Jaeho Yun

Ewha Womans University

11-1 Daehyun-dong

Seodaemun-gu

Seoul 120-750, Seoul Seoul 120

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

3

DOWNLOADS

103

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Measuring Systemic Risk in the Korean Banking Sector via Dynamic Conditional Correlation Models

Bank of Korea WP 2013-27
Number of pages: 38 Posted: 27 Mar 2015
Jaeho Yun and Hyejung Moon
Ewha Womans University and The Bank of Korea
Downloads 73 (324,501)
Citation 2

Abstract:

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Systemic Risk, DCC (dynamic conditional correlation) model, MES (marginal expected shortfall), CoVaR, Threshold VAR

2.

SRISK 모형을 이용한 은행부문 시스템적 리스크 분석: 데이터빈도별 성과 분석 (Performance Analysis of the Systemic Risk Measures with Different Data Frequencies)

Financial Stability Studies, Vol. 15, No. 1, Korea Deposit Insurance Corporation(KDIC), 2014, pp. 99-128.
Number of pages: 30 Posted: 11 Aug 2017 Last Revised: 09 Jan 2019
Jaeho Yun
Ewha Womans University
Downloads 19 (532,424)

Abstract:

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시스템적 리스크, SRISK 모형, DCC(dynamic conditional correlation) 모형, 조기경보변수, Systemic Risk, SRISK Model, DCC(dynamic conditional correlation) Model, Early Warning Index

3.

EVT 및 CAViaR 모형에 의한 국고채 VaR 예측모형 분석 (VaR Forecasts for Korea Treasury Bonds via EVT and CAViaR Models)

Financial Stability Studies, Vol. 19, No. 1, Korea Deposit Insurance Corporation(KDIC), 2018, pp. 1-38.
Number of pages: 38 Posted: 03 Jul 2018 Last Revised: 10 Jan 2019
Jaeho Yun
Ewha Womans University
Downloads 11 (580,984)

Abstract:

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VaR(value at risk), 국고채, EVT(extreme value theory), CAViaR(conditionalautoregressive value at risk, VaR (value at risk), Korea Treasury Bonds, EVT (extreme value theory), CAViaR (conditional autoregressive value at risk)