• The Korean Journal of Applied Statistics
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• v.26 no.3
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• pp.471-481
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• 2013

The current VaR Model based on J. P. Morgan's RiskMetrics has problem that actual loss exceeds VaR under unstable economic conditions because the current VaR Model can't re ect future economic conditions. In general, any corporation's stock price is determined by the rm's idiosyncratic factor as well as the common systematic factor that in uences all stocks in the portfolio. In this study, we propose an One-factor VaR Model for stock portfolio which is decomposed into the common systematic factor and the rm's idiosyncratic factor. We expect that the actual loss will not exceed VaR when the One-factor Model is implemented because the common systematic factor considering the future economic conditions is estimated. Also, we can allocate the stock portfolio to minimize the loss.

• 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.

• Proceedings of the Korea Multimedia Society Conference
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• 2002.05c
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• pp.530-535
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• 2002

본 연구에서는 시스템 수용성 관점에서 사용성의 위상을 살펴보고, 사용성의 요인을 측정 가능한 휴먼팩터의 관점에서 기술하였다. 10개의 사용성 휴리스틱 원칙과 평가방법을 상술한 후, 사용성공학에 기반한 사용자 인터페이스 개발 프로세스 모형을 제시였다. 개발프로세스 단계들 중에서 휴리스틱 평가를 휴리스틱 평가원칙, 구성요인, 점검사항, 정성적ㆍ정량적평가, 진단으로 재구성하여 '천연 화장품전자상거래 사이트'에 적용하여 보다 효율적이고 효과적인 평가지침이 됨을 보이고 있다.

• Economic and Environmental Geology
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• v.41 no.2
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• pp.253-265
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• 2008

Sustainable resource management(SRM) is regarded as the core strategy to achieve Dematerialisation and Decoupling of economic growth from the use of natural resources and environmental degradation. This paper presents status SRM policy and research in worldwide, and analyzes decoupling of economic activity from energy consumption of domestic manufacturing, using decoupling factor. Also This paper suggests methodologies and strategies of SRM in Korea. SRM is established through various analysis and survey as following; forecasting of resource demand, material flow analysis and value chain analysis, resource market structure analysis. Through these analysis, we can obtain hot-spot and solution of environmental burden, recycling market management, recycling technology and best-optimal supply rate of primary and secondary resource. In Korea, resource management system must be linked with national and regional material flow analysis, and it is necessary to make SRM-law of national dimension for effective run of sustainable resource management system.