Keunbae Ahn is a Ph.D. candidate at the University of Technology Sydney (UTS) in Sydney, Australia. He received his Bachelor and Master’s degree at Hongik University in Seoul, South Korea. He had worked at Korea Fixed Income Research Institute in Seoul, South Korea, as a researcher investigating the optimal asset allocation plan for the Korean Employment Insurance Fund. His research interest lies in empirical asset pricing.
This paper not only provides a theoretical model for the value-at-risk of active and passive trading strategies but also discusses the substantial implications relevant to risk management.