Increase work efficiency of management personnel 


Increase responsiveness to financial market 

Transparent and systematic management 

System flexibility and convenience 

Any risk associated with market movement(Market Price, Market Interest, FX) against current position
Risk Factor  Related Product 

Equity Risk  Equity, CB, EB, BW, KOSPI200 Futures, Star index Futures, Equity Index Option, Option, Indivisual equity Option, ELS, Warrant 
Interest Risk  Bonds, Bonds with option, FRN, CD Futures, KTB Futures (3,5YR), MBS, Forward Rate Futures, Swap 
Foreign Exchange Risk  Foreign equity, Foreign Bonds, FX futures, FX Forward, Swap, USD/WON Option 
Portfolio , Rate of Return, Risk analysis to mange against Market Risk
Method  Model 

Financial Statement Data Method  Altman Zscore regression analysis, Logit, Probit model 
Option Model Method  KMV model, BlackScholes model 
Economic Indicator Method  Use of GNP changes, equity Index and etc to calculated Probability of default 
Decision Tree Method  Analyze individual companies by categorizing the entire set into similar groups 
Neutral network Method  Estimation of default probability using linear, nonlinear, and neural networks 
Mathematical Method  Linear Programming, NONLinear Programming 
Manage Risk Factor by rate of return and volatility of the market
Risk Factor  Category  Detail 

Rate of Return  Equity  Use log rate of return 
Interest  Since the interest rate itself is has the nature of the rate of return, the yield rate of the interest rate is calculated by subtracting the previous day's interest rate from the todays’ interest rate  
FX  Use log rate of return like equities  
Dispersion Covariance  SMA  A method of estimating the volatility by setting a moving window for a certain period and calculating a simple moving average value during the period 
EWMA  Assign a high weight to recent data and assign a low weight to older data to estimate volatility  
GARCH  Risk Factor Model of timeseries data on rate of returns in terms of conditional dispersion  
Yield Curve  Bootstrap Method  Generate yield curves sequentially in expiration order based on market data composed of Term Structure 
Levenberg Marquardt  create curves using the Optimization Method through the entire configured market data  
Equity Beta  Standard  Calculating the equity beta by generating the correlation coefficient from the two same time series data, the beta is calculated based on smaller set amount of data 
Interpolation MethodLinear Interpolation) and Cubic Spline Interpolation
Market risk management consists of processes: data acquisition, data analysis, result data and screen display
Risk associated with Portfolio management and Return is managed though Risk analysis and Pricing
By implementing VaR,
The portfolio returns from time t to time t + 1 are as follows
The weights (Wi,t) are given at the beginning of the period and sum to 1. The expected returns of the portfolio are as follows.
The variance of the portfolio includes not only the risk of individual assets (securities)(σ12) but also the covariance(σij) between assets.
If the correlation is low or the number of assets increases, the risk of the portfolio decreases, but the VaR of the portfolio that does not consider the dispersion effect is the sum of the individual VaRs.
The back test for verifying the model is to verify the conformity through comparison of the P/L generated under the confidence level, and to extract the P/L data, back test, documentation and report to the supervisory authority.
By basic input information for VaR calculation, the market VaR screen is able to provide position information, market risk information and VaR information by risk factor.
Comparative graphic analysis of different asset management companies, position information by fund, market risk and risk factors
Market risk analysis summary screen provides position information, market risk information, and VaR information by risk factor through basic input information required for VaR calculation.
Pricing Method  Detail  Application 

ClosedForm Solution 
Various ClosedForm Solution Secured 

MonteCarlo Simulation 


FiniteDifference Method 

