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Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning
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Kyoungduck Choi (Korea Information & Communication Co., Ltd.)
Seungjong Noh (Dept. of Business Administration, Ajou University)
Vol. 8, No. 1, Page: 1 ~ 13
Keywords
Cased Based Reasoning, Value-at-Risk, Feature Selection
Abstract
Estimating the Value-at-Risk (VaR) of a non-listed or newly listed company in stock market is impossible due to lack of stock exchange data. This study employes Case-Based Reasoning (CBR) for estimating VaR's of those companies. CBR enables us to identify and select existing companies that have similar financial and non-financial characteristics to the unlisted target company. The VaR's of those selected companies can give estimates of VaR for the target company. We developed a system called VAS-CBR and showed how well the system estimates the VaR's of unlisted companies.
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사례기반추론을 이용한 비상장기업 및 신규상장기업의 VaR 추정
최경덕 (한국정보통신)
노승종 (아주대학교 경영대학)
Abstract
비상장기업이나 신규상장기업의 경우 주식거래량과 거래가격이 없거나 불충분하므로 최근 활발히 연구되고 있는 VaR(Value-at-Risk)를 파악하지 못한다. 본 연구에서는 비상장기업 및 신규상장기업의 미래 가격위험의 척도인 VaR를 추정하는 방법론을 제시하고, 이를 시스템(VAS-CBR)으로 구현하였다. 구체적으로는 사례기반추론(Case Based Reasoning: CBR) 기법을 이용하여 기존의 상장회사들 중에서 신규 및 비상장기업과 유사한 재무적, 비재무적 특성을 갖는 상장기업을 찾아내고, 유사기업의 VaR를 근거로 신규 및 비상장기업의 VaR를 간접적으로 추정하였다. 또한 개발 시스템의 예측력 제고를 위한 운용방안 및 시스템의 예측력을 실험을 통하여 밝혔다.
Cite this article
JIIS Style
Choi, K., and S. Noh, "Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning", Journal of Intelligence and Information Systems, Vol. 8, No. 1 (2002), 1~13.

IEEE Style
Kyoungduck Choi, and Seungjong Noh, "Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning", Journal of Intelligence and Information Systems, vol. 8, no. 1, pp. 1~13, 2002.

ACM Style
Choi, K., and Noh, S., 2002. Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning. Journal of Intelligence and Information Systems. 8, 1, 1--13.
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@article{Choi:JIIS:2002:124,
author = {Choi, Kyoungduck and Noh, Seungjong},
title = {Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning},
journal = {Journal of Intelligence and Information Systems},
issue_date = {June 2002},
volume = {8},
number = {1},
month = Jun,
year = {2002},
issn = {2288-4866},
pages = {1--13},
url = {},
doi = {},
publisher = {Korea Intelligent Information System Society},
address = {Seoul, Republic of Korea},
keywords = { Cased Based Reasoning, Value-at-Risk and Feature Selection },
}
%0 Journal Article
%1 124
%A Kyoungduck Choi
%A Seungjong Noh
%T Estimating VaR(Value-at-Risk) of non-listed and newly listed companies using Case Based Reasoning
%J Journal of Intelligence and Information Systems
%@ 2288-4866
%V 8
%N 1
%P 1-13
%D 2002
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%I Korea Intelligent Information System Society