• Title/Summary/Keyword: 리스크 모형

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Development of System Model for Risk Management (건설공사 리스크관리를 위한 모형 개발 연구)

  • Park Seo-Young;Kang Leen-Seok
    • Proceedings of the Korean Institute Of Construction Engineering and Management
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    • autumn
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    • pp.418-421
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    • 2003
  • Most construction companies recognize the necessity of risk management. The practical application, however, is not easy because of the absence of systematic procedure for risk management and the difficulty in objectification of subjective risk factors. This study suggests a systematic procedure and a models. In the first place for those researches, this study analyzes the present condition of risk management in the construction industry. The developed model can be used as a risk management tool that enables evaluation of construction risk factors by quantified method, and it provides project managers with the methods to prevent risk and to deal with potential risk factors in the planning and construction phases. The results of this study could be used as references for related researches because this study attempts to develop a systematic tool for risk management including risk identification, risk analysis. risk action phases.

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A Study on the Development of an Operation Risk Analysis Model in BTL Projects (BTL사업 운영리스크 분석 모형 개발에 관한 연구)

  • Lee, Jeong-Sun;Lee, Jeong-Hun;Oh, Se-Wook;Yoo, Hyun-Seok;Kim, Young-Suk
    • Proceedings of the Korean Institute Of Construction Engineering and Management
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    • 2008.11a
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    • pp.475-480
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    • 2008
  • In BTL project, the operation cost covering upcoming 20 years is usually alloted more than construction cost although its plan is made in short time. Therefore, it is a key issue to forecast and to analyze operation risks in the process of making contract in order to successfully finish the BTL project and to ensure the profitability of business. However, only a few domestic professional management companies are capable to carry out funding and facility management. To manage the potential risks efficiently in BLT project, it's essential to prioritize the risk factors by means of considering economical risk level, non-economical risk level and occurrence frequency. Thus, this study suggests risk analysis model for improving efficiency of BTL project from operation company's perspective by means of survey. The suggested risk analysis model is expected to establish a risk management strategy which can improve the efficiency of management affairs in BTL project.

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On multivariate GARCH model selection based on risk management (리스크 관리 측면에서 살펴본 다변량 GARCH 모형 선택)

  • Park, SeRin;Baek, Changryong
    • Journal of the Korean Data and Information Science Society
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    • v.25 no.6
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    • pp.1333-1343
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    • 2014
  • Hansen and Lund (2005) documented that a univariate GARCH(1,1) model is no worse than other sophisticated GARCH models in terms of prediction errors such as MSPE and MAE. Here, we extend Hansen and Lund (2005) by considering multivariate GARCH models and incorporating risk management measures such as VaR and fail percentage. Our Monte Carlo simulations study shows that multivariate GARCH(1,1) model also performs well compared to asymmetric GARCH models. However, we suggest that actual model selection should be done with care in light of risk management. It is applied to the realized volatilities of KOSPI, NASDAQ and HANG SENG index for recent 10 years.

A Development of Integrated Prototype Model for Risk Management of Construction Projects (건설공사의 리스크관리를 위한 통합전산모형 구축)

  • Kim, Chang-Hak;Park, Seo-Young;Kang, In-Seok
    • KSCE Journal of Civil and Environmental Engineering Research
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    • v.26 no.3D
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    • pp.469-480
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    • 2006
  • The results of the study include a computerized system and a systematic process model for risk management and analysis. This study analyzes the present status of risk management in the construction industry, and then suggests reasonable methods for improved risk management plans. This study defines risk management procedures as preparation, identification, analysis, response and management to manage potential risks in the construction project. The modules for computerizing in this system consist of planning, construction, application of WBS (Work Breakdown Structure) and RBS (Risk Breakdown Structure), and risk analysis. The methodology for analyzing construction risk uses fuzzy theory, and the scope of developed system is focused to the contractors. The risk management system suggested in this study operates on the Internet, for providing contractors with a useful risk management tool by online system, with web-based menus that is helpful for practical application.

The Ruin Probability in a Risk Model with Injections (재충전이 있는 연속시간 리스크 모형에서 파산확률 연구)

  • Go, Han-Na;Choi, Seung-Kyoung;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.25 no.1
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    • pp.81-87
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    • 2012
  • A continuous time risk model is considered, where the premium rate is constant and the claims form a compound Poisson process. We assume that an injection is made, which is an immediate increase of the surplus up to level u > 0 (initial level), when the level of the surplus goes below ${\tau}$(0 < ${\tau}$ < u). We derive the formula of the ruin probability of the surplus by establishing an integro-differential equation and show that an explicit formula for the ruin probability can be obtained when the amounts of claims independently follow an exponential distribution.

Building credit scoring models with various types of target variables (목표변수의 형태에 따른 신용평점 모형 구축)

  • Woo, Hyun Seok;Lee, Seok Hyung;Cho, HyungJun
    • Journal of the Korean Data and Information Science Society
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    • v.24 no.1
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    • pp.85-94
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    • 2013
  • As the financial market becomes larger, the loss increases due to the failure of the credit risk managements from the poor management of the customer information or poor decision-making. Thus, the credit risk management also becomes more important and it is essential to develop a credit scoring model, which is a fundamental tool used to minimize the credit risk. Credit scoring models have been studied and developed only for binary target variables. In this paper, we consider other types of target variables such as ordinal multinomial data or longitudinal binary data and suggest credit scoring models. We then apply our developed models to real data and random data, and investigate their performance through Kolmogorov-Smirnov statistic.

Actuarial analysis of a reverse mortgage applying a modified Lee-Carter model based on the projection of the skewness of the mortality (왜도 예측을 이용한 Lee-Carter 모형의 주택연금 리스크 분석)

  • Lee, Hangsuck;Park, Sangdae;Baek, Hyeyoun
    • The Korean Journal of Applied Statistics
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    • v.31 no.1
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    • pp.77-96
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    • 2018
  • A reverse mortgage provides a pension until the death for the insured or last survivor. Long-term risk management is important to estimate the contractual period of a reverse mortgage. It is also necessary to study prediction methods of mortality rates that appropriately reflect the improvement trend of the mortality rate since the extension of the life expectancy, which is the main cause of aging, can have a serious impact on the pension financial soundness. In this study, the Lee-Carter (LC) model reflects the improvement in mortality rates; in addition, multiple life model are also applied to a reverse mortgage. The mortality prediction method by the traditional LC model has shown a dramatic improvement in the mortality rate; therefore, this study suggests mortality projection based on the projection of the skewness for the mortality that has been applied to appropriately reflect the improvement trend of the mortality rate. This paper calculates monthly payments using future mortality rates based on the projection of the skewness of the mortality. As a result, the mortality rates based on this method less reflect the mortality improvement effect than the mortality rates based on a traditional LC model and a larger pension amount is calculated. In conclusion, this method is useful to forecast future mortality trend results in a significant reduction of longevity risk. It can also be used as a risk management method to pay appropriate monthly payments and prevent insufficient payment due to overpayment by the issuing institution and the guarantee institution of the reverse mortgage.

Development of Fuzzy Model for Analyzing Construction Risk Factors (건설공사의 리스크분석을 위한 퍼지평가모형 개발)

  • Park Seo-Young;Kang Leen-Seok;Kim Chang-Hak;Son Chang-Bak
    • Proceedings of the Korean Institute Of Construction Engineering and Management
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    • autumn
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    • pp.519-524
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    • 2001
  • Recently, our construction market recognizes the necessity of risk management, however the application of practical system is still limited on the construction site because the methodology for analyzing and quantifying construction risk and for building actual risk factors is not easy. This study suggests a risk management method by fuzzy theory, which is using subjective knowledge of an expert and linguistic value, to analyze and Quantify risk. The result of study is expected to improve the accuracy of risk analysis because three factors, such as probability, impact and frequency, for estimating membership function are introduced to quantify each risk factor.

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Development of a Risk Management Procedure Model for the Construction Project Using Construction Risk Management System (CRMS를 활용한 건설공사의 리스크관리 절차모형 개발)

  • Kim, Chang Hak;Kang, Leen Seok;Park, Hong Tae
    • KSCE Journal of Civil and Environmental Engineering Research
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    • v.30 no.4D
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    • pp.423-432
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    • 2010
  • This study suggested CRMS (construction risk management system) which is a new risk analysis model after analyzing existing risk management process for to guarantee a successful performance at the construction planning and work phase. CRMS is risk management procedures in order that the contractor identify, analyze and administrate the risk during performing construction project. This model may give much help to quantify and be ready the right managing methods about identified risk by the contractor. Especially, the most important and difficult things of all risk management may be to identify risk in the project. This study make more focusing on the developing a procedure that can identify risk more easily in the construction project. The risk is divided into global risk and local risk of a project. Also, this study suggests methods which are using the RBS (risk breakdown structure) related with WBS. This result will be useful as basic materials for developing computerizing system for risk management.

A Development of Integrated Risk Management Model of Large Construction Projects (건설분야 통합 리스크관리에 관한 구성 모델)

  • Kim Chang-Hak;Park Seo-Young;Kang In-Seok
    • Proceedings of the Korean Institute Of Construction Engineering and Management
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    • 2004.11a
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    • pp.101-108
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    • 2004
  • The results of the study include a computerized system and a systematic Process model for risk management and analysis. This study analyzes the present status of risk management in the construction industry, and then suggests reasonable methods for improved risk management plans. This study defines risk management procedures as preparation, identification, analysis, response and management to manage potential risks In the construction project. The modules for computerizing this system consist of planning, construction, application of WBS (Work Breakdown Structure) and RBS (Risk Breakdown Structure), and risk analysis. The method logy for analyzing construction risk uses fuzzy theory, and the scope of developed system is focused to the contractors. The risk management system suggested in this study operates on the Internet, for providing contractors with a useful risk management tool by online system, with web-based menus that is helpful for practical application.

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