․선물시장 투자자들의 투자전략수립 및 위험관리(risk management) 뿐만 아니라 감독당국의 코스닥시장 활성화를 위한 정책 마련에 도움을 줄 수 있을 것으로 보여 진다 …

intrigued investors. Inferring investors' expectation through the implied risk neutral distribution is widely used. This … the 17th general election at 2004, the investors' perceived risk increased after the final returns. In the 17th …

issuer's credit rating falls below some predetermined threshold rating. The domestic rating-triggered bonds are classified … categories in the process of valuation. Historical average transition matrix is used conveniently from credit rating companies … rating-triggered bond. It is expected that if default rates and rating downgrade probability are high when economic or credit …

sheets of commercial banks in Korea. Estimated relationship between distance to default and indexes which represent the … profitability and soundness of banking sector shows that increased profitability and asset size or improvement in credit ratings …

accurate and timely monitoring of risk. With the use of equity market information, this paper aims to propose an empirical … forecasting model that assesses the risk in the banking industry. Contrary to previous studies which tend to focus on individual … bank failures, an effort has been made to forecast the risk of the banking industry as a whole. By looking at individual as …