• 방재와보험
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• s.150
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• pp.14-17
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• 2013

• Journal of Korea Port Economic Association
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• v.34 no.1
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• pp.99-110
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• 2018

This study empirically examines simple methodology to quantify the risk resulted from the uncertainty of bunker price and foreign exchange rate, which cause main resources of the cost in shipping industry during the periods between $1^{st}$ of January 2010 and $31^{st}$ of January 2018. To shed light on the risk measurement in cash flows we tested GBM(Geometric Brownian Motion) frameworks such as the model with conditional heteroskedasticity and jump diffusion process. The main contribution based on empirical results are summarized as following three: first, the risk analysis, which is dependent on a single variable such as freight yield, is extended to analyze the effects of multiple factors such as bunker price and exchange rate return volatility. Second, at the individual firm level, the need for risk management in bunker price and exchange rate is presented as cash flow. Finally, based on the scale of the risk presented by the analysis results, the shipping companies are required that there is a need to consider what is appropriate as a means of risk management.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• 2007.11a
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• pp.539-544
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• 2007

Owing to diversification of social desire and increase of demand as economic growth, construction industry recently is trending toward diversification, complication, gigantism. It means that is changing to difficult environment as existing construction company operation. Specially, some big construction companies are promoting get down to construction business risk management skill & development. Enterprise risk management system, recognized to risk portfolio, is suggested. instead of individually risk management. This study indicates ERM basic model, considering construction risk character, for apply to ERM to field of construction . And it is including analysis of recognition level and reality about ERM in construction company.

• The Korean Journal of Applied Statistics
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• v.31 no.6
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• pp.751-759
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• 2018

Cho et al. (Communications for Statistical Applications and Methods, 23, 423-432, 2016) introduced a risk model with a continuous type investment and studied the stationary distribution of the surplus process. In this paper, we extend the earlier analysis by assuming that additional instant investment is made when the surplus process reaches a certain sufficient level. We obtain the explicit form of the stationary distribution of the surplus process. The case is shown as an example, when the amount of claim is exponentially distributed.

• Journal of the Korean Data and Information Science Society
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• v.27 no.1
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• pp.9-18
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• 2016

In the Heckman-Meyers model, which is frequently referred by IAA, Swiss Solvency Test, EU Solvency II, the assumption of parameter distribution is key factor. While in theory Bayesian analysis somewhat reflects parameter uncertainty using prior distribution, it is often the case where both Heckman-Meyers and Bayesian are necessary to better manage the parameter uncertainty. Therefore, this paper proposes the use of Bayesian H-M CRM, a combination of Heckman-Meyers model and Bayesian, and analyzes its efficiency.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1507-1520
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• 2014

In this paper, we show that there is a positive correlation between the level and the volatility of interest rate and thus suggest that a proper interest rate volatility coefficient (IRVC), a factor used in evaluating the interest rate risk that insurers are exposed to, should be chosen in accordance with the level of interest rate. To this end, we calculate the historical volatility of interest rate using data on government bond yields and show a proportionate relationship between interest rate and historical volatility. The review of exponential Vasicek (EV) and Cox-Ingersoll-Ross (CIR) models for interest rate also confirms the positive correlation between them. The estimation of IRVC by EV and CIR models are 0.9 and 1.1, respectively, which are much smaller than the one under the current risk-based capital (RBC) requirement. We provide modified IRVCs reflecting the level of interest by the two interest rate models. Using modified IRVCs can be a more reasonable method to evaluate the interest rate risk that insurers face.

• Journal of Korea Port Economic Association
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• v.39 no.2
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• pp.25-39
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• 2023

As the scope of supply chains expands globally, unpredictable risks continue to arise. The occurrence of these supply chain risks affects port cargo throughput and hinders port operation. In order to examine the impact of global supply chain risks on port container throughput, this study conducted an empirical analysis on the impact of variables such as the Global Supply Chain Pressure Index (GSCPI), Shanghai Container Freight Index (SCFI), Industrial Production Index, and Retail Sales Index on port traffic using the vector autoregressive(VAR) model. As a result of the analysis, the rise in GSCPI causes a short-term decrease in the throughput of Busan Port, but after a certain point, it acts as a factor increasing the throughput and affects it in the form of a wave. In addition, the industrial production index and the retail sales index were found to have no statistically significant effect on the throughput of Busan Port. In the case of SCFI, the effect was almost similar to that of GSCPI. The results of this study reveal how risks affect port cargo throughput in a situation where supply chain risks are gradually increasing, providing many implications for establishing port operation policies for future supply chain risks.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2004.05a
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• pp.215-219
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• 2004

본 연구에서는 다기관 통합전산센터의 다양한 운영모형 분석을 통한 효과적인 운영 대안을 수립하고, 최적 운영대안의 상시운영체계(BCP) 구성방향을 제시한다. 또한 현행 다기관 통합전산센터의 리스크 분석과 리스크 관리 특성을 모형화하여 다기관 통합전산센터의 상시운영계획 이행 절차의 자동화 시스템 구축 방안을 제시한다. 이를 위해 본 연구는 4가지 사항을 중점적으로 다루었다. 첫째, 통합전산센터와 관련한 다양한 용어에 대해 정리를 하고, 통합전산센터의 국내외 사례를 살펴봄으로써 통합전산센터의 중요요소를 도출하였다. 둘째, 다기관 통합전산센터의 논리적 운영모형을 분류하여 각 모형에 따른 장${\cdot}$단점과 실현가능성을 진단하고, 대표적인 모형에 대한 가상환경을 구성하여 운영비용 측면에서 비교하였다. 또한 AHP기법을 이용하여 관련 전문가 인터뷰를 통한 정성적인 측면에서의 비교도 실시하였다. 셋째, 운영모형분석을 통하여 도출된 최적대안에 대한 다기관 통합전산센터의 상시운영체계의 수립 방향에 대하여 기존의 정보시스템을 위한 방법론과의 비교를 통하여 설명하였다. 넷째, 다기관 통합전산센터의 상시운영체계의 구성방향을 반영한 자동화시스템의 기본적인 구축방안에 대하여 간략하게 정리하고 그 기대효과를 제시하였다.

• KDI Journal of Economic Policy
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• v.32 no.3
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• pp.71-99
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• 2010

The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the risk spillover effect. It can capture the risk contribution of each institution to overall systemic risk. While Adrian and Brunnermeier rely on the quantile regression method in the estimation of CoVaR, we propose a new estimation method using parametric distribution functions such as bivariate normal and $S_U$-normal distribution functions. Based on our estimates of CoVaR for Korean banking industry, we investigate the practical usefulness of CoVaR for a systemic risk measure, and compare the estimation performance of each model. Empirical results show that bank makes a positive contribution to system risk. We also find that quantile regression and normal distribution models tend to considerably underestimate the CoVaR (in absolute value) compared to $S_U$-normal distribution model, and this underestimation becomes serious when the crisis in a financial system is assumed.

• Environmental and Resource Economics Review
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• v.22 no.1
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• pp.99-125
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• 2013

Renewable energy industry not only has a promising future but also has more risk than conventional energy industry because of its characteristics. Therefore, in this study, an analysis of domestic renewable energy company risk has been performed. The risk of domestic wind and photovoltaic energy companies has been analyzed by using time varying beta model. The model has been constructed based on risk factors like firm size, firm diversification index, domestic installation, and so on. The principal result of analysis can be summarized as follows. First, risk factors affect domestic renewable energy companies have been discovered. Variables like firm size, growth rate of debt ratio, firm diversification index are statistically significant. I found that large firms are less riskier than small firms. It is also confirmed that companies with high diversification index and high debt ratio have high risk. Second, I got the result that policy factors like domestic renewable energy installation and government R&D expenditure could decrease risk of domestic renewable energy company. Third, relative sensitivity of each risk factor have been discovered. The effect of each variable gets bigger in this order: growth rate of domestic installation, firm size or diversification index, growth rate of debt ratio, growth rate of government R&D expenditure.