To better understand the dynamics of the asset prices in the financial markets, identifying and testing the role of the financial risks embedded in the asset price are critical. In this thesis, we analyze the financial capital markets in the modern finance system through the lens of the various financial risks. In the second chapter, we focus on identifying the new systematic risk that is significantly priced in the Korean equity market. Specifically, we theoretically identify the existence of new systematic risk, then empirically discover the new source of the risk is systematically priced by employing empirical asset pricing tests: Political event risk. We extend the empirical analysis of the financial risks in equity markets to markets of the United States. After the global financial crisis from late 2007, the existence and managing systemic risk is highlighted by academics, bankers, and regulators. In the second chapter, we test the systemic risk as the potential new source of the systematic risks in the equity markets. As a result, we find the empirical evidences that the systemic risk is historically identified as the systematic risks in the U.S. equity markets. In the fourth chapter, we investigate how the same sovereign credit risk is priced in different types of financial markets, bond (debt) and Credit Default Swap (CDS) (derivative) markets. The difference between the CDS spreads (price) and the bond spreads is called the CDS-BS basis, which captures the discrepancy of the same credit risk, and is studied to explain why such discrepancy exists using the Markov switching regressions. Then, we exploit the price discovery measure to discover the relative market efficiency in terms of the informational advantage. Lastly, we analyze the role of credit risk in the structured product markets, represented by Korean Equity Linked Securities (ELS). In this chapter, we find empirical evidences that the credit risk of the issuer is incorporated in the returns of the ELS. ELS that is issued by higher credit risk issuer provides higher ELS coupon rates to compensate the investors for extra credit riskiness. Especially, we exploit the new method to capture the returns of the ELS without using any price dynamic model assumption that causes potential mispricing or bias results.
이 논문에서는 자본시장에 내재된 금융위험들에 관하여 실증적으로 다루었다. 금융위험들은 자산가격을 결정짓는 매우 중요한 요소이며, 자산가격들의 움직임과 자본시장을 이해하는데 필수적인 요소이다. 2장에서는 한국 주식시장에서 미래 정권에 대한 불확실성을 리스크화 시킨 정치적위험이 체계적 위험인지를 실증자산가격결정 모델을 통해 분석하였다. 3장에서는 미국 주식시장에서 시스템적 위험과 체계적 위험의 관계를 분석하였으며, 시스템적 위험 역시 체계적 위험으로서 주식시장에 내재되 있는 것을 실증적으로 보였다. 4장에서는 동등한 채무자의 신용위험이 국가 채권시장과 신용부도스왑(CDS)시장에서 동등하게 내재되어 있는지를 마코브 전환 모형을 사용한 신용위험의 불일치와 정보의 효율성 측면에서 분석하였다. 5장에서는 구조화 상품 시장인 ELS 시장에서 신용위험의 내재성을 발행자의 신용위험과 ELS의 수익률과의 관계를 통해 분석하였다. 이러한 연구들을 통하여 자본시장에 내재된 자산가격을 결정하는 다양한 금융위험들에 대한 이해를 높이고자 하였다.
