안동현 교수

Journal Article A Parametric Nonlinear Model of Term Structure Dynamics Get access Dong-Hyun Ahn, Dong-Hyun Ahn University of North Carolina Address correspondence to Dong-Hyun Ahn, Finance Department, Kenan-Flagler Business School, University of North Carolina, CB 3490, McColl Bldg., Chapel Hill, NC 27599-3490. Search for other works by this author on: Oxford Academic Google Scholar Bin Gao Bin Gao University of North Carolina Search for other works by this author on: Oxford Academic Google Sch

Abstract This paper studies a multi-factor, two-country term structure and exchange rate model when a diversification effect for an international bond portfolio is expected. It shows that the diversification gain calls upon certain restrictions on the process of the stochastic discount factor in a factor-structured economy. Existence of local factors is shown to be a necessary condition for the gains from investing in foreign bonds. Further, the exchange rate risk premia are shown to be a functi

Recent nonparametric estimation studies pioneered by Ait-Sahalia document that the diffusion of the short rate is similar to the parametric function, r[superscript 1.5], estimated by Chan et al., whereas the drift is substantially nonlinear in the short rate. These empirical properties call into question the efficacy of the existing affine term structure models and beg for alternative models which admit the observed behavior. This article presents such a model. Our model delivers closed-form sol

This article provides an analytical solution to the problem of an institution optimally managing the market risk of a given exposure by minimizing its Value-at-Risk using options. The optimal hedge consists of a position in a single option whose strike price is independent of the level of expense the institution is willing to incur for its hedging program. This optimal strike price depends on the distribution of the asset exposure, the horizon of the hedge, and the level of protection desired by

Abstract This paper presents a new method to examine the performance evaluation of mutual funds in incomplete markets. Based on the no arbitrage condition, we develop bounds on admissible performance measures. We suggest new ways of ranking mutual funds and provide a diagnostic instrument for evaluating the admissibility of candidate performance measures. Using a monthly sample of 320 equity funds, we show that admissible performance values can vary widely, supporting the casual observation that

본 논문은 채권의 가격결정 모형과 그와 연계된 이자율 기간구조모형에 관한 연구를 조사하고 정리하였다. 이자율 기간구조모형이 어떠한 모습으로 발전되어 왔는지 살펴 보고, 각 모형이 이자율의 움직임 혹은 채권의 가격변동을 얼마나 잘 설명(Goodness-of-fit)하고 있는지 알아보았다. 또한 이자율 기간구조모형을 다양한 기준에 의하여 분류하고 각 모형이 이자율 연구에서 가지는 수학적 경제학적 의미에 대해정리하였다. 분류되는 기준은 이자율 기간구조 모형의 목적[균형모형(Equilibrium Model)과 차익거래모형(ArbitrageModel)], 이자율 모형의 형태[모수 모형(Parametric Model)과 비모수 모형(Nonparametric Model), 선형 모형(Affine Model)과 비선형모형(Non-Affine Model)], 이자율 움직임을 결정하는 상태변수(State Variable)의 수[단일요인 모형(Single factor model)과 다요인 모형(Mult

Journal Article Korea in the GATT/WTO Dispute Settlement System: Legal Battle for Economic Development Get access Dukgeun Ahn Dukgeun Ahn Search for other works by this author on: Oxford Academic Google Scholar Journal of International Economic Law, Volume 6, Issue 3, September 2003, Pages 597–633, https://doi.org/10.1093/jiel/6.3.597 Published: 01 September 2003