CAJ | 학술논문

在直接假定金融变量服从具有较厚尾部的t-分布条件下，本文推导出了债务国在期初以固定利率举借外债时所面临的利率变动的风险损失函数，并求出了作为随机变量的损失函数的递推形式的密度函数和分布函数，进而给出了计算VaR所需要的分位点的确定方法。最后构造出了基于t-分布条件下的连续n个时期的固定利率债务的利率风险的VaR测度公式，以期能够提供一种计算债务利率变动风险的VaR的可择途径。
재직접가정금융변량복종구유교후미부적t-분포조건하，본문추도출료채무국재기초이고정리솔거차외채시소면림적리솔변동적풍험손실함수，병구출료작위수궤변량적손실함수적체추형식적밀도함수화분포함수，진이급출료계산VaR소수요적분위점적학정방법。최후구조출료기우t-분포조건하적련속n개시기적고정리솔채무적리솔풍험적VaR측도공식，이기능구제공일충계산채무리솔변동풍험적VaR적가택도경。
Value-at-Risk（VaR） is a popular financial risk measurement tool in international financial markets. This paper, supposing that financial variables obeying t-distributions with thicker tails than a normal distribution and that the host nations borrow one foreign currency at the fixed rates at the beginning of the loan duration, deduces the risk losses function of international interest rates changing debtor countries will face, and gets the recurrent density functions and distribution functions of loss function as a random variable; therefore the method to confirm quantile for computing VaR is given; and finally, we construct the VaR measurement formula of continuous n periods＇ fixed interest rate debt risks based on t-distributions, and hope to provide an alternative method for the VaR computation of interest rate changing risks.