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

• Journal of Korean Ophthalmic Optics Society
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• v.18 no.3
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• pp.347-356
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• 2013

Purpose: To evaluate the visual acuity and visual performance after implantation of a aspheric multifocal (ReSTOR$^{(R)}$ SN6AD3) intraocular lens (IOL). Methods: Nineteen cataract patients (30 eyes) implanted with an aspheric multifocal IOL (ReSTOR$^{(R)}$ SN6AD3) either unilaterally or bilaterally were participated. Visual acuity (VA) and objective optical performance were evaluated at the time of preoperation, 1 week, 1 month, and 3 month after operation. At 3 month of post-operation, objective visual performance were measured and compared with the 38 eyes of 20 age-matched normal control. Distance VA was measured by using the ETDRS LCD chart and intermediate and near visual acuity were measured using Jaeger chart. Objective visual performance was assessed preoperatively and 1 week, 1 month and 3 month postoperatively using a double-pass system (Optical Quality Analysis System) with a 4-mm pupil diameter, the OSI (objective scatter index), MTF (modulation transfer function) cut off and strehl ratio. At 3 month of post-operation, visual acuity and visual performance compared with age matched normal control. Results: The uncorrected distance VA, OSI, MTF cut off and strehl ratio were significantly improved (p<0.05) until 1 month postoperatively. Visual performance of MTF cut off and strehl ratio after 3 month of operation were significantly improved compared to the normal control (p=0.063, p=0.103 respectively), however, OSI was higher than normal control. Patients implanted with aspheric multifocal IOL were satisfied with distance and near VA however, were unsatisfied with intermediate VA and reported glare and halos. Conclusions: The visual performance reaches to a stable condition in 1 month of implantation of aspheric multifocal IOL and improved to the level of age-mated normal patients. Also patients were satisfied with their quality of vision, however, intermediate VA, glare and halos were reported as complications.