DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Park, Sunyoung | - |
dc.contributor.advisor | 박선영 | - |
dc.contributor.author | Kim, Kanghyun | - |
dc.date.accessioned | 2018-06-20T06:17:48Z | - |
dc.date.available | 2018-06-20T06:17:48Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=675217&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/243019 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2017.2,[iii, 37 p. :] | - |
dc.description.abstract | Since the Global financial crisis in 2007, identifying the systemic risk and discovering its characteristics have been a focus of research. However, the distinction between the role of systemic risk and the systematic risk remains unclear and is sometimes confusing. In this paper, we exploit three types of systemic risk measurements and examine their role as a systematic risk component in the equity market. We first construct the systemic risk factors by using the portfolio mimicking methods. Then we analyze the systemic risk factors through the lens of the empirical asset pricing test to determine whether the factors are systematically priced in the equity market. As a result, we empirically find evidence that the systemic risk factors are systematically priced in the equity market, indicating that the systemic risk is compensated for the higher returns. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | systemic risk | - |
dc.subject | systematic risk | - |
dc.subject | empirical asset pricing model | - |
dc.subject | Fama French 5 factor model | - |
dc.subject | mimicking portfolio | - |
dc.subject | 시스템 위험 | - |
dc.subject | 체계적 위험 | - |
dc.subject | 자산가격 결정모형 | - |
dc.subject | 파마-프렌치 5요인 모형 | - |
dc.subject | 포트폴리오 모방기법 | - |
dc.title | Is systemic risk systematic? | - |
dc.title.alternative | 시스템 리스크는 체계적 위험인가? | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :산업및시스템공학과, | - |
dc.contributor.alternativeauthor | 김강현 | - |
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