Cost-at-Risk and Benchmark Government Debt Portfolio in Korea Joon-Ho Hahm * Yonsei University and Jinho Kim ** Ewha Womans University January 2002 ____________________________________________ We are grateful to Mats Christoffersson, Clemente Del Valle, Lars Jessen, Young-Sun Koh, Inseok Shin, Xin Zhang, and seminar participants at the Korea Development Institute, Korea Fixed Income Research Institute and the World Bank for valuable comments and suggestions. The first author gratefully acknowledges financial support from the Center for International Studies, Yonsei University. * Graduate School of International Studies, Yonsei University, 134 Shinchon-dong, Seodaemoon-gu, Seoul 120-749, Korea, E-mail: jhahm@yonsei.ac.kr ** College of Business Administration, Ewha Womans University, 11-1 Daehyun-dong, Seodaemoon-gu, Seoul 120-750, Korea, E-mail: jhkim@mm.ewha.ac.kr