• Journal of the Korean Data and Information Science Society
• /
• v.22 no.6
• /
• pp.1065-1074
• /
• 2011

During several decades, many researchers in the field of finance have studied Value at Risk (VaR) to measure the market risk. VaR indicates the worst loss over a target horizon such that there is a low, pre-specified probability that the actual loss will be larger (Jorion, 2006, p.106). In this paper, we compare conditional copula method with two conventional VaR forecasting methods based on simple moving average and exponentially weighted moving average for measuring the risk of the portfolio, consisting of two domestic stock indices. Through real data analysis, we conclude that the conditional copula method can improve the accuracy of portfolio VaR forecasting in the presence of high kurtosis and strong correlation in the data.

• Journal of Korea Water Resources Association
• /
• v.41 no.5
• /
• pp.517-525
• /
• 2008

Regional rainfall quantile depends on the identification of hydrologically homogeneous regions. Various variables relevant to precipitation can be used to form regions. Since the type and number of variables may lead to improve the efficiency of partitioning, it is important to select those precipitation related variables, which represent most of the information from all candidate variables. Multivariate analysis techniques can be used for this purpose. Procrustes analysis which can decrease the dimension of variables based on their correlations, are applied in this study. 42 rainfall related variables are decreased into 21 ones by Procrustes analysis. Factor analysis is applied to those selected variables and then 5 factors are extracted. Fuzzy-c means technique classifies 68 stations into 6 regions. As a result, the GEV distributions are fitted to 6 regions while the lognormal and generalized logistic distributions are fitted to 5 regions. For the comparison purpose with previous results, rainfall quantiles based on generalized logistic distribution are estimated by at-site frequency analysis, index flood method, and regional shape estimation method.

• The Korean Journal of Financial Management
• /
• v.26 no.3
• /
• pp.139-169
• /
• 2009

This paper introduces the modified VaR which takes into account the asymmetry and fat-tails of financial asset distribution, and then compares its out-of-sample forecast performance with traditional VaR model such as historical simulation model and Riskmetrics. The empirical tests using stock indices of 6 countries showed that the modified VaR has the best forecast accuracy. At the test of independence, Riskmetrics and GARCH model showed best performances, but the independence was not rejected for the modified VaR. The Monte Carlo simulation using skew t distribution again proved the best forecast performance of the modified VaR. One of many advantages of the modified VaR is that it is appropriate for measuring VaR of the portfolio, because it can reflect not only the linear relationship but also the nonlinear relationship between individual assets of the portfolio through coskewness and cokurtosis. The empirical analysis about decomposing VaR of the portfolio of 6 stock indices confirmed that the component VaR is very useful for the re-allocation of component assets to achieve higher Sharpe ratio and the active risk management.

• The Korean Journal of Applied Statistics
• /
• v.27 no.6
• /
• pp.947-958
• /
• 2014

Understanding extreme precipitation events is very important for flood planning purposes. Especially, the r-year return level is a common measure of extreme events. In this paper, we present a spatial analysis of precipitation return level using hierarchical Bayesian modeling. For intensity, we model annual maximum daily precipitations and daily precipitation above a high threshold at 62 stations in Korea with generalized extreme value(GEV) and generalized Pareto distribution(GPD), respectively. The spatial dependence among return levels is incorporated to the model through a latent Gaussian process of the GEV and GPD model parameters. We apply the proposed model to precipitation data collected at 62 stations in Korea from 1973 to 2011.

• The Korean Journal of Applied Statistics
• /
• v.34 no.1
• /
• pp.1-8
• /
• 2021

Abstract concepts in social research must use measurement tools that are assured of validity and reliability. Observation score derived by a measurement tool can be divided into a valid observation score, a biased observation score, and an error. The presence or absence of a biased value is associated with validity, and the presence or absence of an error value is associated with reliability. There are many techniques for seeing whether a measurement tool is valid and reliable. For example, there are construct validity using factor analysis and internal consistency based on the Cronbach alpha. In this study, the calculation of the Cronbach alpha is derived through a sample, so we suggest an estimator of the Cronbach alpha under complex sample design and nonresponse. In a simulation, the proposed method is compared with many other existing estimators of Cronbach alpha under a multivariate normal distribution.

• The Korean Journal of Applied Statistics
• /
• v.13 no.2
• /
• pp.343-352
• /
• 2000

In this study. the author proposes a nonhierarchical clustering method. called the "Double K-Means Clustering", which performs clustering of multivariate observations with the following algorithm: Step I: Carry out the ordinary K-means clmitering and obtain k temporary clusters with sizes $n_1$,... , $n_k$, centroids $c_$1,..., $c_k$ and pooled covariance matrix S. $\bullet$ Step II-I: Allocate the observation x, to the cluster F if it satisfies ..... where N is the total number of observations, for -i = 1, . ,N. $\bullet$ Step II-2: Update cluster sizes $n_1$,... , $n_k$, centroids $c_$1,..., $c_k$ and pooled covariance matrix S. $\bullet$ Step II-3: Repeat Steps II-I and II-2 until the change becomes negligible. The double K-means clustering is nearly "optimal" under the mixture of k multivariate normal distributions with the common covariance matrix. Also, it is nearly affine invariant, with the data-analytic implication that variable standardizations are not that required. The method is numerically demonstrated on Fisher's iris data.

• The Korean Journal of Applied Statistics
• /
• v.19 no.3
• /
• pp.481-504
• /
• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• Communications for Statistical Applications and Methods
• /
• v.18 no.3
• /
• pp.377-389
• /
• 2011

A higher quality level is generally perceived by customers as improved performance by assigning a correspondingly higher satisfaction score. The third generation index $C_{pmk}$ is more powerful than two useful indices $C_p$ and $C_{pk}$ that have been widely used in six sigma industries to assess process performance. In actual manufacturing industries, process capability analysis often entails characterizing or assessing processes or products based on more than one engineering specification or quality characteristic. Since these characteristics are related, it is a risky undertaking to represent the variation of even a univariate characteristic by a single index. Therefore, the desirability of using vector-valued process capability index(PCI) arises quite naturally. In this paper, we consider more powerful vector-valued process capability index $C_{pmk}$ = ($C_{pmkx}$, $C_{pmky}$)$^t$ that consider the univariate process capability index $C_{pmk}$. First, we examine the process capability index $C_{pmk}$ and plug-in estimator $\hat{C}_{pmk}$. In addition, we derive its asymptotic distribution and variance-covariance matrix $V_{pmk}$ for the vector valued process capability index $C_{pmk}$. Under the assumption of bivariate normal distribution, we study asymptotic confidence regions of our vector-valued process capability index $C_{pmk}$ = ($C_{pmkx}$, $C_{pmky}$)$^t$.

• Journal of Global Scholars of Marketing Science
• /
• v.17 no.3
• /
• pp.133-151
• /
• 2007

The purpose of this article is to examine the effects of item parceling on the consistency of significance testing of the causal parameters with regard to the relationship between the relevant constructs, as well as the effects of the item parceling on the goodness-of-fit indices of LISREL's general models. Most of the researchers' major purpose of using structural equation modeling (SEM) is to test their research hypotheses associated with the causal parameters. Therefore, we investigated three general models of LISREL, rather than the frequently used confirmatory factor analytic (CFA) models by many other researchers. The results of the study showed that there was a high level of consistency in the calculated test statics of causal parameters between the item-parceled solutions and the item-level solutions, and that the item-parceled solutions had better goodness-of-fit indices, such as GFI, AGFI, CFI, and NFI, than the solutions at the item level. However, in terms of RMSEA, there was no such tendency.

• Journal of the Korean Association of Geographic Information Studies
• /
• v.22 no.2
• /
• pp.82-96
• /
• 2019

This study evaluated the status of watershed health in Geum River Basin by SWAT (Soil and Water Assessment Tool) hydrology and water quality. The watershed healthiness from watershed hydrology and stream water quality was calculated using multivariate normal distribution from 0(poor) to 1(good). Before evaluation of watershed healthiness, the SWAT calibration for 11 years(2005~2015) of streamflow(Q) at 5 locations with 0.50~0.77 average Nash-Sutcliffe model efficiency and suspended solid (SS), total nitrogen(T-N), and total phosphorus(T-P) at 3 locations with 0.67~0.94, 0.59~0.79, and 0.61~0.79 determination coefficient($R^2$) respectively. For 24 years (1985~2008) the spatiotemporal change of watershed healthiness was analyzed with calibarted SWAT and 5 land use data of 1985, 1990, 1995, 2000, and 2008. The 2008 SWAT results showed that the surface runoff increased by 40.6%, soil moisture and baseflow decreased by 6.8% and 3.0% respectively compared to 1985 reference year. The stream water quality of SS, T-N, and T-P increased by 29.2%, 9.3%, and 16.7% respectively by land development and agricultural activity. Based on the 1985 year land use condition. the 2008 watershed healthiness of hydrology and stream water quality decreased from 1 to 0.94 and 0.69 respectively. The results of this study be able to detect changes in watershed environment due to human activity compared to past natural conditions.