• The Journal of the Convergence on Culture Technology
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• v.9 no.1
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• pp.89-94
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• 2023

Recently, credit risk in the Chinese corporate bond market has increased significantly, and there is a possibility that banks that have invested in corporate bonds may become insolvent. The purpose of this study is to empirically analyze the effect of Chinese commercial banks' investment in securities on financial performance. The analysis results are as follows. First, it is estimated that as the share of securities investment by Chinese commercial banks increases, the bank's profitability decreases. It was found that investment in securities did not have a positive impact on profitability due to the increase in credit risk in the corporate bond market and the increase in marginal companies. Second, it is estimated that as the proportion of securities investment by Chinese commercial banks increases, the bank's soundness deteriorates. As credit risk in China's capital market is increasing, continuous management of non-performing assets is required. Chinese commercial banks need portfolio management through securities investment in addition to loan assets to improve profitability. However, volatility should be managed by adjusting the scale of securities management to an appropriate level.

• Korean Journal of Environmental Biology
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• v.40 no.4
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• pp.525-549
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• 2022

The process of biological invasion is led by the dynamics of a population as a demographic and evolutionary unit. Spatial structure can affect the population dynamics, and it is worth being considered in research on biological invasion which is always accompanied by dispersal. Metapopulation theory is a representative approach to spatially structured populations, which is chiefly applied in the field of ecology and evolutionary biology despite the controversy about its definition. In this study, metapopulation was considered as a spatially structured population that includes at least one subpopulation with significant extinction probability. The early phase of the invasion is suitable to be analyzed in aspects of the metapopulation concept because the introduced population usually has a high extinction probability, and their ecological·genetic traits determining the invasiveness can be affected by the metapopulation structure. Although it is important in the explanation of the prediction of the invasion probability, the metapopulation concept is rarely used in ecological research about biological invasion in Korea. It is expected that applying the metapopulation theory can supply a more detailed investigation of the invasion process at the population level, which is relatively inadequate in Korea. In this study, a framework dividing the invasive metapopulation into long- and middle-distance scales by the relative distance of movement to the natural dispersal range of species is proposed to easily analyze the effect of a metapopulation in real cases. Increased understanding of the mechanisms underlying invasions and improved prediction of future invasion risk are expected with the metapopulation concept and this framework.

• Journal of Intelligence and Information Systems
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• v.25 no.3
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• pp.63-88
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• 2019

The goal of this paper is to investigate changes in North Korea's domestic and foreign policies through automated text analysis over North Korea represented in South Korean mass media. Based on that data, we then analyze the status of text mining research, using a text mining technique to find the topics, methods, and trends of text mining research. We also investigate the characteristics and method of analysis of the text mining techniques, confirmed by analysis of the data. In this study, R program was used to apply the text mining technique. R program is free software for statistical computing and graphics. Also, Text mining methods allow to highlight the most frequently used keywords in a paragraph of texts. One can create a word cloud, also referred as text cloud or tag cloud. This study proposes a procedure to find meaningful tendencies based on a combination of word cloud, and co-occurrence networks. This study aims to more objectively explore the images of North Korea represented in South Korean newspapers by quantitatively reviewing the patterns of language use related to North Korea from 2016. 11. 1 to 2019. 5. 23 newspaper big data. In this study, we divided into three periods considering recent inter - Korean relations. Before January 1, 2018, it was set as a Before Phase of Peace Building. From January 1, 2018 to February 24, 2019, we have set up a Peace Building Phase. The New Year's message of Kim Jong-un and the Olympics of Pyeong Chang formed an atmosphere of peace on the Korean peninsula. After the Hanoi Pease summit, the third period was the silence of the relationship between North Korea and the United States. Therefore, it was called Depression Phase of Peace Building. This study analyzes news articles related to North Korea of the Korea Press Foundation database(www.bigkinds.or.kr) through text mining, to investigate characteristics of the Kim Jong-un regime's South Korea policy and unification discourse. The main results of this study show that trends in the North Korean national policy agenda can be discovered based on clustering and visualization algorithms. In particular, it examines the changes in the international circumstances, domestic conflicts, the living conditions of North Korea, the South's Aid project for the North, the conflicts of the two Koreas, North Korean nuclear issue, and the North Korean refugee problem through the co-occurrence word analysis. It also offers an analysis of South Korean mentality toward North Korea in terms of the semantic prosody. In the Before Phase of Peace Building, the results of the analysis showed the order of 'Missiles', 'North Korea Nuclear', 'Diplomacy', 'Unification', and ' South-North Korean'. The results of Peace Building Phase are extracted the order of 'Panmunjom', 'Unification', 'North Korea Nuclear', 'Diplomacy', and 'Military'. The results of Depression Phase of Peace Building derived the order of 'North Korea Nuclear', 'North and South Korea', 'Missile', 'State Department', and 'International'. There are 16 words adopted in all three periods. The order is as follows: 'missile', 'North Korea Nuclear', 'Diplomacy', 'Unification', 'North and South Korea', 'Military', 'Kaesong Industrial Complex', 'Defense', 'Sanctions', 'Denuclearization', 'Peace', 'Exchange and Cooperation', and 'South Korea'. We expect that the results of this study will contribute to analyze the trends of news content of North Korea associated with North Korea's provocations. And future research on North Korean trends will be conducted based on the results of this study. We will continue to study the model development for North Korea risk measurement that can anticipate and respond to North Korea's behavior in advance. We expect that the text mining analysis method and the scientific data analysis technique will be applied to North Korea and unification research field. Through these academic studies, I hope to see a lot of studies that make important contributions to the nation.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.