• Title/Summary/Keyword: 리스크 지수

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Cooperate Performance Analysis Using Portfolio Approaches (포트폴리오 방식을 이용한 기업의 경영성과 분석)

  • Kim, Jeong In;Park, Dae Soon
    • Environmental and Resource Economics Review
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    • v.17 no.1
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    • pp.51-81
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    • 2008
  • In this paper, economic performance was measured through portfolio analysis for environmentally friendly companies from September 2004 to September 2005. By using portfolio analysis, rate of revenue for environmentally friendly company is twelve to seven teen percent higher than the KOSPI, and KOSPI200 based companies. Except medical and pharmatical industry, environmentally friendly companies had shown low risk and high returns of revenue for banking and financing, chemical and electronic industry. As SRI fund is emerging as a important guideline in recent years, valuation of a cooperate will be very important tool for the financing business area in the future.

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Guaranteed Minimum Accumulated Benefit in Variable Annuities and Jump Risk (변액연금보험의 최저연금적립금보증과 점프리스크)

  • Kwon, Yongjae;Kim, So-Yeun
    • The Journal of the Korea Contents Association
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    • v.20 no.11
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    • pp.281-291
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    • 2020
  • This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

An Improvement of the Approximation of the Ruin Probability in a Risk Process (보험 상품 파산 확률 근사 방법의 개선 연구)

  • Lee, Hye-Sun;Choi, Seung-Kyoung;Lee, Eui-Yong
    • The Korean Journal of Applied Statistics
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    • v.22 no.5
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    • pp.937-942
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    • 2009
  • In this paper, a continuous-time risk process in an insurance business is considered, where the premium rate is constant and the claim process forms a compound Poisson process. We say that a ruin occurs if the surplus of the risk process becomes negative. It is practically impossible to calculate analytically the ruin probability because the theoretical formula of the ruin probability contains the recursive convolutions and infinite sum. Hence, many authors have suggested approximation formulas of the ruin probability. We introduce a new approximation formula of the ruin probability which extends the well-known De Vylder's and exponential approximation formulas. We compare our approximation formula with the existing ones and show numerically that our approximation formula gives closer values to the true ruin probability in most cases.

Probabilistic Risk Evaluation Method for Human-induced Disaster by Risk Curve Analysis (확률.통계적 리스크분석을 활용한 인적재난 위험평가 기법 제안)

  • Park, So-Soon
    • Journal of the Korean Society of Hazard Mitigation
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    • v.9 no.6
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    • pp.57-68
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    • 2009
  • Recently, damage scale of human-induced disaster is sharply increased but its occurrences and damages are so uncertain that it is hard to construct a resonable response & mitigation plan for infrastructures. Therefore, the needs for a advanced risk management technique based on a probabilistic and stochastic risk evaluation theory is increased. In this study, these evaluation methods were investigated and a advanced disaster risk evaluation method, which is based on the probabilistic or stochastic risk assessment theory and also is a quantitative evaluation technique, was suggested. With this method, the safety changes as the result of fire damage management for recent 40 years was analyzed. And the result was compared with that of Japan. Through the consilience of the traditional risk assessment method and this method, a stochastical estimation technique for the uncertainty of future disaster's damage could support a cost-effective information for a resonable decision making on disaster mitigation.

Selecting the Geographical Optimal Safety Site for Offshore Wind Farms to Reduce the Risk of Coastal Disasters in the Southwest Coast of South Korea (국내 서남해권 연안재해 리스크 저감을 위한 지리적 해상풍력단지 최적 입지 안전구역 선정 연구)

  • Kim, Jun-Gho;Ryu, Geon-Hwa;Kim, Young-Gon;Kim, Sang-Man;Moon, Chae-Joo
    • The Journal of the Korea institute of electronic communication sciences
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    • v.17 no.5
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    • pp.1003-1012
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    • 2022
  • The horizontal force transfer to the turbine and substructure of a wind power generation system is a very important factor in maintaining the safety of the system, but it is inevitably vulnerable to large-scale coastal disasters such as earthquakes and typhoons. Wind power generation systems built on the coast or far offshore are very disadvantageous in terms of economic feasibility due to an increase in initial investment cost because a more robust design is required when installed in areas vulnerable to coastal disasters. In this study, the GIS method was used to select the optimal site for a wind farm from the viewpoint of reducing the risk of coastal disasters. The current status of earthquakes in the West and South Seas of Korea, and the path and intensity of typhoons affecting or passing through the West and South Seas were also analyzed. Accordingly, the optimal offshore wind farm site with the lowest risk of coastal disasters has been selected and will be used as basic research data for offshore wind power projects in the region in the future.

Portfolio of Real Estate Price Index for ICT Environment Study on Diversification Effect (ICT 환경에서 부동산 가격지수 포트폴리오 분산효과에 관한 연구)

  • Jang, Dae-Seub;Min, Guy-Sik
    • The Journal of the Korea institute of electronic communication sciences
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    • v.9 no.3
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    • pp.393-402
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    • 2014
  • ICT environment to the survey released by the Bureau of Statistics 2012 Household Finance. Korean Welfare survey 24.9% of all households in financial assets, real estate is about three times more than 69.9%, respectively. The problem is that the information is slow and income deciles(deciles 1-4), a relatively high proportion of households with low(78.8 to 69%) of the real estate assets of the expansion of the world economy with low growth and low uncertainty, work from home due to the information changes in the structure of the economy, such as increases in real estate prices remain exposed to the risk of a phenomenon such as Pour House Pour Talent and low-income people is bound to be more serious symptoms. This low correlation is by constructing a composite asset portfolio, the weighted average risk of the individual assets while increasing overall revenue decrease that risk is based on the principle of portfolio by type and different areas in the ICT environment in a portfolio of real estate price index low correlation to financial assets by including the effect of dispersion stable complex asset portfolio and empirical Growth was divided.

Development of the Housing Business Model to Minimize the Fluctuation Risk of the Housing Market (주택시장 변동리스크를 최소화하기 위한 주택사업모델 개발)

  • Lee, Younghoon;Lee, Sanghyo;Kim, Jaejun
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.17 no.10
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    • pp.635-646
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    • 2016
  • This paper proposes a housing business model, where the presale and Chonsei housing are supplied under a presale system at the same time based on the characteristic correlation between the housing presale market and Chonsei market in Korea. Markowitz portfolio theory was used to review the risk diversification effects from the changes in the ratio between the presale housing supply and the Chonsei housing supply. The housing sale price indicator was used as a proxy variable to determine the presale housing supply. The housing Chonsei price indicator was used as a proxy variable to determine the Chonsei housing supply. The proposed housing business model was applied to major areas in Korea to examine the risk diversification effect. Comparisons of the regional portfolio analyses showed that the flexibility of the proposed housing business model can be quite effective because each regional housing market exhibits different characteristics. Market participants, such as developers, construction companies, consumers, and government, can expect various effects through the proposed housing business model. Nevertheless, policy support is necessary for practical applications of the proposed housing business model. In particular, public funds from the government need to be introduced.

Health Risk Management using Feature Extraction and Cluster Analysis considering Time Flow (시간흐름을 고려한 특징 추출과 군집 분석을 이용한 헬스 리스크 관리)

  • Kang, Ji-Soo;Chung, Kyungyong;Jung, Hoill
    • Journal of the Korea Convergence Society
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    • v.12 no.1
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    • pp.99-104
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    • 2021
  • In this paper, we propose health risk management using feature extraction and cluster analysis considering time flow. The proposed method proceeds in three steps. The first is the pre-processing and feature extraction step. It collects user's lifelog using a wearable device, removes incomplete data, errors, noise, and contradictory data, and processes missing values. Then, for feature extraction, important variables are selected through principal component analysis, and data similar to the relationship between the data are classified through correlation coefficient and covariance. In order to analyze the features extracted from the lifelog, dynamic clustering is performed through the K-means algorithm in consideration of the passage of time. The new data is clustered through the similarity distance measurement method based on the increment of the sum of squared errors. Next is to extract information about the cluster by considering the passage of time. Therefore, using the health decision-making system through feature clusters, risks able to managed through factors such as physical characteristics, lifestyle habits, disease status, health care event occurrence risk, and predictability. The performance evaluation compares the proposed method using Precision, Recall, and F-measure with the fuzzy and kernel-based clustering. As a result of the evaluation, the proposed method is excellently evaluated. Therefore, through the proposed method, it is possible to accurately predict and appropriately manage the user's potential health risk by using the similarity with the patient.

The Study on the System to Estimate the Cost by Using Regression in the Early Stage of the Project (공사 초기단계에서의 회귀분석을 이용한 최종공사비(EAC) 추정 방법)

  • Lee, Youn-Mi;Lee, Man-Hee;Lee, Hak-Ki
    • Proceedings of the Korean Institute Of Construction Engineering and Management
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    • 2006.11a
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    • pp.274-277
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    • 2006
  • The EAC(Estimate at Completion) among existing methods, which estimate cost and time effectively, help managers anticipate changeable several results at the point of $15{\sim}30%$ in the project progress. However, this method may cause such some problems as not to consider the periodically changing circumstances caused by construction risks or uncertainties which can affect the cost and time in the project, and to regard collected and accumulated data only as a single value when predicting the results on the progress. Accordingly, it is very difficult to accept the even small range of variability based on the anticipation of EAC. Consequently, the study focuses on the possibility methodology to anticipate time and cost accurately on the way to utilize EVMS(Earned Value Management System), and also suggest the way to perform the right estimation of EAC as considering various risks and uncertainties in construction projects.

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Optimal portfolio and VaR of KOSPI200 using One-factor model (원-팩터 모형을 이용한 KOSPI200지수 구성종목의 최적 포트폴리오 구성 및 VaR 측정)

  • Ko, Kwang Yee;Son, Young Sook
    • Journal of the Korean Data and Information Science Society
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    • v.26 no.2
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    • pp.323-334
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    • 2015
  • he current VaR model based on the J.P. Morgan's RiskMetrics structurally can not reflect the future economic situation. In this study, we propose a One-factor model resulting from the Wiener stochastic process decomposed into a systematic risk factor and an idiosyncratic risk factor. Therefore, we are able to perform a preemptive risk management by means of reflecting the predicted common risk factors in the model. Stocks in the portfolio are satisfied with the independence to each other because the common factors are fixed by the predicted value. Therefore, we can easily determine the investment in each stock to minimize the variance of the portfolio. In addition, the portfolio VaR is decomposed into the sum of the individual VaR. So we can effectively implement the constitution of the portfolio to meet the target maximum losses.