PART 01
시장리스크 관리

CHAPTER 01 VaR: 소개
1절 위험의 정의 ·························································· 2
2절 재무위험의 유형 ·················································· 4
1 시장위험 _ 4
2 신용위험 _ 4
3 결제위험 _ 5
4 유동성위험 _ 5
5 운영위험 _ 6
6 법적위험 _ 6
3절 파생상품과 위험관리 ··········································· 7
4절 VaR의 정의 12
5절 위험측정의 두 가지 접근방법 ·························· 13
6절 전통적인 위험측정치와 ALM기법의 문제점 14
1 전통적인 위험측정치 대 VaR _ 14
2 ALM과 VaR _ 16
7절 VaR의 계산 19
8절 리스크메트릭스 ·················································· 21
9절 VaR의 용도 및 한계 23
1 VaR의 용도 _ 23
2 VaR의 한계 _ 24
단원정리문제 ································································· 28

CHAPTER 02 기초지식
1절 통계학 기초지식 ················································ 30
1 기댓값과 분산 _ 30
2 공분산 _ 31
3 포트폴리오의 분산 _ 32
4 표본추정치 _ 32
5 정규분포 _ 33
2절 수익률 계산 ························································ 38
1 시계열적 합산과 횡단면적 합산 _ 39
2 경제적 의미 _ 41
3 일관성 유지 _ 42
3절 평균과 표준편차의 기간별 합산 ······················ 42
단원정리문제 ································································· 45

CHAPTER 03 VaR의 측정
1절 보유기간과 신뢰수준의 선택 ···························· 47
2절 절대손실 VaR와 평균기준 VaR 49
3절 비모수적 방법 ···················································· 50
4절 모수적 방법 ························································ 52
1 정규분포 가정하의 VaR _ 52
2 VaR 간의 비교 _ 54
3 VaR의 추정오차 _ 55
5절 포트폴리오 VaR와 공헌VaR 57
1 분산효과 고려 전 VaR와 분산효과 고려 후 VaR _ 58
2 한계VaR, 증분VaR, 공헌VaR의 개념 _ 63
6절 계산 예：개별 VaR, 포트폴리오VaR,
공헌VaR 66
1 개별 VaR _ 66
2 포트폴리오의 VaR _ 67
3 분산효과 _ 69
4 공헌VaR의 계산 _ 70
5 종합 예시 _ 72
6 시계열적으로 독립적이지 않은 경우의 VaR 계산
_ 76
7절 극한 VaR 77
8절 자산의 유형과 매핑 ··········································· 78
1 선형자산과 비선형자산 _ 78
2 매핑 _ 80
단원정리문제 ································································· 82

CHAPTER 04 변동성의 추정
1절 변동성 군집현상 ················································ 84
2절 변동성과 상관계수 추정 방법 ·························· 91
1 단순이동평균법을 이용하는 방법 _ 91
2 EWMA방법 _ 93
3 EWMA모형에 의한 공분산 추정 _ 98
4 최적 λ 선택 _ 99
첨부 1 Matrix Algebra 101
첨부 2 EXCEL을 이용한 VaR 계산 103
단원정리문제 ······························································· 104

CHAPTER 05 다양한 VaR 측정방법
1절 VaR의 측정방법 소개 106
2절 분석적 분산－공분산방법 ······························· 107
3절 역사적 시뮬레이션 ··········································· 109
4절 구조적 몬테카를로 시뮬레이션 ······················ 112
1 모형 1 _ 114
2 가격변화과정 시뮬레이션 _ 115
3 모형 2 _ 116
4 예시：몬테카를로 시뮬레이션에 의한 옵션의 VaR _ 117
5 촐레스키 분해 _ 119
5절 위기상황분석 ···················································· 122
6절 접근방법의 비교 ·············································· 126
7절 VaR의 사후검증 127
1 BIS 접근방법 _ 127
2 쿠피엑 모형 _ 128
3 모건사의 DEaR의 검증 _ 130
단원정리문제 ······························································· 132

CHAPTER 06 델타-노말방법의 적용: 주식, 외환, 채권
1절 주식포지션의 VaR 134
1 주식 VaR의 도출 _ 134
2 계산 사례 _ 136
3 베타의 측정과 의미 _ 141
4 베타모형의 실제 적용 _ 143
2절 외환의 VaR 146
3절 채권의 VaR 149
1 채권의 전통적인 위험측정치 _ 149
2 수평수익률곡선 가정하의 채권 VaR _ 155
3 현금흐름매핑에 의한 VaR _ 156
4절 상대 VaR 166
5절 변동금리채권의 VaR 169
단원정리문제 ······························································· 172

CHAPTER 07 델타-노말방법의 적용: 파생상품
1절 선형파생상품 ···················································· 175
1 선물계약의 VaR _ 175
2 통화선도계약의 VaR _ 176
3 선도금리계약의 VaR _ 182
4 유로달러선물의 VaR _ 185
5 금리스왑의 VaR _ 188
6 역변동금리채권의 VaR _ 191
2절 비선형파생상품 ： 옵션 ·································· 193
1 옵션의 복제 _ 193
2 헤징모수 _ 195
3 델타－노말방법 _ 198
4 델타－노말방법의 문제점 _ 200
5 델타－감마방법 _ 202
6 코니시－피셔 확장식을 이용한 VaR _ 206
7 사례연구：리슨의 스트래들매도 포지션의 VaR _ 210
단원정리문제 ······························································· 213

CHAPTER 08 VaR의 용도
1절 정보보고 ··························································· 216
2절 포지션한도와 자원배분 ··································· 218
3절 실적평가 ··························································· 219
1 뱅커스트러스트 은행의 RAROC _ 219
2 리스크메트릭스 실적평가시스템 _ 221
3 공헌VaR에 의한 실적평가 _ 224
4절 비금융기관의 VaR 용도 225
5절 감독기관 ··························································· 230
1 바젤위원회 _ 230


PART 02
신용리스크 관리

CHAPTER 01 신용위험 기초
1절 신용위험의 정의 ·············································· 246
2절 신용위험이 중요한 이유 ································· 247
1 기업의 채무불이행률 증가와 담보가치 불확실성의 증가 _ 247
2 정부부채의 증가 _ 248
3 금융시장 환경의 변화와 수익성 악화 _ 250
4 부외파생상품의 증가 _ 251
5 기술의 발전 _ 252
6 감독기관의 요구 _ 252
3절 신용위험의 특성 ·············································· 253
4절 신용위험 분산효과 ··········································· 257
1 결합확률과 채무불이행 상관계수 _ 258
2 신용위험 분산효과 예시 _ 258
3 채무불이행 상관계수의 계산 예시 _ 261
4 포트폴리오모형의 적용 _ 264
단원정리문제 ······························································· 266
5절 위험중립 채무불이행확률의 추정 ·················· 285
1 채권가격으로부터의 위험중립 채무불이행확률의
추정 _ 285
6절 위험중립 채무불이행확률 계산 예시 ············· 287
7절 신용등급변화 ···················································· 289
1 신용등급변화과정 _ 289
2 신용등급변화가 채권가치에 미치는 영향의 측정
_ 292
3 교차전략 _ 293
8절 회수율의 추정 ·················································· 293
1 실제의 회수율 자료 _ 294
2 유통시장의 자료에 기초한 회수율 _ 296
9절 국내 자료 ·························································· 299
10절 채무불이행률과 회수율간의 상관성 ·············· 300
1 신용위험 대 시장위험 _ 253
2 신용위험측정모형의 기법 _ 255
3 신용위험측정기법의 역사적 변천 _ 256
단원정리문제 ······························································· 302

CHAPTER 02 채무불이행확률과 회수율의 추정
1절 위험중립가치평가의 기본 원리 ······················ 268
1 이항분포모형과 위험중립가치평가 원칙 _ 268
2 계산 예시 _ 271
2절 위험채권의 가치평가 ······································· 273
3절 채무불이행의 정의 ··········································· 278
4절 역사적 채무불이행률 ······································· 279

CHAPTER 03 전통적인 신용위험 평가모형
1절 신용분석··························································· 304
2절 신용평점모형 ···················································· 307
1 Z-score 모형 _ 307
2 모형 검증 _ 310
3절 신경망분석························································ 312
단원정리문제 ······························································· 315

CHAPTER 04 개별 신용위험 측정기법
1절 KMV 모형 317
1 대출과 옵션 간의 관계 _ 318
2 KMV 모형 _ 320
3 머튼 모형：채무불이행위험의 구조적 모형 _ 326
2절 크레디트메트릭스 ············································ 332
1 크레디트메트릭스의 구조 _ 332
2 노출규모의 측정 _ 334
3 개별위험의 측정 _ 336
4 신용등급변화확률표의 문제점 _ 343
5 기대외손실과 신용 VaR _ 343
3절 CreditPortfolioView 344
4절 CreditRisk+와 축약모형 348
1 CreditRisk+ _ 348
2 신용위험 평가모형 간의 비교 _ 353
단원정리문제 ······························································· 356

CHAPTER 05 포트폴리오 신용위험 관리기법
1절 포트폴리오 분산효과 ······································· 358
1 포트폴리오의 분산효과 _ 359
2 다각화점수 _ 360
2절 KMV의 Portfolio Manager 362
1 수익률 _ 362
2 위험 _ 363
3 채무불이행 상관계수 _ 363
4 계산 예시 _ 365
3절 크레디트메트릭스 ············································ 367
1 결합확률 _ 368
2 신용등급변화와 자산가치 _ 369
3 포트폴리오의 가치 _ 372
4 상관계수 추정 _ 373
5 분석적 방법 _ 376
6 시뮬레이션 _ 379
7 포트폴리오 관리 _ 383
단원정리문제 ······························································· 390

CHAPTER 06 장외파생상품의 신용위험 측정
1절 장외파생상품의 신용위험 ······························· 392
1 스왑의 신용위험 _ 393
2 금리스왑의 가치평가 _ 393
2절 장외시장의 신용증대제도 ······························· 395
1 상계협약 _ 395
2 상대방별 포지션 한도 _ 396
3 증거금과 담보 요구 _ 397
4 계약종료조항 _ 397
5 이자율 조정 _ 397
3절 신용위험 측정 ： BIS 접근방법 398
1 BIS 접근방법 _ 398
2 계산 예시 _ 400
4절 자산별 신용위험노출금액 ······························· 401
5절 위험노출금액의 시간적 변화 ·························· 403
1 이자율의 확률과정 _ 403
2 노출규모의 시간적 변화 _ 406
3 금리확산효과와 만기효과 _ 407
4 최대노출과 기대노출 _ 411
단원정리문제 ······························································· 412

CHAPTER 07 국가위험 평가모형
1절 국가위험 ··························································· 414
2절 국가신용위험 평점 시스템 ····························· 416
3절 국가신용위험관리 ············································ 420
단원정리문제 ······························································· 423

CHAPTER 08 신용파생상품
1절 신용파생상품 개요 ··········································· 424
2절 신용스왑 ··························································· 426
1 기본구조 _ 426
2 중요성과 가격조정 조항 _ 431
3 종료정산금액 _ 432
4 신용스왑 예시 _ 433
5 바스켓 신용스왑 _ 434
6 CDS지수 _ 434
7 ISDA의 신용사건 _ 435
3절 TRS 436
1 기본구조 _ 436
2 위험매입자가 TRS에 참여하는 이유 _ 441
3 위험매도자가 TRS 계약을 체결하는 이유 _ 443
4 Repo와 TRS _ 444
4절 신용연계채권(CLN) 445
5절 신용스프레드옵션 ············································ 448
1 신용스프레드옵션 _ 448
2 신용스프레드옵션：예시 _ 449
6절 신용스왑의 가치평가 ······································· 450
1 채무불이행확률을 이용하는 방법 _ 451
2 신용스프레드 접근방법 _ 451
3 주가 접근방법 _ 453
4 자산스왑을 이용한 정적복제포트폴리오 구성방법 _ 453
5 정교한 위험중립 채무불이행확률 방법 _ 455
7절 신용파생상품 응용 사례 ································· 457
단원정리문제 ······························································· 464

CHAPTER 09 자산매각, 유동화, CDO
1절 대출매각 ··························································· 467
1 대출매각방식 _ 467
2 Good bank-bad bank _ 468
3 대출매각 이유 _ 469
2절 자산유동화 ························································ 470
1 기본구조 _ 470
2 신용보강 기법 _ 472
3 자산유동화의 이유 및 효과 _ 475
3절 CDO 477
1 CDO의 유형 _ 478
2 IC검증과 OC검증 _ 479
3 합성CDO _ 480
단원정리문제 ······························································· 484
실전예상문제 ······························································· 486