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한국 채권지수에 대한 개발 및 분석

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Alternative Title
Development and Analysis of Korean Bond Indices
Abstract
본 연구에서는 국내 채권지수의 문제점을 개선한 채권지수의 개발 방법론을 제시하고 제시된 개발 방법론에 따라 NICE 채권평가 주식회사의 채권자료를 바탕으로 채권지수를 개발하였다. 본 개발방법은 채권 포트폴리오 이론을 이용하여 개별 채권의 수익률로부터 분류별, 시장전체에 대한 채권지수를 쉽게 구성할 수 있을 뿐만 아니라 채권지수에 대한 보조지표 계산 및 총수익 분해를 보다 정밀하게 수행할 수 있는 장점을 갖고 있다.

개발된 지수를 이용하여 국내 채권시장을 분석한 결과 국내 채권시장은 위험 한 단위당 요구되는 수익률이 미국 채권시장보다 크다는 것을 볼 수 있었으며 국내 주요 채권지수사이의 상관관계는 미국 채권시장의 경우보다 훨씬 낮게 나타남을 볼 수 있었다. 또한 채권지수의 평균 듀레이션(위험)이 증가하인 연 평균수익률도 증가하는 위험-수익 교환관계가 나타남을 볼 수 있었다.
In this paper, we derive a methodology to calculate the Korean bond indices which can overcome the problems of current bond indices. Also, we compute the values of Korean bond indices by using the methodology and the data of NICE Pricing Services. With the methodology, we can easily compute the bond indices of group and market from individual bond return and clearly divide the total yield into capital gain and interest income.

From the results of this study, we can find the followings. First, the required return for the unit risk of Korean bond market is higher than that of American bond market. Second, the correlation between the major bond indices of Korean bond market is lower than that of American bond market. Third, the risk-return tradeoff relationship is observed in Korean bond market - the expected return increases as the duration (risk) increases.
In this paper, we derive a methodology to calculate the Korean bond indices which can overcome the problems of current bond indices. Also, we compute the values of Korean bond indices by using the methodology and the data of NICE Pricing Services. With the methodology, we can easily compute the bond indices of group and market from individual bond return and clearly divide the total yield into capital gain and interest income.

From the results of this study, we can find the followings. First, the required return for the unit risk of Korean bond market is higher than that of American bond market. Second, the correlation between the major bond indices of Korean bond market is lower than that of American bond market. Third, the risk-return tradeoff relationship is observed in Korean bond market - the expected return increases as the duration (risk) increases.
Author(s)
조희연홍준
Issued Date
2002
Type
Research Laboratory
URI
https://oak.ulsan.ac.kr/handle/2021.oak/3662
http://ulsan.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000002025042
Alternative Author(s)
Cho, He YounHong, Jun
Publisher
경영학연구논문집
Language
kor
Rights
울산대학교 저작물은 저작권에 의해 보호받습니다.
Citation Volume
9
Citation Number
2
Citation Start Page
1
Citation End Page
22
Appears in Collections:
Research Laboratory > Journal of management
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