일반적 사프비율(GSR)을 이용한 펀드 성과 평가

김봉준,전두배,차승연 충남대학교 경영경제연구소 2019 경영경제연구 Vol.41 No.4

Most of portfolio performance measures used in the market do not consider higher order moment risk like skewness or kurtosis. This study suggests generalized Sharpe ratio(GSR) that considers higher order moment risk and proves its consistency and validity empirically. It is summarized as follows. In the first place, cross-sectional correlations among Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio were found between 0.68 and 0.99. But correlation between these performance measures and GSR was located between 0.12 and 0.29. This difference is made because GSR considers higher order moment risk as additional risk factor unlike the other performance measures. In the second place, fund investment strategy based on performance measures except GSR found negative performance. But investment strategy based on GSR found positive expected return and cumulative return similar to market portfolio. These results imply that GSR is more valid as fund performance criteria because it can consider higher order moment risks of target fund. 샤프비율은 대상 펀드가 높은 고차 적률 위험을 가질 경우 기대효용이론과 배치되는 결과를 초래할 수 있으며 펀드 성과 조작에 이용될 수 있다. 본 연구는 대상 펀드가 갖는 고차 적률 위험을 고려한 일반적 샤프비율(GSR:generalized Sharpe ratio)을 제시하고 이를 이용하여 극내 주식형 펀드의 성과를 추정하고 이를 기타의 펀드 성과지표와 비교하였다. 실증 결과 국내 주식형 펀드는 높은 음의 왜도와 첨도 위험을 내포하여 고차 적률 위험을 고려한 성과지표 개발의 필요성을 확인하였다. 구체적으로 GSR은 펀드의 왜도와 양의 상관관계를, 첨도와 음의 상관관계를 발견하였으나 샤프비율을 비롯한 기존의 성과지표들은 경제적으로 유의한 관계를 보여주지 못하였다. 또한 펀드 성과지표를 이용한 투자전략의 경우 GSR이 기타 성과지표보다 높은 실현수익률 및 위험조정 초과수익률을 발견하였다. 전술한 결과로부터 대상 펀드가 높은 고차 적률 위험을 내포할 경우 이를 시장에 공시할 필요가 있으며 이에 대한 위험프리미엄이 반영된 GSR을 기존의 펀드 성과지표에 추가함으로써 펀드평가의 신뢰성과 타당성을 보다 제고시킬 수 있을 것으로 판단된다.

은행권의 경쟁력 확보를 위한 ChatGPT 활용방안 연구

김예지,전두배,김민환,박혜원,홍소현 한국문화융합학회 2023 문화와 융합 Vol.45 No.11

Recently, the banking industry has been implementing AI bankers utilizing artificial intelligence on-site. However, the application of AI bankers has revealed various technical issues, prompting efforts by banks to address and improve them. In this paper, we propose the combination of AI bankers and ChatGPT as one method of improvement. It is anticipated that this combination will alleviate some of the identified issues and bring about diverse changes in banking services. Specifically, we suggest enabling AI bankers to handle customer interactions by leveraging ChatGPT's ability to store and recall previous conversation context. Additionally, we propose expanding the scope of AI bankers by combining them with ChatGPT trained on regional dialects to recognize and incorporate regional expressions. This approach is expected to enhance productivity and efficiency by bankers focusing on other core tasks. Moreover, the introduction of ChatGPT for employees is expected to improve the quality of banking services through accurate task processing, ultimately increasing customer satisfaction.

직업의 교육수준, 숙련기간, 그리고 작업강도를 기준으로 분석한 직종별 적정임금

김예지,전두배,이희재 한국문화융합학회 2022 문화와 융합 Vol.44 No.5

In this study, it was confirmed that wage analysis differentiated by occupations type due to different employment environments for each occupation type is more suitable for multi-linear regression analysis than wage analysis for all occupations. In addition, the effect of education level, skill period, and work intensity on wages by occupations type and the prevailing wage accordingly are analyzed, and a prevailing wage equation for each occupations type is presented. As a result of the analysis, it was confirmed that the coefficient of determination when analyzed together was larger than when the three variables were analyzed individually. And in most occupations, the coefficient of determination when analyzed by occupations was larger than when analyzed the entire occupation. From these results, it can be seen that the more subdivided the variables affecting wages, the higher explanatory power of wage analysis, and the higher the explanatory power when analyzed using data subdivided by occupation than when using all data at once. In additions, it was possible to measure the effect of three variables on the wages of each occupation.

금융상품 가격예측을 위한 수치해석 기법 : 이론과 응용

김문성,전두배,이우찬,박재영 한국정보통신설비학회 2023 한국정보통신설비학회 학술대회 Vol.2023 No.08

고차 적률 위험을 고려한 포트폴리오 성과 평가

김봉준,전두배 성균관대학교 경영연구소 2019 자산운용연구 Vol.7 No.1

Most of portfolio performance measures used in the market do not consider higher order moment risk like skewness and kurtosis. This study presented general Sharpe ratio (GSR) considering higher order moment risk and estimated ex-post performance of zero cost investment strategies based on performance measures including GSR. It is summarized as follows. In the first place, cross-sectional correlations among Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio were found between 0.54 and 0.98. But correlation between GSR and these performance measures was located between 0.19 and 0.67. This difference is due to the fact that GSR considers higher order moments as additional risk factors. In the second place, investment strategy based on individual performance measure found statistically insignificant or negative performance. This supports the efficiency of KOSPI market and implies that it is hard to make a risk-adjusted excess return using performance measures. 샤프비율 등 시장에서 주로 사용되고 있는 포트폴리오 성과지표들은 고차 적률 위험을 고려하지 못한다는 한계가 있다. 본 연구는 대표적 투자자의 효용함수로서 CARA 계열의 부의 지수함수를, 위험자산의 수익률 분포로서 왜도와 첨도 위험을 고려할 수 있는 역가우시안(normal-inverse Gaussian) 분포를 가정한 상태에서 기대효용을 극대화하는 일반적 성과지표(generalized Sharpe ratio, GSR)를 제시하고 이를 이용한 투자전략의 사후적 성과를 추정하였다. 실증 분석 결과는 다음과 같다. 성과지표의 신뢰성과 관련하여 GSR은 기타 성과지표들과 횡단면적으로 0.19~0.67의 상관계수를 발견하였으며 상관계수의 잔여적 차이는 GSR이 고차 적률 위험을 고려하는 특성에서 비롯되었다고 할 수 있다. 성과지표의 타당성과 관련하여 GSR 및 기타 성과지표를 이용한 무비용 투자전략의 실현수익률을 분석한 결과 GSR의 경우 성과 추정치의 통계적 유의성이 없었으며 기타 성과지표의 경우 음의 유의한 성과를 발견하였다. 이는 성과지표가 좋은 종목에 대한 수요가 증가함에 따라 주가가 상승하고 실현수익률이 감소한 결과로 해석할 수 있으며 성과지표가 갖는 정보가치를 국내 유가증권시장이 잘 반영하고 있다는 것을 시사한다.

전략적 부도 유예를 고려한 비소구 주택담보대출 금리 산정

김봉준,전두배 한국재무관리학회 2023 財務管理硏究 Vol.40 No.4

We estimated the interest spread of non-recourse mortgage with strategic default deferment. Specifically, we assessed the value of non-recourse rights using down-and-in barrier option model and transformed it into the interest spread. Empirical results are summarized as follows. First, the interest spread of non-recourse mortgage was proportionate to loan-to-value(LTV) ratio, the interest rate of recourse mortgage, the volatility of housing price, the maturity of loan, rental yield, and the strategic default deferment ratio. But it was inversely proportionate to risk-free interest rate. Second, the interest spread between vanilla option model and barrier option model reflects the value of strategic default deferment. We found that this was proportionate to LTV ratio, the interest rate of recourse mortgage, the volatility of housing price, and the maturity of loan. But it was inversely proportionate to the strategic default deferment ratio and risk free interest rate. Third, we analyzed the correlation between the implied strategic default deferment ratio and loan conditions. We found that the incentive of strategic default increased with risk-free interest rate, while decreased with LTV ratio, the interest rate of recourse mortgage, the volatility of housing price, the maturity of loan, and rental yield.

Analytic solutions for American partial barrier options by exponential barriers

배철한,전두배 강원경기수학회 2017 한국수학논문집 Vol.25 No.2

This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and Ku [10] where the exercise policies are constant.

THE UNIFORM CLT FOR MARTINGALE DIFFERENCE ARRAYS UNDER THE UNIFORMLY INTEGRABLE ENTROPY

배종식,전두배,Shlomo Levental 대한수학회 2010 대한수학회보 Vol.47 No.1

In this paper we consider the uniform central limit theorem for a martingale-difference array of a function-indexed stochastic process under the uniformly integrable entropy condition. We prove a maximal inequality for martingale-difference arrays of process indexed by a class of measurable functions by a method as Ziegler [19] did for triangular arrays of row wise independent process. The main tools are the Freedman inequality for the martingale-difference and a sub-Gaussian inequality based on the restricted chaining. The results of present paper generalizes those of Ziegler [19] and other results of independent problems. The results also generalizes those of Bae and Choi [3] to martingale-difference array of a function-indexed stochastic process. Finally, an application to classes of functions changing with n is given.

The second central limit theorem for martingale difference arrays

배종식,전두배,Shlomo Levental 대한수학회 2014 대한수학회보 Vol.51 No.2

In Bae et al. [2], we have considered the uniform CLT for the martingale difference arrays under the uniformly integrable entropy. In this paper, we prove the same problem under the bracketing entropy condition. The proofs are based on Freedman inequality combined with a chaining argument that utilizes majorizing measures. The results of present paper generalize those for a sequence of stationary martingale differences. The results also generalize independent problems.

비소구 담보대출 금리 산정에 관한 연구

김봉준,전두배 한국재무학회 2016 한국재무학회 학술대회 Vol.2016 No.05

본 연구는 비소구 담보대출에서 비소구권의 가치를 구하고 이를 가산금리의 형태로 산 정하는 방법을 제시한다. 비소구권 담보대출이란 채권자가 담보자산 외의 채무자의 기 타 자산이나 소득에 대해 추심권을 행사할 수 없는 대출상품이다. 비소구 담보대출은 채권자의 소구권 행사로 인한 추심을 사전적 보험으로 전환시키는 것이므로 그 보험료 에 해당하는 가산금리를 정확히 계산하는 것은 매우 중요하다. 따라서 본 연구에서는 미국형 풋옵션을 도입하여 가산금리를 계산하는 방법을 소개하고 풋옵션의 가치에 의해 얻어진 가산금리를 다양한 방법의 시뮬레이션을 통해 비교 설명한다. 또한 다양한 실증 결과를 제시하고 이의 경제적 의미를 분석하였다.