uacfc\uc11c \ub300\ub85c \uc9c1\uc811 \uad6c\ud604\ud574 \ubcf4\uba74 \ucf5c\ub86c\ubd80\uc2a4\uc758 \ub2ec\uac40\ucc98\ub7fc \uc26c\uc6cc\ubcf4\uc5ec\ub3c4 \uc0c1\ud488\uc5d0 \ub530\ub77c\uc11c\ub294 \ud574\uacb0\uc774 \uc815\ub9d0 \uc5b4\ub824\uc6b8 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uadf8 \uc2dc\ud589\ucc29\uc624\ub97c \uc904\uc774\uace0 \uc774\ud574\ub97c \ub3d5\uae30 \uc704\ud574 \uc2e4\uc81c \uc0ac\uc6a9\ud588\ub358 \ubc29\ubc95 \uc704\uc8fc\ub85c VaR \uacc4\uc0b0 \ubc29\ubc95\uc744 \uc124\uba85\ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h3>(1) \uc8fc\uc2dd<\/h3>\n<p>\uc8fc\uc2dd\uc740 \ubaa8\ub4e0 \uac1c\ubcc4 \uc885\ubaa9\uc758 \ubcc0\ub3d9\uc131\uc744 \uad6c\ud569\ub2c8\ub2e4. \uac1c\ubcc4 \uc885\ubaa9\uc758 \ubcc0\ub3d9\uc131\uacfc \ub2e4\ub978 \uc885\ubaa9\uacfc\uc758 \uc0c1\uad00\uacc4\uc218\ub3c4 \uc27d\uac8c \uad6c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub370\uc774\ud130\ubca0\uc774\uc2a4\uc5d0 \uc800\uc7a5\ub41c \uacfc\uac70 \ub370\uc774\ud130\ub97c \ud55c\uaebc\ubc88\uc5d0 \ubd88\ub7ec\ub0b4\uc5b4\uc11c \uc5d1\uc140\ub85c, \ub610\ub294 \ud504\ub85c\uadf8\ub7a8\uc73c\ub85c \ub8e8\ud504\ub97c \ub3cc\ub824 \uac1c\ubcc4 \uc885\ubaa9\uc758 \ubd84\uc0b0\ub3c4 \uacc4\uc0b0\uc744 \ud558\uace0, \uc885\ubaa9\ub4e4\uac04\uc758 \uc0c1\uad00\uacc4\uc218(Correlation)\uc744 \uacc4\uc0b0\ud558\uac70\ub098 \u00a0R package\ub97c \uc124\uce58\ud558\uc5ec \ud55c\uaebc\ubc88\uc5d0 \uac01\uac01\uc758 \ubd84\uc0b0\uacfc \uc0c1\uad00\uacc4\uc218\ub97c \uacc4\uc0b0\ud569\ub2c8\ub2e4. R\uc774\ub098 \ud1b5\uacc4 \ud328\ud0a4\uc9c0\uac00 \ud568\uaed8 \uc124\uce58\ub418\uc5b4 \uc788\uc73c\uba74 \uae30\ubcf8\uc801\uc778 \ud1b5\uacc4\ub7c9 \uacc4\uc0b0\uc744 \uc27d\uac8c \ud560 \uc218 \uc788\uc73c\ubbc0\ub85c \uc2dc\uc2a4\ud15c \uad6c\ud604\uc5d0 \ub9ce\uc740 \ub3c4\uc6c0\uc774 \ub429\ub2c8\ub2e4. \ud558\uc9c0\ub9cc \ucda9\ubd84\ud788 \uc798 \uc0ac\uc6a9\ud558\uc9c0 \ubabb\ud558\uba74 \uc548\ud558\ub290\ub2c8\ub9cc \ubabb\ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h3>(2) \ucc44\uad8c<\/h3>\n<p>\ucc44\uad8c\uc740 VaR \uacc4\uc0b0\uc744 \ud560 \ub54c \ucc44\uad8c \uac00\uaca9\uc758 \ubcc0\ub3d9\uc131\uc744 \uc0ac\uc6a9\ud560 \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.\u00a0 \ucc44\uad8c\uc740 \uadf8 \uc790\uccb4\uc758 \ud2b9\uc131\uc73c\ub85c \uc778\ud574 \ub9e4\uc77c \ub9e4\uc77c \ud558\ub8e8 \uc774\uc790\ub9cc\ud07c \uac00\uaca9\uc774 \uc99d\uac00\ud569\ub2c8\ub2e4. \ub610\ud55c \uc774\ud45c\ucc44\uc758 \uacbd\uc6b0 \uc774\uc790\uc9c0\uae09\uc77c\ub85c\ubd80\ud130 \ub2e4\uc74c \uc774\uc790\uc9c0\uae09\uc77c\uae4c\uc9c0 \ub9e4\uc77c \ud558\ub8e8\uc529\uc758 \uacbd\uacfc\uc774\uc790\ub9cc\ud07c \uadf8 \uac00\uce58\uac00 \ub354\ud574\uc9c0\ub2e4\uac00, \uc774\uc790\uc9c0\uae09\uc77c\uc774 \ub418\uba74 \uc774\uc790 \ub9cc\ud07c \uac00\uce58\uac00 \ub69d \ub5a8\uc5b4\uc9d1\ub2c8\ub2e4. \uadf8\ub798\uc11c \uc774 \uac00\uaca9\uc744 VaR \uacc4\uc0b0\uc744 \uc704\ud55c \ubcc0\ub3d9\uc131 \uacc4\uc0b0\uc5d0 \uc0ac\uc6a9\ud560 \uc218 \uc5c6\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uac1c\ubcc4 \ucc44\uad8c\uc758 \uac00\uaca9\uc740 \uae08\ub9ac\uc5d0 \uc758\ud574 \uacb0\uc815\ub429\ub2c8\ub2e4. \uc5ec\uae30\uc11c \uae08\ub9ac\ub294 \ubcf4\ud1b5\u00a0 \ub9cc\uae30 \uc774\uc790\uc728(YTM)\uc744 \uc758\ubbf8\ud558\uc9c0\ub9cc \uae08\uc735\uc2dc\uc7a5\uc5d0\uc11c\ub294 \uadf8\ub0e5 \uc2dc\uc7a5 \uc804\uccb4\uc758 \uae08\ub9ac \uc0c1\ud669\uc5d0 \uc758\ud574 \uacb0\uc815\ub41c\ub2e4\uace0 \ubcf4\ub294 \uac83\uc774 \uc815\ub2f5\uc785\ub2c8\ub2e4.<\/p>\n<p>\uac01 \uc139\ud130\ubcc4\u00a0 \ub9cc\uae30\ubcc4 \ub9cc\uae30\uc774\uc790\uc728\uc774\ub4e0 \ud560\uc778\uc728\uc774\ub4e0,\u00a0 \ud604\ubb3c \uae08\ub9ac(Spot Rate)\ub4e0 \uc120\ub3c4\uae08\ub9ac(Forward Rate)\ub4e0 \uc2dc\uc7a5\uc5d0\uc11c \uac70\ub798\ub418\uac70\ub098 \ubc1c\uacac \ub610\ub294 \uc778\uc815\ub418\ub294 \uae08\ub9ac\ub4e4\uc5d0 \uc758\ud574 \uac00\uaca9\uc774 \uacb0\uc815\ub418\ubbc0\ub85c \uc2dc\uc7a5\uc758 \uc5b4\ub5a4 \uae08\ub9ac\uac00 \ubc14\ub00c\uc5b4 \uac00\uaca9\uc774 \uc5bc\ub9c8\ub098 \ud558\ub77d\ud560 \uac83\uc778\uc9c0\ub97c \uc815\ud655\ud558\uac8c \uc774\ud574\ud558\uace0 \ubc18\uc601\ud574\uc57c VaR\ub97c \uacc4\uc0b0\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc6b0\uc120 \uc6b0\ub9ac\uac00 \uc0dd\uac01\ud558\ub294 \uc7a5 \uc911\uc5d0 \ub4f1\ub77d\ud558\ub294 \uae08\ub9ac\uac00 \uc5b4\ub5a4 \uae08\ub9ac\uc778\uc9c0\ub97c \uc0dd\uac01\ud574 \ubd05\uc2dc\ub2e4. \ucc44\uad8c\uc740 \ubc1c\ud589\uc8fc\uccb4(\uc139\ud130) \ub610\ub294 \uc2e0\uc6a9\ub4f1\uae09\uc5d0 \ub530\ub77c \uae08\ub9ac\uac00 \ub2e4\ub974\uac8c \uc801\uc6a9\ub418\uace0(\uac00\uc0b0\uae08\ub9ac: Credit Spread), \ub610 \uc794\uc874 \ub9cc\uae30(\ub9cc\uae30\uae4c\uc9c0 \ub0a8\uc740 \uae30\uac04)\uc5d0 \ub530\ub77c \uc11c\ub85c \ub2e4\ub978 \uae08\ub9ac\uac00 \uc801\uc6a9\ub429\ub2c8\ub2e4(Term Spread).<\/p>\n<p>\uc989, \uc7a5\uc911\uc5d0 \ucc44\uad8c\uc5d0 \uc801\uc6a9\ub418\ub294 \uae08\ub9ac\uac00 \ubcc0\ub3d9\ub420 \ub54c \uc5b4\ub5a4 \uc2e0\uc6a9\ub4f1\uae09\uc5d0 \ud574\ub2f9\ub418\ub294 \ucc44\uad8c\ub4e4\uc758 \uc794\uc874\ub9cc\uae30 \uba87 \ub144 \ub0a8\uc740 \uac83\ub4e4\uc5d0 \uc601\ud5a5\uc744 \ubbf8\uce58\ub294 \uc9c0\uc5d0 \ub530\ub77c \ub0b4\uac00 \ubcf4\uc720\ud55c \ucc44\uad8c\uc774 \uc190\uc2e4\uc774 \uc5bc\ub9c8\ub098 \ubc1c\uc0dd\ud560\uc9c0 \uc774\uc775\uc774 \ubc1c\uc0dd\ud560 \uc9c0 \uacb0\uc815\ub41c\ub2e4\ub294 \uac83\uc785\ub2c8\ub2e4(\ucc44\uad8c \uc2dc\uc7a5\uc5d0 \ub300\ud55c \uc774\ud574\ub294 \ub2e4\uc74c \uae30\ud68c\ub85c).<\/p>\n<p>\uadf8\ub798\uc11c \ubcc0\ub3d9\uc131\uacfc \ubcc0\ud654\ub7c9\uc744 \uce21\uc815\ud574\uc57c \ud558\ub294 VaR \uacc4\uc0b0\uc5d0\uc11c\ub294 \ud574\ub2f9\ub418\ub294 \ucc44\uad8c\uc774 \uc18d\ud55c \uc139\ud130\ub97c \uba3c\uc800 \ucc3e\uc544 \uadf8 \uc139\ud130\uc758 \uae08\ub9ac Curve\ub97c \ub04c\uc5b4\uc640\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<table style=\"height: 78px; width: 83.3154%; border-collapse: collapse !important; border-style: hidden;\">\n<tbody>\n<tr style=\"height: 26px;\">\n<td style=\"width: 14.8579%; height: 26px; text-align: center;\"><\/td>\n<td style=\"width: 13.1783%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">3M<\/span><\/strong><\/td>\n<td style=\"width: 11.4987%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">6M<\/span><\/strong><\/td>\n<td style=\"width: 11.2403%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">9M<\/span><\/strong><\/td>\n<td style=\"width: 10.5943%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">1Y<\/span><\/strong><\/td>\n<td style=\"width: 13.9535%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">2Y<\/span><\/strong><\/td>\n<td style=\"width: 12.2739%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">3Y<\/span><\/strong><\/td>\n<td style=\"width: 12.2739%; height: 26px; text-align: center;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">5Y<\/span><\/strong><\/td>\n<\/tr>\n<tr style=\"height: 26px;\">\n<td style=\"width: 14.8579%; text-align: center; height: 26px;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">\uc9c0\ubc29\ucc44<\/span><\/strong><\/td>\n<td style=\"width: 13.1783%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.48<\/span><\/td>\n<td style=\"width: 11.4987%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.49<\/span><\/td>\n<td style=\"width: 11.2403%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.50<\/span><\/td>\n<td style=\"width: 10.5943%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.51<\/span><\/td>\n<td style=\"width: 13.9535%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.54<\/span><\/td>\n<td style=\"width: 12.2739%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.58<\/span><\/td>\n<td style=\"width: 12.2739%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.65<\/span><\/td>\n<\/tr>\n<tr style=\"height: 26px;\">\n<td style=\"width: 14.8579%; text-align: center; height: 26px;\"><strong><span style=\"font-size: 10pt; font-family: verdana, geneva, sans-serif;\">\ud2b9\uc218\ucc44<\/span><\/strong><\/td>\n<td style=\"width: 13.1783%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.51<\/span><\/td>\n<td style=\"width: 11.4987%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.52<\/span><\/td>\n<td style=\"width: 11.2403%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.54<\/span><\/td>\n<td style=\"width: 10.5943%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.56<\/span><\/td>\n<td style=\"width: 13.9535%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.58<\/span><\/td>\n<td style=\"width: 12.2739%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.61<\/span><\/td>\n<td style=\"width: 12.2739%; text-align: center; height: 26px;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">3.70<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p style=\"text-align: center;\"><em>(\ud45c) \uae08\ub9ac Curve\uc758 \uc608<\/em><\/p>\n<p>&nbsp;<\/p>\n<h4>\u2460 \uc6d0\uae08 \ub9e4\ud551\ubc95<\/h4>\n<p>\uc6d0\uae08 \ub9e4\ud551\ubc95\uc744 \uac04\ub2e8\ud788 \uc815\ub9ac\ud558\uba74, VaR \uacc4\uc0b0\uc744 \ud560 \ub54c \ucc44\uad8c \ub9cc\uae30\uc758 \uae08\ub9ac \ubcc0\ub3d9\uc131\uc744 \uc0ac\uc6a9\ud569\ub2c8\ub2e4. \uadf8\ub7f0\ub370, \ub9cc\uae30\uac00 3\ub144, 5\ub144 \uc774\ub807\uac8c \ub531 \ub5a8\uc5b4\uc9c0\uc9c0 \uc54a\uc73c\ub2c8 3\ub144, 5\ub144\uc758 \uae08\ub9ac \ubcc0\ub3d9\uc131\uc744 \uc0ac\uc6a9\ud558\ub294 \ub300\uc2e0 \ucc44\uad8c \uc561\uba74\uc744 3\ub144, 5\ub144\uc73c\ub85c \uac01\uac01 \ucabc\uac1c\uc11c \ub9c8\uce58 \uc6b0\ub9ac\uac00 3\ub144\uc9dc\ub9ac \ucc44\uad8c\uacfc 5\ub144\uc9dc\ub9ac \ucc44\uad8c\uc744 \uac00\uc9c0\uace0 \uc788\ub294 \uac83 \ucc98\ub7fc \uac00\uc815\ud574\uc11c VaR\ub97c \uacc4\uc0b0\ud558\uaca0\ub2e4 \ud558\ub294 \ubc29\ubc95\uc785\ub2c8\ub2e4.<\/p>\n<p>\uc608\ub97c \ub4e4\uba74 \ub9cc\uae30\uac00 \uac01\uae30 \ub2e4\ub978 \ucc44\uad8c \uac01\uac01 2.4\ub144, 2.7\ub144, 3.2\ub144, &#8230; \uc774\ub807\uac8c N\uac1c\uc758 \uc885\ubaa9\uc774 \uc788\ub2e4\uba74 \uac01 \ucc44\uad8c\uc758 \uc774\uc790\ub294 \ubb34\uc2dc\ud55c \ucc44 \uc6d0\uae08\uc758 \ub9cc\uae30 \uc2dc\uc5d0 \uc6d0\uae08(\uc561\uba74)\uc744 \ud68c\uc218\ud55c\ub2e4\uace0 \uac00\uc815\ud569\ub2c8\ub2e4.\u00a0 \uc774 \uac01\uac01\uc758 \ucc44\uad8c\ub4e4 \ub9cc\uae30\uc5d0 \ud574\ub2f9\ud558\ub294 2.4\ub144, 2.7\ub144\uc758 1\ub144\uce58 \uae08\ub9ac \ub370\uc774\ud130\ub294 \uc874\uc7ac\ud558\uc9c0 \uc54a\uc73c\ub2c8,\u00a0 2\ub144, 3\ub144, 5\ub144\uc758 \ud604\ubb3c\uae08\ub9ac(\ub610\ub294 YTM)\ub97c \uc774\uc6a9\ud558\uac8c \ub429\ub2c8\ub2e4.<\/p>\n<p>\uc5ec\uae30\uc11c &#8220;\uc774\uc6a9\ud558\uac8c \ub41c\ub2e4&#8221;\ub294 \ub9d0\uc740 \uac01\uac01\uc758 \ubd84\uc0b0\uacfc \ub2e4\ub978 \uc790\uc0b0\ub4e4\uacfc\uc758 \uc0c1\uad00\uacc4\uc218\ub97c \uad6c\ud574\uc11c \uc0ac\uc6a9\ud55c\ub2e4\ub294 \uac83 \uc785\ub2c8\ub2e4.<\/p>\n<p>\uc704\uc5d0\uc11c \ucc44\uad8c \uc561\uba74\uc744 \ucabc\uac1c\uc11c \uc6b0\ub9ac\uac00 2\ub144, 3\ub144, 5\ub144 \ub0a8\uc740 \ucc44\uad8c\uc744 \ubcf4\uc720\ud55c \uac83\ucc98\ub7fc \uac00\uc815\ud55c\ub2e4\uace0 \ud588\uc73c\ub2c8 \ucc44\uad8c \uc6d0\uae08\uc744 2\ub144, 3\ub144, 5\ub144\uc5d0 \uc548\ubd84\ud574 \uc8fc\uc5b4\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\ub9cc\uae30 2.5\ub144\uc778 \ucc44\uad8c\uc740 \uc5b4\ub5bb\uac8c \uc548\ubd84\ud560\uae4c\uc694?\u00a0 \ub9cc\uae30\uad6c\uac04\uc744 2\ub144\uacfc 3\ub144\uc73c\ub85c \ub098\ub204\uc5b4\uc11c \uacc4\uc0b0\ud55c\ub2e4 ( 2\ub144\uacfc 3\ub144\uc758 \uc218\uc775\ub960\uc774 \uacf5\uc2dc\ub418\uc5b4 \uadf8 \ubcc0\ub3d9\uc131\uc744 \uacc4\uc0b0\ud560 \uc218 \uc788\ub294 \uad6c\uac04 )\uace0 \uac00\uc815\uc744 \ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub7fc \uc5bc\ub9c8\uc529 \uac01\uac01 \uc548\ubd84\ud560\uae4c\uc694? 2.5\ub144\uc774\uba74 1\/2\ub97c 3\ub144\uc5d0, 1\/2\uc744 2\ub144\uc5d0? \uadf8\ub7ec\uba74, \uc65c\uace1 \ud604\uc0c1\uc774 \ub098\ud0c0\ub0a9\ub2c8\ub2e4. \ub9cc\uae30 2.5\ub144\uc758 \ucc44\uad8c\uc744 2\ub144\uacfc 3\ub144\uc5d0 \uc801\ub2f9\ud788 \uc548\ubd84\ud574 \ubc84\ub9ac\uba74 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc804\uccb4 \uc704\ud5d8\ub7c9, \ud2b9\uc131, \ubbfc\uac10\ub3c4 \ub4f1\uc5d0\uc11c \ubaa8\ub450 \uc624\ucc28\ub97c \uc77c\uc73c\ud0b5\ub2c8\ub2e4.<\/p>\n<p>\uc608\ub97c \ub4e4\uc5b4 2\ub144\uc758 \ubcc0\ub3d9\uc131\uc774 \ud2b9\ud788 \ud06c\uace0 3\ub144\uc758 \ubcc0\ub3d9\uc131\uc774 \uc5c6\ub2e4\uba74 \ub9cc\uae30\uac00 2.5\ub144\uc778 \uc774 \ucc44\uad8c\uc740 \ub9cc\uae30 3\ub144\uc758 \ubcc0\ub3d9\uc131\uc740 \uc0ac\uc2e4 \uc2e0\uacbd \uc4f8 \ud544\uc694\uac00 \uc5c6\uc2b5\ub2c8\ub2e4. 3\ub144 \ud6c4\uc5d0\ub294 \uc774 \ucc44\uad8c\uc774 \uc874\uc7ac\ud558\uc9c0\ub3c4 \uc54a\uc744 \uac83\uc774\ubbc0\ub85c \ud2b9\ubcc4\ud788 \uae08\ub9ac \uc601\ud5a5\uc744 \ubc1b\uc744 \uac8c \uc5c6\uc8e0. \ud558\uc9c0\ub9cc \ud604\uc2e4\uc5d0\uc11c\ub294\u00a0 3\ub144\uc758 \uc218\uc775\ub960\uacfc 2\ub144\uc758 \uc218\uc775\ub960 \ubcc0\ub3d9\uc5d0 \uc601\ud5a5\uc744 \ubc1b\uac8c \ub429\ub2c8\ub2e4. \uadf8\ub798\uc11c \uc801\ub2f9\ud788 \uc548\ubd84\ud55c \ucc44\uad8c\uc740 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc190\uc2e4 \uac00\ub2a5\uae08\uc561\uc744 \uc904\uc5ec\ubc84\ub9ac\ub294 \uacb0\uacfc\ub97c \uac00\uc838\uc62c \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub798\uc11c \uc870\uae08 \ub354 \uc815\ud655\ud558\uac8c \ucc44\uad8c \ub9cc\uae30\ub97c \uc548\ubd84\ud560 \ub54c\ub294, VaR\ub97c \ub3d9\uc77c\ud558\uac8c \ub9cc\ub4dc\ub294 \ubcc0\ub3d9\uc131\uc744 \uac00\uc911\ud3c9\uade0 \ud574 \uc904 \ub450 \uac1c\uc758 \ubcc0\ub3d9\uc131\uacfc \uadf8 \ube44\uc911\uc73c\ub85c \ucabc\uac1c \uad6c\ud574\uc57c \ud569\ub2c8\ub2e4. ( \ud558\uc9c0\ub9cc \uc5ec\uae30\uc5d0 \ubc18\uc804\uc774 \uc228\uc5b4 \uc788\uc2b5\ub2c8\ub2e4 )<\/p>\n<p>&nbsp;<\/p>\n<p><strong>[\uae30\ubcf8 \ubcc0\uc218 \ubc0f Matching\u00a0 \uc870\uac74]<\/strong><\/p>\n<p>\uc794\uc874\ub9cc\uae30 \\(T \\)(\uc608: 2.5\ub144)\ub97c \uac00\uc9c4 \uc2e4\uc81c \ucc44\uad8c\uc774 \uc788\ub2e4\uace0 \uac00\uc815\ud569\ub2c8\ub2e4.<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li>\u00a0\\(V \\): \uc2e4\uc81c \ucc44\uad8c\uc758 \ud604\uc7ac \uac00\uce58 (\ud3c9\uac00\uae08\uc561)<\/li>\n<li>\u00a0\\(\\sigma_T \\): \uc2e4\uc81c \ucc44\uad8c \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131 (\ub610\ub294 \uae08\ub9ac \ubcc0\ub3d9\uc131\uc5d0 \ub4c0\ub808\uc774\uc158\uc744 \uacf1\ud55c \uac00\uaca9 \ubcc0\ub3d9\uc131)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>\uc774 \ucc44\uad8c\uc744 \uc778\uc811\ud55c \ub450 \ub9cc\uae30 \uad6c \\(T_1 \\)(\uc608: 2\ub144)\uacfc \\(T_2 \\)(\uc608: 3\ub144)\ub85c \ubd84\ud574\ud569\ub2c8\ub2e4.<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li>\u00a0\\(V_1, V_2 \\): \uac01 \ub9cc\uae30 \uad6c\uac04\uc5d0 \ud560\ub2f9\ud560 \uac00\uc0c1 \uae08\uc561( \\(V = V_1 + V_2 \\))<\/li>\n<li>\\(w_1 = \\frac{V_1}{V} \\), \\(w_2 = \\frac{V_2}{V} = (1 &#8211; w_1) \\): \uac01 \ub9cc\uae30 \uad6c\uac04\uc758 \ud560\ub2f9 \ube44\uc728<\/li>\n<li>\u00a0\\(\\sigma_1, \\sigma_2 \\): \ub9cc\uae30 \uad6c\uac04 \\(T_1, T_2 \\)\uc758 \uc2dc\uc7a5 \ubcc0\ub3d9\uc131<\/li>\n<li>\u00a0\\(\\rho_{12} \\): \ub450 \ub9cc\uae30 \uad6c\uac04 \uc218\uc775\ub960 \uac04\uc758 \uc0c1\uad00\uacc4\uc218<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>\ub9e4\ud551\uc774 \uc131\ub9bd\ud558\uae30 \uc704\ud55c \ud575\uc2ec\uc740 \ub9e4\ud551 \uc804 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubd84\uc0b0( \\(\\sigma_T^2 \\))\uacfc \ub9e4\ud551 \ud6c4 \ub450 \uc790\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubd84\uc0b0\uc774 \ub3d9\uc77c\ud574\uc57c \ud55c\ub2e4\ub294 \ubd84\uc0b0 \ubcf4\uc874 \uc870\uac74\uc785\ub2c8\ub2e4.<\/p>\n\\(\\sigma_T^2 = w_1^2 \\sigma_1^2 + w_2^2 \\sigma_2^2 + 2 w_1 w_2 \\sigma_1 \\sigma_2 \\rho_{12} \\)\n<p>&nbsp;<\/p>\n<p><strong>\u00a0[\ub9e4\ud551 \ube44\uc911( \\(w_1 \\))\uc744 \uad6c\ud558\uae30 \uc704\ud55c 2\ucc28 \ubc29\uc815\uc2dd \uc804\uac1c]<\/strong><\/p>\n<p>\\(w_2 = 1 &#8211; w_1 \\) \uad00\uacc4\uc2dd\uc744 \uc704 \ubd84\uc0b0 \ubcf4\uc874 \uc2dd\uc5d0 \ub300\uc785\ud558\uc5ec \\(w_1 \\)\uc5d0 \ub300\ud55c 2\ucc28 \ubc29\uc815\uc2dd\uc73c\ub85c \uc815\ub9ac\ud569\ub2c8\ub2e4.<\/p>\n<p style=\"text-align: center;\">\u00a0\\(\\sigma_T^2 = w_1^2 \\sigma_1^2 + (1 &#8211; w_1)^2 \\sigma_2^2 + 2 w_1 (1 &#8211; w_1) \\sigma_1 \\sigma_2 \\rho_{12} \\)<\/p>\n<p>&nbsp;<\/p>\n<p>\uc6b0\ubcc0\uc758 \uad04\ud638\ub97c \ud480\uc5b4\uc11c \\(w_1 \\)\uc758 \ucc28\uc218\ubcc4\ub85c \ubb36\uc5b4\uc90d\ub2c8\ub2e4.<\/p>\n<p style=\"text-align: center;\">\u00a0\\(\\sigma_T^2 = w_1^2 \\sigma_1^2 + (1 &#8211; 2w_1 + w_1^2) \\sigma_2^2 + (2w_1 &#8211; 2w_1^2) \\sigma_1 \\sigma_2 \\rho_{12} \\)<\/p>\n<p style=\"text-align: center;\">\u00a0\\(\\sigma_T^2 = w_1^2 (\\sigma_1^2 + \\sigma_2^2 &#8211; 2\\sigma_1 \\sigma_2 \\rho_{12}) + w_1 (-2\\sigma_2^2 + 2\\sigma_1 \\sigma_2 \\rho_{12}) + \\sigma_2^2 \\)<\/p>\n<p>&nbsp;<\/p>\n<p>\uc774\ub97c \ud45c\uc900 2\ucc28 \ubc29\uc815\uc2dd \ud615\ud0dc\uc778 \\(A w_1^2 + B w_1 + C = 0 \\) \ud615\ud0dc\ub85c, \uc774\ud56d\ud558\uba74 \uacc4\uc218 \\(A, B, C \\)\ub294 \ub2e4\uc74c\uacfc \uac19\uc774 \uc815\uc758\ub429\ub2c8\ub2e4.<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul>\n<li>\u00a0\\(A = \\sigma_1^2 + \\sigma_2^2 &#8211; 2\\sigma_1 \\sigma_2 \\rho_{12} \\)<\/li>\n<li>\u00a0\\(B = 2\\sigma_1 \\sigma_2 \\rho_{12} &#8211; 2\\sigma_2^2 = 2\\sigma_2 (\\sigma_1 \\rho_{12} &#8211; \\sigma_2) \\)<\/li>\n<li>\u00a0\\(C = \\sigma_2^2 &#8211; \\sigma_T^2 \\)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<p><strong>\u00a0[\uadfc\uc758 \uacf5\uc2dd\uc744 \ud1b5\ud55c \ube44\uc911( \\(w_1 \\)) \uc0b0\ucd9c]<\/strong><\/p>\n<p>2\ucc28 \ubc29\uc815\uc2dd \uadfc\uc758 \uacf5\uc2dd \\(w_1 = \\frac{-B \\pm \\sqrt{B^2 &#8211; 4AC}}{2A} \\)\uc5d0 \ub300\uc785\ud558\uba74 \\(w_1 \\) \uac12\uc744 \uc218\ud559\uc801\uc73c\ub85c \uc5bb\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc218\uce58\uc801 \uc548\uc815\uc131\uacfc \uc2e4\ubb34\uc801 \uc758\ubbf8\ub97c \uc704\ud574 \uadfc\uc744 \uc120\ud0dd\ud560 \ub54c\ub294 \ub2e4\uc74c \ud2b9\uc131\uc744 \ub9cc\uc871\ud558\ub294 \uadfc\uc744 \uc0ac\uc6a9\ud569\ub2c8\ub2e4.<\/p>\n<p>\uc720\uc77c\ud574(Unique Solution): \uc77c\ubc18\uc801\uc73c\ub85c \ub450 \ud45c\uc900 \ub9cc\uae30 \uc0ac\uc774( \\(T_1 &lt; T &lt; T_2 \\))\uc5d0 \uc2e4\uc81c \ub9cc\uae30\uac00 \uc704\uce58\ud560 \uacbd\uc6b0, \\(0 \\le w_1 \\le 1 \\) \ubc94\uc704\ub97c \ub9cc\uc871\ud558\ub294 \ud574\ub294 \ub2e8 \ud558\ub098\ub9cc \uc874\uc7ac\ud569\ub2c8\ub2e4.<\/p>\n<p>\ubcf4\uac04\ubc95(Interpolation)\uc758 \ud55c\uacc4 \ubc18\uc601: \uc2e4\uc81c \ucc44\uad8c\uc758 \ubcc0\ub3d9\uc131 \\(\\sigma_T \\) \uc2dc\uc7a5\uc5d0\uc11c \uc9c1\uc811 \uad6c\ud558\uae30 \uc5b4\ub824\uc6b8 \ub54c\ub294, \ub450 \ub9cc\uae30 \uad6c\uac04\uc758 \ubcc0\ub3d9\uc131\uacfc \uc0c1\uad00\uacc4\uc218\ub97c \ud1b5\ud574 \uc120\ud615\/\ube44\uc120\ud615 \ubcf4\uac04(Interpolation)\uc73c\ub85c \\(\\sigma_T \\)\ub97c \uba3c\uc800 \ucd94\uc815\ud55c \ud6c4 \uc774 \uacf5\uc2dd\uc744 \uc801\uc6a9\ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<p><strong>[\uc608\uc2dc]<\/strong><\/p>\n<p>\uc774\ud574\ub97c \ub3d5\uae30 \uc704\ud574 \uc218\uce58\ub97c \uc9c1\uc811 \ub123\uc5b4 \uacc4\uc0b0\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n<ul>\n<li>\uc2e4\uc81c \ucc44\uad8c: \ud3c9\uac00\uc561 \\(V = 100 \\)\uc5b5 \uc6d0, \ubcc0\ub3d9\uc131 \\(\\sigma_T = 1.8\\% \\) (\ub9cc\uae30 2.5\ub144)<\/li>\n<li>\ub9cc\uae30 \uad6c\uac04 1 (2\ub144): \ubcc0\ub3d9\uc131 \\(\\sigma_1 = 1.5\\% \\)<\/li>\n<li>\ub9cc\uae30 \uad6c\uac04 2 (3\ub144): \ubcc0\ub3d9\uc131 \\(\\sigma_2 = 2.2\\% \\)<\/li>\n<li>\uc0c1\uad00\uacc4\uc218: \\(\\rho_{12} = 0.95 \\)<\/li>\n<\/ul>\n<p>\uacc4\uc218 \uc0b0\ucd9c:<\/p>\n<ul>\n<li>\u00a0\\(A = 0.015^2 + 0.022^2 &#8211; 2(0.015)(0.022)(0.95) = 0.000709 &#8211; 0.000627 = 0.000082 \\)<\/li>\n<li>\u00a0\\(B = 2(0.022)(0.015 \\times 0.95 &#8211; 0.022) = 0.044(-0.00775) = -0.000341 \\)<\/li>\n<li>\u00a0\\(C = 0.022^2 &#8211; 0.018^2 = 0.000484 &#8211; 0.000324 = 0.000160 \\)<\/li>\n<\/ul>\n<p>2\ucc28 \ubc29\uc815\uc2dd\uc744 \ud480\uc5b4 \\(w_1 \\) \uc0b0\ucd9c:<\/p>\n<ul>\n<li>\u00a0\\(w_1 \\approx 0.536 \\) ( \\(53.6\\% \\))<\/li>\n<li>\u00a0\\(w_2 = 1 &#8211; w_1 \\approx 0.464\u00a0 ($46.4\\%$) \\)<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<p>2.5\ub144 \ub9cc\uae30 100\uc5b5 \uc6d0\uc9dc\ub9ac \ucc44\uad8c\uc740 \uc704\ud5d8 \uad00\ub9ac \uc2dc\uc2a4\ud15c \ub0b4\ubd80\uc5d0\uc11c &#8220;2\ub144 \ub9cc\uae30 \ucc44\uad8c 53.6\uc5b5 \uc6d0 + 3\ub144 \ub9cc\uae30 \ucc44\uad8c 46.4\uc5b5 \uc6d0&#8221;\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub85c \uc644\ubcbd\ud788 \uce58\ud658(Mapping)\ub429\ub2c8\ub2e4.\uc774 \ub9e4\ud551\uc744 \uac70\uce58\uace0 \ub098\uba74, \uc2dc\uc2a4\ud15c\uc740 \uc6d0\ub798 2.5\ub144 \ucc44\uad8c\uc758 \ubcc0\ub3d9\uc131\uc744 \ubcc4\ub3c4\ub85c \ucd94\uc815\ud560 \ud544\uc694 \uc5c6\uc774 \uc774\ubbf8 \uad6c\ucd95\ud574 \ub454 2\ub144\/3\ub144 \ubd84\uc0b0-\uacf5\ubd84\uc0b0 \ud589\ub82c\uc744 \ud65c\uc6a9\ud574 \uc804\uccb4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 VaR\ub97c \uc989\uc2dc \uacc4\uc0b0\ud560 \uc218 \uc788\uac8c \ub429\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub7f0\ub370 \uc0ac\uc2e4 \uc774\ub807\uac8c \uacc4\uc0b0\uc744 \ud558\uba74 \uc544\ub798\uc758 \ub2e4\ub978 \ubc29\ubc95 \ubcf4\ub2e4\ub294 VaR\uac00 \uc870\uae08 \ub354 \ud06c\uac8c \ub098\uc624\uace0 ( Cashflow\ub97c \uace0\ub824\ud558\uc9c0 \uc54a\uc544 \ub9cc\uae30\uac00 \ub354 \uae38\uc5b4\uc9c0\ub294 \ud6a8\uacfc\uc640 \ubcc0\ub3d9\uc131\uc774 \ud2b9\uc815\uad6c\uac04\uc5d0 \ub2e4 \ubab0\ub824 \uc788\ub294 \uacbd\uc6b0\uac00 \ub354 \ub9ce\uc73c\ubbc0\ub85c \ubd84\uc0b0\ud6a8\uacfc\ub3c4 \ub5a8\uc5b4\uc9c0\ubbc0\ub85c ) \uacc4\uc0b0 \ubc29\ubc95\uc5d0 \uba87 \uac00\uc9c0 \uc624\ub958\ub3c4 \uc788\uc5b4\uc11c \uc798 \uc0ac\uc6a9\ud558\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc5b4\ub5a4 \uc624\ub958\uc778\uac00 \ud558\uba74, \uc6b0\uc120 2.5\ub144 \ucc44\uad8c\uc758 \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131( \\(\\sigma_T \\))\uc744 \uc120\ud615\ubcf4\uac04\uc73c\ub85c \uacc4\uc0b0\ud55c \ub2e4\uc74c \uc774 \ubcc0\ub3d9\uc131\uc744 \ub9cc\uc871\ud558\ub294 \ub450 Vertex\uc758 \ube44\uc911\uc744 \uacc4\uc0b0\ud558\ub294\ub370, \ucc44\uad8c \uae08\ub9ac \ucee4\ube0c(Curve)\ub294 \uace1\uc120(\ub610\ub294 \ud638)\uc758 \ubaa8\uc591\uc774\ubbc0\ub85c \ubcfc\ub85d\uc131(Convexity)\uac00 \uc874\uc7ac\ud569\ub2c8\ub2e4. \ud558\uc9c0\ub9cc \uc774\ub97c \ubb34\uc2dc\ud558\uace0 \uc120\ud615\ubcf4\uac04\uc73c\ub85c \u00a0\\(\\sigma_T \\)\ub97c \uc6b0\uc120 \uacc4\uc0b0\ud574\uc11c \uc774\ub97c \ub9cc\uc871\uc2dc\ud0a4\ub294 \ub450 \ube44\uc911\uc744 \uc0b0\ucd9c\ud558\ub294 \uac83 \uc790\uccb4\uac00 \uc774\ubbf8 \ud2c0\ub9b0 \ub2f5\uc744 \ub9de\ucd94\uae30 \uc704\ud55c \uacc4\uc0b0\uc2dd\uc744 \ub3cc\ub9ac\ub294 \ubaa8\uc591\uc785\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub798\uc11c Risk Metrics\uc5d0\uc11c\ub294 \uadf8\ub0e5 \ube44\uc911 \uc790\uccb4\ub97c \uc120\ud615\uc73c\ub85c \uc548\ubd84\ud574 \ubc84\ub9bd\ub2c8\ub2e4 ( \uc704\uc5d0\uc11c \ub300~\ucda9 \ud558\uba74 \ud070 \uc624\ucc28\uac00 \ubc1c\uc0dd\ud55c\ub2e4\uace0 \ud55c \uadf8 \ubc29\ubc95 ).<\/p>\n<p>\uadf8\ub7fc \uc774 \ubc29\ubc95\uc740 \uc544\ubb34 \uc758\ubbf8 \uc5c6\ub294 \ubc29\ubc95\uc778\uac00? \uc120\ud615\ubcf4\uac04\uc73c\ub85c \u00a0\\(\\sigma_T \\)\ub97c \uad6c\ud588\uc73c\uba74 \uadf8 \uc790\uccb4\ub85c VaR\ub97c \uacc4\uc0b0\ud558\uba74 \ub418\uc9c0 \uc65c \uad73\uc774 Vertex\ubcc4\ub85c \uc548\ubd84\uc744 \ub2e4\uc2dc \ud558\uace0 Vertex\uc758 \ubcc0\ub3d9\uc131\uacfc \uc815\ud655\ud558\uc9c0\ub3c4 \uc54a\ub294 \uae08\uc561\uc744 \uc0ac\uc6a9\ud558\ub294\uac00? \ud558\ub294 \uc9c8\ubb38\uc744 \uac00\uc9c8 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\uc0ac\uc2e4 \ud55c \ub450 \uc885\ubaa9\uc77c \ub54c\ub294 \u00a0\\(\\sigma_T \\)\ub97c \uc120\ud615\ubcf4\uac04\ubc95\uc73c\ub85c \ucc3e\uc544\ub0b4\uace0 \ubc14\ub85c VaR\ub97c \uacc4\uc0b0\ud558\uba74 \ub429\ub2c8\ub2e4( \ubcc0\ub3d9\uc131\uc744 \uacc4\uc0b0\ud558\uace0 \uc0c1\uad00\uacc4\uc218\ub97c \uacc4\uc0b0\ud574 \ub0b4\uba74 \ub098\uba38\uc9c0\ub294 \uc77c\uc0ac\ucc9c\ub9ac\uc774\ub2c8\uae4c ). \ud558\uc9c0\ub9cc, \ucc44\uad8c\uc774 200 \uc885\ubaa9\uc774 \ub118\uc5b4\uac00\uace0 \ub9cc\uae30\uac00 \ubaa8\ub450 2.3\ub144, 2.4\ub144, 2.5\ub144 \uc774\ub7f0 \uc2dd\uc73c\ub85c \ub2e4 \ub2e4\ub974\ub2e4\uba74, \uac01\uac01\uc758 \u00a0\\(\\sigma_T \\)\ub97c \ub2e4 \uacc4\uc0b0\ud574\uc11c \ub610 \uac01\uac01\uc758 \uc0c1\uad00\uacc4\uc218\ub97c \ub2e4 \uacc4\uc0b0\ud574 \ub0b4\ub294 \uc791\uc5c5\uc744 \ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\uc989, \uc885\ubaa9 \uc218 \ub9cc\ud07c \uc0c1\uad00\uacc4\uc218\ub97c \uacc4\uc18d \uacc4\uc0b0\ud574 \ub098\uac00\uc57c \ud558\ubbc0\ub85c \ucd5c\ub300\ud55c \ucc44\uad8c \ub9cc\uae30\uad6c\uac04 Vertex \ub0b4\uc5d0 \ubaa8\ub450 \uc548\ubd84\ud574 \ubc84\ub9ac\uba74 \ucc44\uad8c \ub9cc\uae30\uad6c\uac04\ubcc4 Vertex \uac2f\uc218\ub85c \uc81c\ud55c\uc774 \ub418\uace0 \uc218\uc775\ub960\uc740 \uacf5\uc2dc\uac00 \ub418\ubbc0\ub85c \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131\uacfc \uc0c1\uad00\uacc4\uc218\ub294 \uc624\ucc28\uc5c6\uc774 \uba85\ud655\ud558\uac8c \uacc4\uc0b0\uc774 \ub418\ub294 \uac81\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub798\uc11c \uc774 \ubc29\ubc95\uc744 \uc544\ubb34 \uc758\ubbf8\uc5c6\ub294 \ubc29\ubc95\uc774\ub77c\uace0\ub294 \ud558\uc9c0\uc54a\uc2b5\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h4>\u2461 \ub4c0\ub808\uc774\uc158 \ub9e4\ud551\ubc95<\/h4>\n<p>\ucc44\uad8c\uc758 \uc2e4\uc81c \uac00\uaca9 \ubbfc\uac10\ub3c4\uc778 \uc218\uc815 \ub4c0\ub808\uc774\uc158(Modified Duration)\uc744 \uae30\uc900\uc73c\ub85c \ub9ac\uc2a4\ud06c\ub97c \uae30\ubcf8 \ub9cc\uae30\uad6c\uac04(Vertex)\uc5d0 \ud560\ub2f9\ud558\ubbc0\ub85c, \uc774\ud45c\ucc44(Coupon Bond)\uc758 \ub9ac\uc2a4\ud06c\ub97c \uc6d0\uae08\ub9e4\ud551\ubc95\ubcf4\ub2e4\ub294 \uc815\ud655\ud558\uac8c \ud3ec\ucc29\ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<p><strong>[\ub4c0\ub808\uc774\uc158 \ub9e4\ud551\ubc95\uc758 \ud575\uc2ec \uac1c\ub150]<\/strong><\/p>\n<p>\ub4c0\ub808\uc774\uc158 \ub9e4\ud551\uc758 \uae30\ubcf8 \uc544\uc774\ub514\uc5b4\ub294 \ub2e8\uc21c\ud569\ub2c8\ub2e4. &#8220;\ucc44\uad8c\uc758 \ub9cc\uae30(Maturity)\uac00 \uba87 \ub144\uc774\ub4e0 \uc0c1\uad00\uc5c6\uc774, \uc774 \ucc44\uad8c\uacfc &#8216;\ub3d9\uc77c\ud55c \uc218\uc815 \ub4c0\ub808\uc774\uc158&#8217;\uc744 \uac16\ub294 \ud560\uc778\ucc44(Zero-Coupon Bond)\ub85c \uce58\ud658\ud558\uc5ec \ub9ac\uc2a4\ud06c\ub97c \uce21\uc815\ud558\uc790&#8221;\ub294 \uac83\uc785\ub2c8\ub2e4.<\/p>\n<p>\uc608\ub97c \ub4e4\uc5b4 \uc794\uc874\ub9cc\uae30\ub294 5\ub144\uc774\uc9c0\ub9cc \uc815\uae30\uc801\uc778 \uc774\uc790 \uc9c0\uae09\uc73c\ub85c \uc778\ud574 \uc2e4\uc9c8 \uc218\uc815 \ub4c0\ub808\uc774\uc158(\\(D_m\\))\uc774 4.2\ub144\uc778 \uc774\ud45c\ucc44\uac00 \uc788\ub2e4\uba74, \ub4c0\ub808\uc774\uc158 \ub9e4\ud551\ubc95\uc5d0\uc11c\ub294 \uc774 \ucc44\uad8c\uc744 \ub9cc\uae30\uac00 4.2\ub144\uc778 \ud560\uc778\ucc44 1\uac1c\ub85c \ubc14\ub77c\ubd05\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<table style=\"height: 114px; width: 87.9422%; border-collapse: collapse !important; border-style: none !important;\">\n<tbody>\n<tr style=\"height: 175px;\">\n<td style=\"width: 33.9076%; height: 114px; background-color: #e3e3e3; text-align: center;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">[ \uc2e4\uc81c \ucc44\uad8c ]<\/span><\/p>\n<p><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">\uc794\uc874\ub9cc\uae30 5\ub144 \uc774\ud45c\ucc44<\/span><br \/>\n<span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">(\uc218\uc815 \ub4c0\ub808\uc774\uc158 Dm = 4.2\ub144)\u00a0<\/span><br \/>\n<span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">(\ub4c0\ub808\uc774\uc158 = 4.2\ub144)<\/span><\/td>\n<td style=\"width: 1.83599%; text-align: center; height: 114px; border-collapse: collapse !important; border-bottom: none !important; border-top: none !important;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">\u2500\u2500\u2500&gt; <\/span><\/td>\n<td style=\"width: 31.374%; height: 114px; background-color: #e3e3e3; text-align: center;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">[ \ub4c0\ub808\uc774\uc158 \ub9e4\ud551 \uce58\ud658 ]<\/span><\/p>\n<p><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">\ub9cc\uae30 4.2\ub144 \ud560\uc778\ucc44 (1\uac1c)\u00a0<\/span><\/td>\n<td style=\"width: 2.63427%; height: 114px; border-collapse: collapse !important; border-bottom: none !important; border-top: none !important;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">\u2500\u2500\u2500&gt; <\/span><\/td>\n<td style=\"width: 50.1867%; height: 114px; background-color: #e3e3e3; text-align: center;\"><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">[\uc778\uc811 \ub9cc\uae30\uad6c\uac04 \ub9e4\ud551<\/span><\/p>\n<p><span style=\"font-family: verdana, geneva, sans-serif; font-size: 10pt;\">(\uc608: 3\ub144 \ub9cc\uae30 &amp; 5\ub144 \ub9cc\uae30)<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>&nbsp;<\/p>\n<p><strong>[\uacc4\uc0b0 \uc21c\uc11c]<\/strong><\/p>\n<p>\ud558\ub098\uc758 \ucc44\uad8c\uc744 \ub4c0\ub808\uc774\uc158 \ub9e4\ud551\uc744 \ud1b5\ud574 \ub450 \uac1c\uc758 \ucc44\uad8c\uc73c\ub85c \ub098\ub204\uc5b4 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\uc131\ud558\uace0 \ub9cc\uae30 \uad6c\uac04 (Vertex)\uc5d0 \ud560\ub2f9\ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<p>A. \uac1c\ubcc4 \ucc44\uad8c\uc758 \uc218\uc815 \ub4c0\ub808\uc774\uc158(\\(D_{m,i}\\)) \uc0b0\ucd9c<\/p>\n<p>\ucc44\uad8c \\(i\\)\uc758 \ub9c8\ucf5c\ub9ac \ub4c0\ub808\uc774\uc158(\\(D_{mac,i}\\))\uacfc \ub9cc\uae30\uc218\uc775\ub960(\\(y_i\\))\uc744 \ud1b5\ud574 \uc218\uc815 \ub4c0\ub808\uc774\uc158\uc744 \uad6c\ud569\ub2c8\ub2e4.<\/p>\n\\(D_{m,i} = \\frac{D_{mac,i}}{1 + y_i}\\)\n<p>&nbsp;<\/p>\n<p>B. \uc778\uc811\ud55c \ub9cc\uae30 \uad6c\uac04 \uc120\ud0dd<\/p>\n<p>\uad6c\ud574\uc9c4 \uc218\uc815 \ub4c0\ub808\uc774\uc158 \\(D_{m,i}\\)(\uc608: 4.2\ub144)\ub97c \uc0ac\uc774\uc5d0 \ub450\uace0 \uc778\uc811\ud55c \ub450 \ub9cc\uae30 \uad6c\uac04\\(T_1\\)(\uc608: 3\ub144)\uacfc \\(T_2\\)(\uc608: 5\ub144)\ub97c \uc120\ud0dd\ud569\ub2c8\ub2e4. (\\(T_1 \\le D_{m,i} \\le T_2\\))<\/p>\n<p>&nbsp;<\/p>\n<p>C. \ub4c0\ub808\uc774\uc158 \ubcf4\uc874 \ud560\ub2f9 \ube44\uc911(\\(w_1, w_2\\)) \uc0b0\ucd9c<\/p>\n<p>\uc2e4\uc81c \ucc44\uad8c\uc758 \uc218\uc815 \ub4c0\ub808\uc774\uc158 \\(D_{m,i}\\)\uc640 \ub450 \ub9cc\uae30 \uad6c\uac04\uc5d0 \uac00\uc0c1\uc73c\ub85c \ubd84\ud560 \ud560\ub2f9\ub41c \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ub4c0\ub808\uc774\uc158\uc774 \uc815\ud655\ud558\uac8c \uc77c\uce58\ud558\ub3c4\ub85d \uc120\ud615 \ubd84\ud560 \ube44\uc911\uc744 \uc815\ud569\ub2c8\ub2e4.<\/p>\n<p>\\(T_1\\) (3\ub144 \ub9cc\uae30) \ud560\ub2f9 \ube44\uc911:<\/p>\n\\(w_1 = \\frac{T_2 &#8211; D_{m,i}}{T_2 &#8211; T_1} = \\frac{5.0 &#8211; 4.2}{5.0 &#8211; 3.0} = 0.4 \\quad (40\\%)\\)\n<p>&nbsp;<\/p>\n<p>\\(T_2\\) (5\ub144 \ub9cc\uae30) \ud560\ub2f9 \ube44\uc911:<\/p>\n\\(w_2 = \\frac{D_{m,i} &#8211; T_1}{T_2 &#8211; T_1} = \\frac{4.2 &#8211; 3.0}{5.0 &#8211; 3.0} = 0.6 \\quad (60\\%)\\)\n<p>&nbsp;<\/p>\n<p>D. \ud3c9\uac00\uae08\uc561(\\(V_i\\)) \ubd84\ud560 \ubc30\uce58<\/p>\n<p>\ud574\ub2f9 \ucc44\uad8c\uc758 \ud604\uc7ac \ud3c9\uac00\uae08\uc561 \\(V_i\\)(\uc608: 100\uc5b5 \uc6d0)\ub97c \ube44\uc911\uc5d0 \ub9de\ucdb0 \ub450 \ub9cc\uae30 \uad6c\uac04\uc5d0 \ub098\ub204\uc5b4 \ud560\ub2f9\ud569\ub2c8\ub2e4.<\/p>\n<p>3\ub144 \ub9cc\uae30 :\u00a0 100\uc5b5 \\( \\times 0.4 = \\) 40 \uc5b5 \uc6d0<\/p>\n<p>5\ub144 \ub9cc\uae30 :\u00a0 100 \uc5b5 \\( \\times 0.6 = \\) 60 \uc5b5 \uc6d0<\/p>\n<p>&nbsp;<\/p>\n<p><strong>[\ubd84\uc0b0\/\ubcc0\ub3d9\uc131 \ubcf4\uc874 \uc870\uac74\uacfc\uc758 \ube44\uad50 (\uc6d0\uae08\ub9e4\ud551 vs \ub4c0\ub808\uc774\uc158 \ub9e4\ud551)]<\/strong><\/p>\n<p>\uc218\ud559\uc801 \uad6c\uc870 \uba74\uc5d0\uc11c \uc6d0\uae08\ub9e4\ud551\uacfc \ub4c0\ub808\uc774\uc158 \ub9e4\ud551\uc740 \ubcf4\uc874\ud558\ub824\ub294 \ud575\uc2ec \ub9ac\uc2a4\ud06c \uc9c0\ud45c\uac00 \ub2e4\ub985\ub2c8\ub2e4.<\/p>\n<ul style=\"list-style-type: circle;\">\n<li>\uc6d0\uae08\ub9e4\ud551 (2\ucc28 \ubc29\uc815\uc2dd \ubc29\uc2dd) :<\/li>\n<\/ul>\n<p>\uae08\ub9ac \uc0c1\uad00\uacc4\uc218(\\(\\rho\\))\uc640 \ubcc0\ub3d9\uc131\uc744 \ubc18\uc601\ud558\uc5ec \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc804\uccb4 \ubd84\uc0b0(\\(\\sigma_p^2\\))\uc774 \uc77c\uce58\ud558\ub3c4\ub85d 2\ucc28 \ubc29\uc815\uc2dd\uc744 \ud480\uc5b4 \ube44\uc911\uc744 \ucc3e\uc2b5\ub2c8\ub2e4.<\/p>\n<ul style=\"list-style-type: circle;\">\n<li>\ub4c0\ub808\uc774\uc158 \ub9e4\ud551 (1\ucc28 \uc120\ud615 \ubcf4\uad00 \ubc29\uc2dd) :<\/li>\n<\/ul>\n<p>\uae08\ub9ac \ubcc0\ub3d9\uc5d0 \ub530\ub978 1\ucc28 \uac00\uaca9 \ubbfc\uac10\ub3c4(\ub4c0\ub808\uc774\uc158)\uac00 \uc644\ubcbd\ud788 \uc77c\uce58\ud558\ub3c4\ub85d 1\ucc28 \uc120\ud615 \ube44\ub840\uc2dd\uc73c\ub85c \ube44\uc911\uc744 \ucc3e\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\ub4c0\ub808\uc774\uc158 \ub9e4\ud551\uc740 \ubcf5\uc7a1\ud55c \uacf5\ubd84\uc0b0\/\uc0c1\uad00\uacc4\uc218 2\ucc28 \ubc29\uc815\uc2dd\uc744 \ud480\uc9c0 \uc54a\uace0 \ub4c0\ub808\uc774\uc158 \uae30\uc900\uc758 \uc120\ud615 \ubcf4\uac04\uc744 \uc0ac\uc6a9\ud558\ubbc0\ub85c \uc5f0\uc0b0 \uc18d\ub3c4\uac00 \ube60\ub974\uace0 \uc9c1\uad00\uc801\uc785\ub2c8\ub2e4. \uc7a5\uc810\uc744 \ucc3e\uc544\ubcf4\uc790\uba74\u00a0 \uc6b0\uc120 \uc6d0\uae08 \ub9e4\ud551\ubc95\uc5d0\uc11c \uac00\uc815\ud55c \uc774\uc790\ub97c \uc81c\uc678\ud55c \uacb0\uacfc\ub85c \uc778\ud574 \uc2e4\uc81c \ub9cc\uae30\uac00 \ub4a4\ub85c \ubc00\ub9ac\ub294 \ud6a8\uacfc\uac00 \uc0dd\uae30\ub294 \uac83\uacfc \ub2ec\ub9ac\u00a0 \uc911\uac04 \uc774\uc790 \ud604\uae08\ud750\ub984\uc5d0 \ub530\ub978 \ub4c0\ub808\uc774\uc158 \ucd95\uc18c\ub97c \uc815\ud655\ud788 \ubc18\uc601\ud558\ubbc0\ub85c VaR\uc758 \uacfc\ub300\ucd94\uc815 \ud3b8\ud5a5\uc744 \uc81c\uac70\ud569\ub2c8\ub2e4.<\/p>\n<p>\ub610\ud55c \ube60\ub978 \uc5f0\uc0b0 \uc18d\ub3c4\ubaa8\ub4e0 \uc774\uc790 \ud604\uae08\ud750\ub984\uc744 \uac1c\ubcc4 \ucabc\uac1c\ub294 \uc804\uccb4 \ud604\uae08\ud750\ub984 \ub9e4\ud551(Cash Flow Mapping)\uc5d0 \ube44\ud574 \ub370\uc774\ud130 \ucc98\ub9ac\ub7c9\uc774 \ud604\uc800\ud788 \uc801\uc5b4 \ub300\uaddc\ubaa8 \ucc44\uad8c \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc0b0\ucd9c\uc5d0 \ud6a8\uc728\uc801\uc785\ub2c8\ub2e4.<\/p>\n<p>\uadf8\ub7ec\ub098, \uc774\uc5d0 \ube44\ud574 \ub2e8\uc810\ub3c4 \uc788\ub294\ub370 \ub4c0\ub808\uc774\uc158\uc740 \uae08\ub9ac\uc640 \uac00\uaca9 \uac04\uc758 1\ucc28 \uc120\ud615 \uad00\uacc4\ub9cc \ub098\ud0c0\ub0b4\ubbc0\ub85c, \uae08\ub9ac \ubcc0\ub3d9 \ud3ed\uc774 \ud074 \ub54c \ubc1c\uc0dd\ud558\ub294 2\ucc28 \ubbfc\uac10\ub3c4\uc778 \ubcfc\ub85d\uc131(Convexity) \ud6a8\uacfc\ub97c \ud3ec\ucc29\ud558\uc9c0 \ubabb\ud574\uc11c \ub9cc\uae30 \uad6c\uac04\uc758 \uac04\uaca9\uc774 \ud074 \uc218\ub85d \uc624\ucc28\ub294 \ub354 \ubc1c\uc0dd\ud569\ub2c8\ub2e4(\ud45c\uba74\uae08\ub9ac\uac00 \ud06c\uac70\ub098 \ub9cc\uae30 \uad6c\uac04 \uc0ac\uc774\uc5d0 \uae08\ub9ac\ucc28\uac00 \ub9ce\uc774 \ubc1c\uc0dd\ud560 \ub54c) .<\/p>\n<p>\ub610\ud55c\u00a0\ub9cc\uae30 \uad6c\uc870\ubcc4 \uae08\ub9ac\uac00 \ud3c9\ud0c4\ud55c Curve\uac00 \uc544\ub2cc, \ud2b9\uc815 \uad6c\uac04\uc5d0\uc11c \ube44\uc815\uc0c1\uc801\uc73c\ub85c \uc65c\uace1\ub418\uc5b4 \uc788\ub294 \uacbd\uc6b0, \ub4c0\ub808\uc774\uc158 \ub2e8\uc21c \uac00\uc911 \ubc29\uc2dd\uc5d0 \uc624\ucc28\uac00 \ubc1c\uc0dd\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h4>\u2462 \ud604\uae08\ud750\ub984 \ub9e4\ud551\uc5d0 \uc758\ud55c \ubc29\ubc95<\/h4>\n<p>\uc55e\uc11c \ub2e4\ub8ec \uc6d0\uae08\ub9e4\ud551\uacfc \ub4c0\ub808\uc774\uc158 \ub9e4\ud551\uc774 \ucc44\uad8c\uc744 \ud558\ub098\uc758 \ub9cc\uae30\ub098 \ub4c0\ub808\uc774\uc158\uc73c\ub85c &#8216;\ub300\ud45c\uac12 \uce58\ud658&#8217;\ud588\ub2e4\uba74, \ud604\uae08\ud750\ub984 \ub9e4\ud551(Cash Flow Mapping)\uc740 \ucc44\uad8c\uc774 \ud488\uace0 \uc788\ub294 \ubaa8\ub4e0 \ubbf8\ub798 \ud604\uae08\ud750\ub984(\uc774\uc790, \uc774\uc790 + \uc6d0\uae08)\uc744 \ub0b1\ub0b1\uc774 \ucabc\uac1c\uc5b4 \ub9cc\uae30 \uad6c\uac04(Vertex)\uc5d0 \uc548\ubd84\ud558\ub294 \ubc29\uc2dd\uc785\ub2c8\ub2e4.\uc774 \ubc29\ubc95\uc744 \uc704\ud574\uc11c\ub294 &#8220;\uac00\uaca9 \uacc4\uc0b0 \uc5d4\uc9c4(Pricing Engine)\uc744 \uac00\uc9c0\uace0 \uc788\ub2e4&#8221;\ub294 \uc804\uc81c\uac00 \ub4b7\ubc1b\uce68\ub418\uc5b4\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>[\ud604\uae08\ud750\ub984 \ub9e4\ud551\uc758 \ud575\uc2ec \uac1c\ub150]<\/p>\n<p>\uc774\ud45c\ucc44(Coupon Bond) 1\uc885\ubaa9\uc740 \uc774\uc790 \uc9c0\uae09\uc77c \ub9c8\ub2e4 \ud45c\uba74 \uc774\uc790\uc728(Coupon Rate) \ub9cc\ud07c\uc758 \uc774\uc790\ub97c \uc9c0\uae09\ud558\uace0, \ub9cc\uae30\uc5d0\ub294 \uc774\uc790\uc640 \uc6d0\uae08\uc744 \ud568\uaed8 \uc9c0\uae09\ud569\ub2c8\ub2e4. \uc6b0\ub9ac\ub294 \uc774\uac83\uc744 \uac01\uac01 \uc11c\ub85c \ub2e4\ub978 \ud560\uc778\ucc44\ub77c\uace0 \uc778\uc2dd\uc744 \ud574\uc11c\u00a0 \ub530\ub85c \ub530\ub85c \uacc4\uc0b0\uc744 \ud569\ub2c8\ub2e4.\ub530\ub77c\uc11c \ucc44\uad8c\uc744 \ud1b5\uc9f8\ub85c \ub2e4\ub8e8\uc9c0 \uc54a\uace0, &#8220;\ubc1c\uc0dd\ud558\ub294 \ubaa8\ub4e0 \uac1c\ubcc4 \ud604\uae08\ud750\ub984\uc744 \uac01\uac01\uc758 \ub9cc\uae30\ub97c \uac00\uc9c4 \ub3c5\ub9bd\ub41c \ud604\uae08\uc870\uac01\uc73c\ub85c \ucabc\uac20 \ub4a4, \uc774\ub97c \uc2dc\uc7a5\uc758 \ub9cc\uae30 \uad6c\uac04(1\ub144, 2\ub144, 3\ub144, 5\ub144 \ub4f1)\uc5d0 \ubd84\uc0b0 \ubc30\uce58\ud574\uc11c\u00a0 \ub9cc\uae30 \uad6c\uac04\ubcc4\ub85c \uc794\uace0\uac00 \uc788\ub294 \ucc44\uad8c\ub4e4\ub85c \uacc4\uc0b0\ud558\uc790&#8221;\ub294 \uac83\uc774 \uc774 \ubc29\uc2dd\uc758 \ubf08\ub300\uc785\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<p>\ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc5d0 \uc794\uc874\ub9cc\uae30 3\ub144, \ud45c\uba74\uae08\ub9ac 5%\uc778 \uc774\ud45c\ucc44 100\uc5b5 \uc6d0\uc5b4\uce58\uac00 \uc788\ub2e4\uace0 \uac00\uc815\ud558\uace0, \uc774\ub97c 2\ub144\uacfc 3\ub144 \ub9cc\uae30 \uad6c\uac04\uc5d0 \ub9e4\ud551\ud558\ub294 \uacfc\uc815\uc785\ub2c8\ub2e4.<\/p>\n<ul>\n<li>1\ub2e8\uacc4 : \uac1c\ubcc4 \ud604\uae08\ud750\ub984(Cash Flow) \ucd94\ucd9c<\/li>\n<\/ul>\n<p>\uac00\uaca9 \uacc4\uc0b0 \uc5d4\uc9c4\uc744 \ud1b5\ud574 \uc774 \ucc44\uad8c\uc5d0\uc11c \uc55e\uc73c\ub85c \ubc1c\uc0dd\ud560 \ubaa8\ub4e0 \ud604\uae08\ud750\ub984 \uc2dc\uc810\uacfc \uae08\uc561\uc744 \ubf51\uc544\ub0c5\ub2c8\ub2e4.<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul style=\"list-style-type: circle;\">\n<li>1\ub144 \ud6c4: \uc774\uc790 5\uc5b5 \uc6d0 (\\(CF_1\\))<\/li>\n<li>2\ub144 \ud6c4: \uc774\uc790 5\uc5b5 \uc6d0 (\\(CF_2\\))<\/li>\n<li>3\ub144 \ud6c4: \uc774\uc790 5\uc5b5 \uc6d0 + \uc6d0\uae08 100\uc5b5 \uc6d0 = 105\uc5b5 \uc6d0 (\\(CF_3\\))<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<ul>\n<li>2\ub2e8\uacc4 : \ud604\uc7ac\uac00\uce58(PV) \uc0b0\ucd9c<\/li>\n<\/ul>\n<p>\ud604\uc7ac \uc2dc\uc7a5\uc758 \ud560\uc778\uc728(Spot Rate)\uc744 \uc801\uc6a9\ud558\uc5ec \uac01 \ud604\uae08\ud750\ub984\uc758 \ud604\uc7ac\uac00\uce58(\\(PV_t\\))\ub97c \uac01\uac01 \uacc4\uc0b0\ud569\ub2c8\ub2e4. (\uc774\ub54c Spot Rate\ub97c \uac00\uaca9 \uacc4\uc0b0 \uc5d4\uc9c4\uc744 \uc774\uc6a9\ud558\uc5ec \uacc4\uc0b0\ud574 \ub0b4\ub3c4 \ub418\uace0,\u00a0 \uacf5\uc2dc\ub41c Spot Curve\ub97c \ud65c\uc6a9\ud574\ub3c4 \ub429\ub2c8\ub2e4. \ud560\uc778\ud558\uc5ec \ud604\uc7ac \uac00\uce58\ub97c \uacc4\uc0b0\ud558\ub294 \ub370\uc5d0\ub294 \uac00\uaca9 \uacc4\uc0b0 \uc5d4\uc9c4\uc744 \uc0ac\uc6a9\ud560 \ud544\uc694\uac00 \uc5c6\uc2b5\ub2c8\ub2e4. )<\/p>\n<ul>\n<li>\\(PV_1 = \\text{Present Value of } CF_1\\)<\/li>\n<li>\\(PV_2 = \\text{Present Value of } CF_2\\)<\/li>\n<li>\\(PV_3 = \\text{Present Value of } CF_3\\)<\/li>\n<li>(\uc774\ub4e4\uc758 \ud604\uc7ac\uac00\uce58 \ud569\uc740 \ub2f9\uc5f0\ud788 \ucc44\uad8c \uc804\uccb4\uc758 \uc2dc\uc7a5 \uac00\uaca9\uacfc \uc77c\uce58\ud569\ub2c8\ub2e4 :\u00a0 \\(V = PV_1 + PV_2 + PV_3\\))<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<ul>\n<li>\u00a03\ub2e8\uacc4: \uc778\uc811 \ub9cc\uae30 \uad6c\uac04\uc73c\ub85c\uc758 \uc120\ud615 \ubd84\ud560 (Time-to-Maturity Splitting)<\/li>\n<\/ul>\n<p>\uac01 \ud604\uae08\ud750\ub984\uc758 \ub9cc\uae30 \uc2dc\uc810 \\(t\\)\uac00 \uc815\ud655\ud788 \uc6b0\ub9ac\uac00 \uc218\uc775\ub960\uc744 \uc54c\uace0 \uc788\ub294 \ub9cc\uae30\uad6c\uac04(\uc608: 2\ub144, 3\ub144)\uc5d0 \ub531 \ub9de\uac8c \ub5a8\uc5b4\uc9c0\uc9c0 \uc54a\uc744 \uc218 \uc788\uc2b5\ub2c8\ub2e4(99% \uc77c\uce58\ud558\uc9c0 \uc54a\uc2b5\ub2c8\ub2e4).<\/p>\n<p>\uc608\ub97c \ub4e4\uc5b4 2.3\ub144 \uc2dc\uc810\uc5d0 \ub5a8\uc5b4\uc9c0\ub294 10\uc5b5 \uc6d0\uc758 \ud604\uae08\ud750\ub984\uc774 \uc788\ub2e4\uba74, \uc774\ub97c \uc778\uc811\ud55c \ub9cc\uae30 \uad6c\uac04\\(T_1\\)(2\ub144)\uacfc \\(T_2\\)(3\ub144)\uc5d0 \ud604\uc7ac\uac00\uce58(PV) \uae30\uc900\uc73c\ub85c \ucabc\uac1c\uc5b4 \ud560\ub2f9\ud569\ub2c8\ub2e4.<\/p>\n<ul>\n<li style=\"list-style-type: none;\">\n<ul style=\"list-style-type: circle;\">\n<li>2\ub144 \ub9cc\uae30 \uad6c\uac04 \ud560\ub2f9\uc561 (\\(PV_{T1}\\)):<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n\\(PV_{T1} = PV_{2.3} \\times \\frac{3.0 &#8211; 2.3}{3.0 &#8211; 2.0} = PV_{2.3} \\times 0.7\\)\n<ul>\n<li style=\"list-style-type: none;\">\n<ul style=\"list-style-type: circle;\">\n<li>3\ub144 \ub9cc\uae30 \uad6c\uac04 \ud560\ub2f9\uc561 (\\(PV_{T2}\\)):<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n\\(PV_{T2} = PV_{2.3} \\times \\frac{2.3 &#8211; 2.0}{3.0 &#8211; 2.0} = PV_{2.3} \\times 0.3\\)\n<p>\uc774 \uacfc\uc815\uc744 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ub0b4 \ubaa8\ub4e0 \ucc44\uad8c\uc758 \ubaa8\ub4e0 \ud604\uae08\ud750\ub984\uc5d0 \ub300\ud574 \ubc18\ubcf5\ud569\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<ul>\n<li>4\ub2e8\uacc4: \uac01 \ub9cc\uae30 \uad6c\uac04 \ubcc4 \ud560\ub2f9\uc561 \uc9d1\uacc4 \ubc0f VaR \ucd5c\uc885 \uc0b0\ucd9c<\/li>\n<\/ul>\n<p>\ubaa8\ub4e0 \ucc44\uad8c\uc5d0\uc11c \ucabc\uac1c\uc838 \ub098\uc628 \ud604\uae08\ud750\ub984\ub4e4\uc774 1\ub144, 2\ub144, 3\ub144&#8230; \uac01 \ub9cc\uae30 \uad6c\uac04(Vertex)\ubcc4\ub85c \ub354\ud574\uc9c0\uac8c \ub429\ub2c8\ub2e4.<\/p>\n<p>\uc774\uc81c \uc6b0\ub9ac\uc758 \ucc44\uad8c\ub4e4\uc740 \ubaa8\ub450 \ub9cc\uae30\uac00 1\ub144, 2\ub144, 3\ub144, &#8230; \ub531 \ub5a8\uc5b4\uc9c0\uac8c \ub0a8\uc544 \uc788\uac8c \ub418\uc5c8\uace0, \uc6b0\ub9ac\ub294 \uadf8 \uae08\ub9ac\uc758 \ubcc0\ub3d9\uc131\uacfc \uc0c1\uad00\uacc4\uc218\ub97c \ud1b5\ud55c \uacf5\ubd84\uc0b0\uc744 \uad6c\ud560 \uc218 \uc788\uac8c \ub418\uc5b4 VaR\ub97c \uad6c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\u00a0 \ud604\uae08\ud750\ub984\uc744 \uac01 \ub9cc\uae30 \uad6c\uac04\ubcc4\ub85c \ubaa8\ub450 \ub354\ud55c \uac83\uc740 \uc5b4\ub514\uc5d0 \uc0ac\uc6a9\ub420\uae4c\uc694? \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubd84\uc0b0\uc744 \uacc4\uc0b0\ud558\uae30 \uc704\ud55c \ube44\uc911(weight)\uc73c\ub85c \uc0ac\uc6a9\ud560 \uc218\ub3c4 \uc788\uace0, \uc9c1\uc811 VaR\ub97c \uacc4\uc0b0\ud560 \ub54c \ubcf4\uc720\ud558\uace0 \uc788\ub294 \uac00\uc0c1 \ucc44\uad8c \uae08\uc561\uc73c\ub85c \uc0ac\uc6a9\ud574\ub3c4 \ub429\ub2c8\ub2e4.<\/p>\n<ul style=\"list-style-type: circle;\">\n<li>\ucd5c\uc885 \ub9e4\ud551 \ubca1\ud130(\\(W_{CF}\\)) \uc644\uc131: \uac01 \ub9cc\uae30 \uad6c\uac04\uc5d0 \ub204\uc801\ub41c \ud604\uc7ac\uac00\uce58\uc758 \ucd1d\ud569 \ubca1\ud130<\/li>\n<li>\uacf5\ubd84\uc0b0 \ud589\ub82c(\\(\\Sigma_y\\)) \uacb0\ud569: \ud45c\uc900 \uae08\ub9ac \uac04 \uacf5\ubd84\uc0b0 \ud589\ub82c \uc801\uc6a9<\/li>\n<\/ul>\n<p>VaR \uacc4\uc0b0:<\/p>\n<p style=\"text-align: center;\"><em>Portfolio VaR<\/em> = \\( Z_\\alpha \\times \\sqrt{W_{CF}^T \\Sigma_y W_{CF}}\\)<\/p>\n<p>&nbsp;<\/p>\n<p>\ucc44\uad8c \uac00\uaca9 \uc5d4\uc9c4\uc744 \uac00\uc9c0\uace0 \uc788\ub2e4\uba74 \uc77c\ubc18\uc801\uc778 \uc774\ud45c\ucc44, \ud560\uc778\ucc44, \ubcf5\ub9ac\ucc44 \ub4f1\uc758 VaR\ub97c \uacc4\uc0b0\ud560 \ub54c\ub294 \ubcc4 \ub3c4\uc6c0\uc774 \ub418\uc9c0 \uc54a\uaca0\uc9c0\ub9cc \uc774\uc790\uc728 \ud30c\uc0dd\uc0c1\ud488\uc774\ub098 \ubd88\uaddc\uce59\uc801\uc778 \ud604\uae08\ud750\ub984\uc774 \uc788\ub294 \ucc44\uad8c, \uc635\uc158\ubd80 \ucc44\uad8c \ub4f1\uc758 \uacbd\uc6b0\ub294 \ud604\uae08\ud750\ub984 \uc2a4\ucf00\uc904\uacfc \uc608\uc0c1 \uc774\uc790\uc9c0\uae09 \uc561\uc744 \uacc4\uc0b0\ud560 \uc218 \uc788\uc5b4\uc11c, VaR \uacc4\uc0b0\uc744 \uc0c1\ub2f9\ud788 \uc815\ud655\ud788 \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ud2b9\ud788 \uc8fc\uc5b4\uc9c4 \\( \\Delta (Delta) \\)\u00a0 \uac12\uc774 \uc544\ub2cc \\( \\Delta + \\Gamma (Delta + Gamma) \\) \uac12 \uae4c\uc9c0 \uacc4\uc0b0\ud558\uc5ec \ubc18\uc601\ud558\ubbc0\ub85c \ub354 \uc815\ud655\ud55c VaR\ub97c \uacc4\uc0b0\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>\ub2e8, \ubaa8\ub4e0 Cashflow\uc758 \ub9cc\uae30 \uad6c\uac04\uc744 \ubaa8\ub450 \ub9de\ucdb0\uc11c \uc0ac\uc6a9\ud558\ub2e4 \ubcf4\ub2c8 \uc139\ud130\ubcc4 \ub9cc\uae30\ubcc4 \uc0ac\uc6a9\ud560 \uad6c\uac04\uc774 \ub108\ubb34 \ub9ce\uc544\uc838\uc11c \uc758\ub3c4\uc801\uc73c\ub85c \ub9cc\uae30\uad6c\uac04\uc774\ub098 \uc139\ud130\ub97c \uc904\uc774\uae30\ub3c4 \ud569\ub2c8\ub2e4. \uc5b4\uc9dc\ud53c \ucef4\ud4e8\ud130\uac00 \ud558\ub294 \uc77c\ub85c \uc2dc\uac04\uc774\ub098 \uacf5\uc218\uac00 \ud06c\uac8c \ub298\uc5b4\ub098\uc9c0\ub294 \uc54a\uc9c0\ub9cc \uc560\uc368 \uc0ac\uc6a9\ud558\uc9c0 \uc54a\ub294 \ub9cc\uae30 \uad6c\uac04\uc744 \uc904\uc778\ub2e4\ub294 \uba85\ubaa9\uc73c\ub85c \ucc98\uc74c\ubd80\ud130 \ub9cc\uae30 \uad6c\uac04\uc744 \ub113\uac8c \ub113\uac8c, \uc139\ud130\ub3c4 \ub113\uac8c \ub113\uac8c \uac00\uc838\uac00\ub294 \uacbd\uc6b0\uac00 \ub9ce\uc2b5\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n<h3>(3) \uc678\ud654(FX Swap\ud3ec\ud568)<\/h3>\n<p>\uc678\uad6d\ud658\uc758 \ubcc0\ub3d9\uc774 \uc790\uc0b0\uc758 \uac00\uaca9 \ub610\ub294 \uc190\uc775\uc5d0 \uc601\ud5a5\uc744 \ubbf8\uce58\ub294\u00a0\uacbd\uc6b0 \ub2f9\uc5f0\ud788 \uc774\ub97c VaR\uacc4\uc0b0\uc5d0 \ud3ec\ud568\uc2dc\ud0a4\uac8c \ub429\ub2c8\ub2e4.\u00a0 \ud2b9\ud788 \uc7a5\uc678 \ud30c\uc0dd\uc0c1\ud488\ub4e4(Fx Swap, IRS, CRS \ub4f1)\uc744 \ucde8\uae09\ud558\ub2e4 \ubcf4\uba74 \ud1b5\ud654\uc2dc\uc7a5, \ud574\uc678 \uae08\ub9ac \ub4f1\uc744 \ubaa8\ub450 \uac10\uc548\ud574\uc11c VaR \uacc4\uc0b0\uc744 \ud574\uc57c \ud569\ub2c8\ub2e4.<\/p>\n<p>\uc7a5\uc678 \ud30c\uc0dd\uc0c1\ud488\uc758 \uacbd\uc6b0 \uc11c\ub85c \ub2e4\ub978 \uc5ec\ub7ec\uac1c\uc758 \uacc4\uc57d\uc774 \ud55c \uacc4\uc57d\uc774 \ubb36\uc774\uac70\ub098 \ud558\ub098\uc758 \uacc4\uc57d\uc73c\ub85c \ubcf4\uc774\ub294\ub370 \ub0b4\uc7ac\ub418\uc5b4 \uc788\ub294 \uacc4\uc57d\uc774 \ud3ec\ud568\ub41c \uacbd\uc6b0\uac00 \ub9ce\uc2b5\ub2c8\ub2e4. \uc774\ub54c \uad00\ub828\ub41c \uc190\uc775\uc744 \ubd84\ud574\ud558\uc5ec \uc778\uc2dd\ud558\ub2e4\ubcf4\uba74 \ub9c8\uce58 \uc11c\ub85c \ub2e4\ub978 \uc0c1\ud488\ub4e4\ucc98\ub7fc, \uc11c\ub85c \ub2e4\ub978 \ub9cc\uae30\uc640 \uc11c\ub85c \ub2e4\ub978 \ubbfc\uac10\ub3c4\ub97c \uac00\uc9c0\uace0 \ub530\ub85c \uc874\uc7ac\ud558\ub294 \uac83 \ucc98\ub7fc \ubcf4\uc785\ub2c8\ub2e4.<\/p>\n<p>\uc2e4\uc81c VaR\ub97c \uacc4\uc0b0\ud560 \ub54c\ub3c4 \ub54c\ub85c\ub294 \uac01\uac01 \ub530\ub85c \uacc4\uc0b0\ud558\ub294 \ud3b8\uc774 \ub354 \uc26c\uc6b8 \uc218\ub3c4 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>&nbsp; &nbsp; 4. \uc790\uc0b0 \ub2e8\uc704\ubcc4 \uacc4\uc0b0 \ubc29\ubc95 &nbsp; VaR\ub97c \uacc4\uc0b0\ud560 \ub54c \uac01 \uc790\uc0b0\ubcc4\ub85c VaR\ub97c \uad6c\ud574\uc11c \ubaa8\ub450 \ud569\uce58\ub4e0 \uc804\uccb4<\/p>\n","protected":false},"author":1,"featured_media":1198,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_sitemap_exclude":false,"_sitemap_priority":"","_sitemap_frequency":"","footnotes":""},"categories":[6],"tags":[84,86,83,85,87],"class_list":["post-1183","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-risk-management","tag-vertex","tag-86","tag-83","tag-85","tag-87"],"_links":{"self":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1183","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=1183"}],"version-history":[{"count":41,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1183\/revisions"}],"predecessor-version":[{"id":1234,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/posts\/1183\/revisions\/1234"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=\/wp\/v2\/media\/1198"}],"wp:attachment":[{"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1183"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1183"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.fsquare.co.kr\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1183"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}