동아시아 통화 포트폴리오의 의존성과 위험측정: Copula접근방법을 중심으로

조광조 ( Kwang Jo Jo ) 한국경제통상학회 2006 경제연구 Vol.24 No.2

동아시아 통화 포트폴리오의 의존성과 위험측정

조광조(Kwang-Jo JO) 조선대학교 지식경영연구원 2008 기업과 혁신연구 Vol.1 No.2

본 연구는 미국 달러를 중심으로 한 동아시아 통화 포트폴리오의 의존성과 위험(VaR, ES)을 Copula를 이용하여 실증 분석하였다. 분석결과 첫째, 달러대 싱가포르 달러환율과 달러대 말레이시아 링기트환율의 상호의존성이 가장 높게 나타났다. 둘째, 달러대 동아시아국가들의 환율은 외환위기를 겪으면서 환율의 극단적 의존성이 커졌다. 셋째, Gumbel Copula, Galambos Copula, Husler and reiss Copula, Twan Copula, bb5 Copula중 Twan Copula의 왼쪽 꼬리와 오른쪽 꼬리의 AIC지수가 가장 낮아 GPD모형에 가장 적합한 것으로 나타났다. 넷째, 달러대 홍콩달러환율과 달러대 싱가포르 달러환율의 포트폴리오가 위험척도인 VaR및 ES가 가장 작았다. 다섯째, 각국 환율포트폴리오의 의존성과 VaR 및 ES가 어느정도 상관관계가 있는 것으로 나타났다. This paper presents an application of copula methodology in modelling joint distributions with fat tails. We select Peaks-Over-Threshold(POT) method and use Generalized Pareto Distribution(GPD) as the marginal distribution, We use the Gumbel Copula, Galambos Copula, Husler and reiss Copula, Twan Copula, bb5 Copula. We fit these copulas to daily Currencies portfolio returns of East Asia countries and use upper and lower tail dependence. Empirical result show that asymptotic dependence exist between $/SIN$ and $/MAL. And such dependence become stronger after Asian Financial Crisis. The twan copula is clearly a better fit to the bivariate returns than another copula. The portfolio VaR of $/hongkong $ and $/singapore $ are means that with 5% probability, the portfolio could lose 0.231006% or more in one day. If the return is less than 0.231006%, then, average, the loss is 0.347388%.

KODEX 레버리지 ETF와 KOSPI 200의 상관관계와 괴리율분석

조광조 ( Kwang Jo Cho ) 한국금융공학회 2013 금융공학연구 Vol.12 No.2

본 연구는 우리나라 KODEX 레버리지 ETF, NAV와 KOSPI 200 지수 현물의 상관관계를 살펴보기 위해 2010년 2월 22일부터 2012년 8월 31일까지 1분단위의 일중 시계열 자료를 사용하고 괴리율은 일별자료를 사용하여 벡터오차수정모형(VECM)으로 추정하였다. 분석결과 첫째, NAV는 KODEX 레버리지 ETF에 정(+)의 영향을 미치는 것으로 나타났다. 둘째, ETF 시가총액은 괴리율에 부(-)의 영향을 미치는 것으로 나타났다. 셋째, ETF 변동성은 괴리율에 정(+)의 영향을 미치는 것으로 나타났다. 넷째, 외국인 투자비중은 괴리율에 부(-)의 영향을 미치는 것으로 나타나고 있다. 다섯째, 그랜져인과관계 분석결과 KOSPI 200과 NAV, KODEX 레버리지 ETF와 NAV, KODEX 레버리지 ETF와 KOSPI 200의 쌍방인과관계가 존재하였다. This paper examines relationships among KODEX leverage ETF, NAV and KOSPI200 spots. Such relationships are explored by estimating the Granger causality, impulse response function, and forecast error variance decomposition based on one minute returns data from February 22, 2010 to August 31, 2012. For the analysis, I use “differentials,” which are the discount or premium between NAV and ETF market price. The empirical results are summarized as follows: First, VECM estimation results indicate that NAV effects positive for KODEX leverage ETF. Second, Total amounts of ETF effects negative for differentials. Third, Volatility of ETF effects positive for differentials. Fourth, foreigner effects negative for differentials. The findings of the Granger Causality test indicate that KOSPI200 spots and NAV sequences Granger cause in both directions and KODEX leverage ETF and NAV sequence Granger cause in both directions, KODEX leverage ETF and KOSPI200 spots sequence Granger cause in both directions.

KODEX레버리지 ETF의 차익거래 전략

조광조(Kwang-Jo, Cho) 한국산업경제학회 2012 한국산업경제학회 정기학술발표대회 논문집 Vol.- No.추계

동아시아 통화 포트폴리오의 의존성과 위험측정 - Copula접근방법을 중심으로

조광조(Kwang-Jo Jo) 한국경제통상학회 2006 경제연구 Vol.24 No.2

  본 연구는 동아시아 금융위기 전후 상황에서 Copula를 이용하여 통화 포트폴리오의 의존성과 위험(VaR, ES)을 실증 분석하였다. 분석결과 첫째, 원화대 달러환율과 원화대 홍콩달러 환율의 상호의존성이 가장 높게 나타났다. 둘째, 동아시아국들은 외환위기를 겪으면서 국가들간의 환율의 극단적 의존성이 확연히 커졌다. 셋째, Gumbel Copula, Galambos Copula, Husler and reiss Copula, Twan Copula, bb5 Copula중 Twan Copula의 왼쪽 꼬리와 오른쪽 꼬리의 AIC지수가 가장 낮아 GPD모형에 가장 적합한 것으로 나타났다. 넷째, 원화대 홍콩달러환율과 원화대 싱가포르 달러환율의 포트폴리오가 위험척도인 VaR와 ES가 가장 작아 위험이 적은 것을 의미한다. 다섯째, 각국 환율포트폴리오의 의존성과 VaR 및 ES가 어느정도 상관관계가 있는 것으로 나타났다.   This paper presents an application of copula methodology in modelling joint distributions with fat tails. We select Peaks-Over-Threshold(POT) method and use Generalized Pareto Distribution(GPD) as the marginal distribution, We use the Gumbel Copula, Galambos Copula, Husler and reiss Copula, Twan Copula, bb5 Copula. We fit these copulas to daily Currencies portfolio returns of East Asia countries and use upper and lower tail dependence.<BR>  Empirical result show that asymptotic dependence exist between ?/$ and ?/hongkong$. And such dependence become stronger after Asian Financial Crisis. The twan copula is clearly a better fit to the bivariate returns than another copula. The portfolio VaR of ?/hongkong $ and ?/singapore $ are means that with 5% probability, the portfolio could lose 0.241489% or more in one day. If the return is less than -0.241489%, then, average, the loss is 0.501958%.

EU 탄소배출권 가격의 결정 요인에 관한 연구

조광조(Kwang Jo Cho) 한국무역연구원 2014 무역연구 Vol.10 No.6

Recognizing the seriousness of global warning, international society is trying to reduce greenhouse gas emission through the United Nations Framework Convention on Climate Change. In particular, the establishment of the Kyoto Protocol has kindled interest on the emission trading scheme. Following the current movement, Korea is also planning to implement the emissions trading scheme in 2015. Currently, the largest market is the European market, and the price of EUA(European Union Allowances) has important effects on the countries and corporate entities in Europe, as well as on the offshore countries. This study aims to analyze primary factors influencing the price of EUA by reviewing the mechanism of the emission trading scheme in the European market. Energy factors(coal, oil and natural gas), price of electricity, economic variables(European Industrial Production Index) and climate factors(Temperature, Precipitation), are used as the primary variables affecting the prices of EUA. Data analysis included estimating Granger causality, impulse response function, and forecast error variance decomposition based on monthly data from December 2008 to November 2014. The empirical results are summarized as follows: First, VECM estimation results indicate that coal prices, gas indices, European Production Industrial Production indices, Temperature, CER are negative for EUA indices. Brent indices, future price of electricity, Precipitation are positive for EUA. Second, The findings of the Granger Causality test indicate that EUA future indices and CER future indices sequence Granger causality in both directions.

부산광역권의 장기예측과 경제분석을 위한 다지역계량경제모형의 개발

윤성민 ( Seong Min Yoon ),정병우 ( Byung Woo Jeong ),조광조 ( Kwang Jo Jo ),이영준 ( Yung Joon Lee ) 한국경제통상학회 2006 경제연구 Vol.24 No.1

복부 대동맥류 치료 후 발생한 인조혈관이식편감염 치험 2예 : 2 Cases

조광조 대한혈관외과학회 2003 Vascular Specialist International Vol.19 No.1

하지 정맥류에서 광투시정맥흡입술의 임상적 경험

조광조 대한혈관외과학회 2002 Vascular Specialist International Vol.18 No.2

Purpose: The removal of varicose vein using a minimally invasive, transilluminated vein-extracting device (TriVex system) with cutaneous transillumination and tumescent anesthesia technique was newly developed and became popular in USA. This study was performed to evaluate its efficacy and safety. Method: The author performed TIPP (Transilluminated powered phlebectomy) procedure in 90 patients 118 legs from Feb 2001 to March 2002. The patients were 26 men and 64 women and their age ranged in from 19 to 65 (46.3±10.7) years. The preoperative evaluation was performed with Dupplex Doppler ulatrasound scan. All patients were admitted before the day of the surgery and discharged on the day or the next day of the surgery. The operation was performed under spinal or general anesthesia. The greater saphenous vein was ligated and in the saphenofemoral junction and stripped out to the knee with stripper under inguinal incision and then the varicose vein was removed with TriVex system. After the operation the patients were discharged at the day of the surgery and followed up at OPD for an average of 43 ±16 days. Result: The mean operative time was 61.6±25.7 min, the average numbers of small incision per leg were 3.4±1.3, and the average admission period was 1.6±0.8 days. These data were far different from those of conventional varicosectomy in previous periods. There were 2 cases of subcutaneous infection at medial calf and one case of remnant varicsoe vein which need reoperation with the TIPP. There was no permanent complication like paresthesia or skin changes. The pain and cosmetic outcome were so excellent that all patient had no limitation in daily life in a week after the procedures. Conclusion: The transilluminated powered phlebectomy in varicose vein is safe, efficacious and cosmetically satisfactory.

족부 우회로술의 임상경험

우종수,조광조 대한혈관외과학회 2001 Vascular Specialist International Vol.17 No.2

Purpose: Bypasses to the infra-inguinal arteries using autologous vein are now routinely used for limb salvage and as this technique has evolved, the distal limits of revascularization have been extended to near the ankle or in the foot. As the prevelances of chronic renal failure, diabetes and Buergers disease increased, the more infrapopliteal arterial occlusions were detected. But the safety and effect of pedal bypass was not reported so much in our society. So we studied our cases of ankle bypass to find out its effect on preventing from primary amputation in infrapopliteal arterial occlusive diseases. Method: From July 2000 to December 2000, 12 cases of ankle bypasses were performed and followed most of them up to May 2001. The underlying diseases included 6 cases of atherosclerosis obliterance and 6 cases of Buerger`s disease. Surgical indications were 9 minor toe gangrene, 2 major gangrene and 1 intractable resting pain. The surgical procedures were 3 popliteo-distal bypasses, 3 popliteo-distal bypasses after femoral thrombectomy, 2 above knee popliteo-below knee popliteo-distal sequential bypasses, 2 combined bypasses of femoro-above knee popliteal bypass and below knee popliteo-distal bypass, and 2 femoro-above knee popliteo-below knee popliteo-distal sequential bypasses. The distal bypass sites were 8 posterior tibial artery (PTA) near medial malleolous, 2 dorsalis pedis (DP) and 2 PTA-DP sequentially. Result: There were 2 cases of early occlusion from graft thrombosis and 1 case of late occlusion from inflow embolism. These 3 cases were revised and rebypassed. There was one case of amputation due to deep metatarsal infection. One patient with atherosclerosis died of acute myocardial infarction a month after bypass operation. One patient who underwent bilateral bypass was lost to follow up. The others showed patent graft unil may 2001. 3 patients underwent toe amputation but they didn't have any problem in bipedal ambulation. Conclusion: Ankle bypass is safe and promising procedure in infrainguinal arterial occlusive disease.