Tail Risk under Price Limits

Sekyung Oh,KinamPark,Hyukdo Kee 한국재무학회 2017 한국재무학회 학술대회 Vol.2017 No.11

The goal of this paper is to investigate the dynamics of tail risk when the price limits exist in the stock markets. We present the expected value of tail risk under the price limits based on which we analyze the effect of the price limits on tail risk for the Korean stock markets where the price limits exist and are eased gradually. The main results are: First, tail risk is seriously underestimated in the stock markets with a price limit system. In particular, tail risk cannot be used as a meaningful risk indicator if the price limits are less than 15%. Second, tail risk is highly predictive of stock returns in the Korean stock markets if the price limits are higher than 15%. Third, tail risk is a significant risk factor in determining asset price if the price limits are higher than 15%. Lastly, tail risk has the predictive power from 6 to 12 months in advance as a systemic risk indicator related to the Korean economy if the price limits are higher than 15%.

Different Motives and Different Market Reactions to Convertible Bonds and Bonds with Warrants Issuance in Korea

Sekyung Oh,Woo Sung Kim 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.05

We examine why firms issue hybrid securities including CBs and BWs, what are the determinants of choice of issuers between CBs and BWs and why market reactions to CBs and BWs issues are different in Korea. Our study is based on the sample of CBs and BWs that were issued in Korea between 2000 and 2010. Our empirical results are as follows. First, we find that the characteristics of hybrid security issuers are quite different from those of non-hybrid security issuers. Second, we find that difference in motives of issuing firms between CBs and BWs largely exist, even though these securities have very similar characteristics. Specifically, CBs are more likely issued by firms with more future growth opportunity whereas BWs are more likely issued by firms with higher short term growth rate. Third, we also find that the announcement effects of CBs are negative and statistically insignificant whereas the announcement effects of BWs are statistically significant and positive.

Different Motives and Different Market Reactions to Convertible Bonds and Bonds with Warrants Issuance in Korea

Sekyung Oh,Woo Sung Kim 한국재무학회 2013 한국재무학회 학술대회 Vol.2013 No.08

We examine why firms issue hybrid securities including both Convertible Bonds (CBs) and Bonds with Warrants (BWs), what characteristics of issuing firms affect the choice between CBs and BWs and why market reactions to the announcement of CBs and BWs offerings are different in Korea. Our study is based on the sample of CBs and BWs that were issued in Korea between 2000 and 2011. Our empirical results are as follows. First, we find that the characteristics of hybrid security issuers are quite different from those of non-hybrid security issuers. Second, we find that difference in motives and characteristics of issuing firms choosing between CBs and BWs largely exist, even though these securities have very similar characteristics. Lastly, we find that the announcement effects of both CBs and BWs are positive and statistically significant in Korea, which is different from the studies for other countries.

The Effectiveness of CRM Approach in Improving the Profitability of Korea Professional Baseball Industry Measured by Entropy of ID3 Decision Tree Algorithm

Sekyung Oh,Chunglee Gwak,Miyoung Lee 한국데이타베이스학회 2011 Journal of information technology applications & m Vol.18 No.3

Korea professional baseball industry has grown to take the lion's share of the domestic sports industry, but still does not make break even. The purpose of this study is to examine the financial impact of adopting the Customer Relation Management (CRM) approach on the profitability of Korea professional baseball industry. We use a measuring tool called entropy used in ID3 decision tree algorithm. In the paper, we specify five the most important factors that affect spectator satisfaction based on the previous literature, perform survey analysis, calculate entropy values, and find the results. We predicted the change in revenues when we adopt CRM by checking the spectators' willingness to pay more when the conditions of each factor are improved. We find that we can reap significant fruits of the effect of CRM introduction through enhancing 'game content factor' and 'game promotion factor' among the five factors. We also find that we can increase the revenues of domestic professional baseball teams to 2.4 times or 2.1 times the current level if we manage intensively those two factors. respectively. It is very surprising to see that the improvement in total revenues makes both ends meet for domestic professional baseball teams. This clearly demonstrates the effectiveness of CRM approach in improving the profitability of organizations.

Characterization of Ubiquitinated Lysosomal Membrane Proteins in Acanthamieba castellanii

Oh, Sekyung,Ahn, Tae-In The Korean Society for Integrative Biology 2000 Korean journal of biological sciences Vol.4 No.2

Ubiquitinated proteins in lysosomes were characterized by using two monoclonal antibodies (mAbs): LYS8-1, a mAb to lysosomal proteins, and NYA124, a mAb to ubiquitin. LYS8-1 stained lysosome-like vesicles in immunofluorescence microscopy of Amoeba proteus and Acanthamoeba castellanii. In immunoblotting, LYS8-1's antigens (LYS proteins) were detected as 68-kDa and 77-kDa proteins in A. proteus, and as 30-kDa and 39-kDa proteins in A. castellanii. In immunoprecipitation of A. castellanii, at least four distinct LYS proteins, LVS35p, LyS39p, LyS42p, and LYS46p, were detected and accumulated upon inhibition of lysosome functions but not upon that of 26S proteasome functions. They were all found to be ubiquitinated, and were recovered in the lysosome fractions in subcellular fractionation experiments. In chemical fractionation analyses, LYS35p and LYS39p were demonstrated to be peripherally associated with lysosome membrane, while LYS42p and LYS46p tightly bound to the membrane. These results suggest that the LYS proteins become associated to lysosomal membrane upon ubiquitination.

Do country-level legal, corporate governance and cultural characteristic influence the relationship between insider ownership and dividend policy?

Sekyung Oh,Woo Sung Kim 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.05

Previous studies of the relation between insider ownership and dividend policy have focused only on U.S. or European firms from a legal system perspective. We explore how the effects of the increase in insider ownership concentration on the dividend policy change in different legal, corporate governance, and cultural environments in Asian countries. The severity of agency problems between controlling insiders and outside investors in Asian countries provides a unique circumstance for exploring this issue. We find that insider ownership has an inverse U-shaped relation with dividend payouts in Asian countries and that the inversely U-shaped relation becomes stronger in common law, strong corporate governance, low long-term orientation, or low uncertainty avoidance countries.

Decomposing and Pricing Corporate Bond Yields

Sekyung Oh,Kinam Park 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.05

The main results of this paper are summarized as follows. First, we propose a new extended Fama-French model based on yield curve information. To the best of our knowledge, this is the first paper that proposes the corporate bond pricing model that considers simultaneously interest rate, credit, and illiquidity factors together with three main characteristics of yield curve (level, steepness and concavity) by extending Fama-French 2 factor model. Second, we show the importance of “net credit risk factor” in the determination of yield spreads of corporate bonds and the underestimation problem of illiquidity premium (over-estimation of credit premium) that has been overlooked by current literature. Third, we find that each factor of bond yields responds differently according to the source of financial shocks by examining the impact (performance decomposition) of each factor on bond yield spreads. Fourth, we find that new extracted variables are important risk factors in explaining yield spreads of corporate bonds. Fifth, we find that there exists a non-linear relation between bond yields and betas. Sixth, we find that the relationship between credit and illiquidity is different depending on the economic situations and it is essential and crucial to measure and manage risk separately by the risk factors that we discover in the paper. Lastly, we find that liquidity black holes arise in the beginning of the financial crisis when uncertainty prevails and show that financial markets became unstable suddenly since self-stabilizing mechanism of bond markets did not work appropriately due to the liquidity preference of investors in the global financial crisis.

Basel Ⅱ 도입의 은행대출 및 거시경제에 미치는 영향과 대응방안

오세경(Sekyung Oh),이건호(Kun-Ho Lee),한광석(Guangsug Hahn),허찬국(Chan-Guk Huh) 한국경제연구원 2006 한국경제연구원 연구보고서 Vol.2006-03 No.-

Basel Ⅱ, which improves upon Basel Ⅱ especially regarding regulating banking risk, will be implemented in 2006 in developed countries. The Korean financial supervisory service (FSS) has plans to abide to the Basel Ⅱ and is currently preparing for this. Most banks have already established a credit risk measurement system and is at the stage of establishing an operational risk measurement system for the Basel Ⅱ. However, while the preparation of banks is focused on technical aspects such as risk measurement methodology, there are still only a few studies on the possible macroeconomic impact of Basel Ⅱ. We believe that the execution of Basel Ⅱ may result in serious side effects if it is introduced without better understanding its macroeconomic impact. It is necessary to have a prudent plan preparing for its introduction, which includes rigorous analyses of its economic effect. The purpose of this paper is to look closely at the possible impact of Basel Ⅱ on the loan supplying behavior of domestic banks and consequently on economic growth. It is expected that banks will either raise loan interest rates or reduce loans against low-rated companies when the Basel Ⅱ comes into affect increasing the minimum capital requirement for loans. However, to verify the impact on the economy of the Basel Ⅱ, one should predict how the capital requirements for banks would change for different levels of credit rate, as well as the capital requirement of the bank industry. In this study, we calculate the change in the minimum capital requirements and the loan supplying behavior of domestic banks, based on data on the exposure and default probabilities for different internal credit rate levels. More specifically, we examine the loan supplying behavior in two directions. Firstly, we estimate Basel Ⅱ’s impact on loan interest rates provided assuming that banks maintain the same risk-adjusted rate of return as before by marking up the regulation costs due to Basel Ⅱ. Secondly, we estimate Basel Ⅱ’s impact on the loan amounts provided given that banks might maintain a regulation-related burden as before by reducing loans instead of marking up. In addition, for this latter case, the macroeconomic impact of Basel Ⅱ is analyzed using the KERI 2005 Model for four scenarios according to regulation method. Contrary to the general expectations of the banking industry, our study finds that the minimum capital requirements will be reduced only when the retail banking activities for small and medium enterprises are not considered. Even in such a case, the expansion of consumer loans tend to have a positive effect on the economy. Considering the retail banking, where this effect is reinforced, it can be concluded that the overall impact of the Basel Ⅱ on the economy is positive. The implication of our research is twofold. First, it removes the somewhat baseless nervousness in the general mood by presenting a possible positive impact of the Basel Ⅱ. Secondly, it identifies precisely those factors that might contribute to the positive impact of the Basel Ⅱ. Nonetheless, we recommend prudent interpretation of our results because our analysis leaves out the operational risk regulation of the Basel Ⅱ, and the loan market for small and medium enterprises and the fact that consumers may become saturated. Moreover, there is a possibility that the default probabilities used in this research may be a little too optimistic.

우리나라 증권결제시스템의 결제리스크 측정

오세경 ( Sekyung Oh ) 한국지급결제학회 2009 지급결제학회지 Vol.3 No.1

우리나라의 증권결제시스템은 증권과 대금이 모두 납부 완료되는 시점에 결제하는 시점결제방식을 채택하고 있어 결제지연이 만성적으로 발생하고 있다. 예탁결제원은 이러한 만성적인 결제지연을 해소하기 위해 선결제를 실시하고 있으나 리스크관리가 미흡하여 신용리스크를 발생시키고 있으며 이는 증권시장의 안정성에 부정적인 영향을 미치고 있다. 예탁결제원이 증권결제에서 발생하는 리스크를 부담하는 그 자체도 문제지만 해당 리스크가 얼마나 되는지 모르는 것은 더 큰 문제가 아닐 수 없다. 따라서 본 연구에서는 예탁결제원이 고객들을 대신하여 부담하고 있는 증권결제리스크를 VaR(Value at Risk)의 개념을 사용하여 측정하여 보았는데, 측정 결과 상당한 리스크를 부담하고 있는 것으로 나타났다. Settlement delay is a common phenomenon in Korea security settlement systems because settlement is done only when both securities are delivered and payments are paid. Korea Security Depository(KSD) is executing pre-settlement to solve the delay problems but creating credit risk due to a poor risk management. The paper tries to measure the amount of security settlement risk borne by KSD on behalf of customers using CreditMetrics and CreditRiskPlus Methodologies.

IFRS4 2단계하에서의 유동성 프리미엄을 반영한 할인율 추정에 관한 연구

오세경 ( Sekyung Oh ),박기남 ( Kinam Park ),최시열 ( Siyeol Choi ) 보험연구원 2016 보험금융연구 Vol.27 No.4

IFRS4 2단계에서 보험부채 평가액을 결정하는 핵심적인 요인이라 할 수 있는 할인율과 관련하여, 본 연구는 이론적으로 타당하고 실무적으로 적용 가능한 할인율 산출방법에 대한 제언을 목적으로 한다. 주요 결과는 첫째, 본 연구에서 새롭게 제안한 정부보증채 스프레드를 유동성 지표로 추가하여 확장한 Fama-French 모형이 우리나라 회사채 수익률 스프레드를 설명하는데 적합함을 실증하였다. 둘째, 유동성요인은 우리나라 회사채 수익률 스프레드 결정과 관련하여 의미 있는 리스크 요인임을 확인하였다. 셋째, Nelson-Siegel 모형과 Svensson 모형에 비해 Smith-Wilson 모형이 무위험 이자율 예측 모형으로 적합도가 높은 것을 확인하였다. 마지막으로 우리나라채권시장의 유동성 프리미엄은 각각 10 · 18 · 38 · 70bps(정부보증채 · AAA · AA · A 순서, 2015년 말 기준, 3년 만기 기준)로 추정되었다. This paper aims to suggest an estimation method of discount rates for insurance liability valuation reflecting the term structure of liquidity premium under IFRS 4 Phase II. The advantage of our method is that it is not only theoretically solid, but also practically applicable. The main findings are as follows: First, the extended Fama-French model, including government-guaranteed bond spread as a liquidity factor, is suitable to determine corporate bond yield spreads. Second, the liquidity risk factor is priced within the cross section of each bond rating and maturity. Third, the Smith-Wilson model exhibits substantially better fitted extrapolations for the term structure of risk free rates, compared to the Nelson-Siegel model and the Svensson model. Fourth, the term structure of liquidity premiums for corporate bonds of each rating as well as government bonds is estimated to reflect the characteristics of cash flows of insurance liabilities. Finally, liquidity risk premiums of Korean government-guaranteed bonds and corporate bonds with AAA, AA, and A ratings are estimated to be 10, 18, 38, 70 bps, respectively on three-year maturity basis at the end of 2015.