서지주요정보
현물원유의 수입으로 인한 시장위험의 측정에 관한 연구 : value at risk 방법으로 = A study on measuring the market risk of imported spot crude oil using value at risk method
서명 / 저자 현물원유의 수입으로 인한 시장위험의 측정에 관한 연구 : value at risk 방법으로 = A study on measuring the market risk of imported spot crude oil using value at risk method / 안계수.
저자명 안계수 ; An, Gye-Su
발행사항 [대전 : 한국과학기술원, 2000].
Online Access 원문보기 원문인쇄

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8011296

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학술문화관(문화관) 보존서고

MGSM 00082

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9006370

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MGSM 00082 c. 2

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초록정보

When oil companies in Korea import crude oil in a spot market, the companies face three market risks: price risk, foreign exchange risk, and interest rate risk. Meanwhile, energy companies, such as Mobil and BP Amoco, manage the market risk of derivatives using Value at Risk. This paper put an emphasis on measuring the risks because we could not find the empirical papers which measured the market risks of imported physical commodities. Additionally, I try to find out the inter-relationship among these risks, and the differences between physical commodities and financial instruments in measuring the risks and using VAR. For simplification of measuring the risks, I make assumptions as follows: First, oil companies purchase spot crude oil every three days or every ten days. Secondly, the price of spot crude oil is fixed at the time of entering into a contract. Finally, the amount of the oil is paid with issuing zero coupon bond maturing in three months, and the discounted rate of the bond is based on Certificate of Deposit( ninty-one day ) interest rate. There is a time difference between the price risk and the financial risks. But the price risk and the financial risks can be measured separately because of no Granger- causality and correlation between the two risks. As a result of measuring the volitility using GARCH(1,1)model, the volitilities are homoscedastic except the volitility of the three-day return of spot crude oil price. Historical VARs change a little bit in the two purchasing cycles, but Delta-normal VARs show dramatic change in the cycles. That is because the kurtosis of the three- day purchasing cycle is much higher than that of the ten-day purchasing cycle. The position of the portfolios to measure the risks is negative but that of financial instruments is positive. Also, the adjustment of the position is highly limited and VAR is useful to determine whether to hedge or not.

서지기타정보

서지기타정보
청구기호 {MGSM 00082
형태사항 vi, 50 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Gye-Su An
지도교수의 한글표기 : 김동석
지도교수의 영문표기 : Tong-Suk Kim
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 49-50
주제 현물원유의 시장위험
가격위험
환위험
이자율위험
Market risks of spot crude oil
Price risk
Foreign exchange risk
Interest rate risk
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