• Journal of the Korean Data and Information Science Society
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• v.27 no.6
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• pp.1453-1463
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• 2016

The most useful financial risk measure may be VaR (Value at Risk) which estimates the maximum loss amount statistically. The VaR tends to be estimated in many industries by using transformed univariate risk including variance-covariance matrix and a specific portfolio. Hong et al. (2016) are defined the Vector at Risk based on the multivariate quantile vector. When a specific portfolio is given, one point among Vector at Risk is founded as the best VaR which is called as an alternative VaR (AVaR). In this work, AVaRs have been investigated for multivariate normal distributions with many kinds of variance-covariance matrix and various portfolio weight vectors, and compared with VaRs. It has been found that the AVaR has smaller values than VaR. Some properties of AVaR are derived and discussed with these characteristics.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.19 no.4
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• pp.433-438
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• 2018

This study examined the effects of ambiguity aversion on the self-protection and self-insurance efforts using a two-period model to consider the time difference between making an effort and occurring loss, which is in contrast with the existing one-period model. The loss follows a binary distribution while the distribution is ambiguous. The distribution depends on the state variable. First, the effort of ambiguity averse individuals is not always greater than that of ambiguity neutral ones. Second, the effects of absolute ambiguity aversion (AAA), which does not appear in one-period model, were observed. Not-increasing AAA is a sufficient condition to increase the efforts of ambiguity averse individuals compared to those of ambiguity neutral ones. In addition, the change in effort also depends on the probability function of the state. Lastly, the results hold even when the individual is risk neutral or risk loving. As a result, ambiguity aversion needs to be considered independently with risk aversion.

• The Korean Journal of Applied Statistics
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• v.24 no.3
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• pp.523-533
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• 2011

Most nancial preference methods for market risk management are to estimate VaR. In many real cases, it happens to obtain the VaRs of the univariate as well as multivariate distributions based on multivariate data. Copula functions are used to explore the dependence of non-normal random variables and generate the corresponding multivariate distribution functions in this work. We estimate Archimedian Copula functions including Clayton Copula, Gumbel Copula, Frank Copula that are tted to the multivariate earning rate distribution, and then obtain their VaRs. With these Copula functions, we estimate the VaRs of both a certain integrated industry and individual industries. The parameters of three kinds of Copula functions are estimated for an illustrated stock data of two Korean industries to obtain the VaR of the bivariate distribution and those of the corresponding univariate distributions. These VaRs are compared with those obtained from other methods to discuss the accuracy of the estimations.

• The Journal of Small Business Innovation
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• v.20 no.3
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• pp.49-68
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• 2017

Platform finance is emerging as an alternative finance for SMEs by suggesting a new funding source based on a new technology named FinTech. The essence of this business is the adapting ICT challenges to the financial industry that can adequately reflect risk assessment using Big Data and effectively meet individual risk-return preference. Thus, this is evolving as an alternative to existing finance in the form of P2P loans for Micro Enterprises and supply-chain finance for SMEs that need more working capital. Platform finance in Korea, however, is still at an infant stage and requires policy support. This can be summarized as follows: "Participation of institutional investors and the public sector," meaning that public investors provide seed money for the private investors to crowd in for platform finance. "Negative system in financial regulations," with current regulations to be deferred for new projects, such as Sandbox in the UK. In addition, "Environment for generous use of data," allowing discretionary data sharing for new products," and "Spreading alternative investments," fostering platform finance products as alternative investments in the low interest-rate era.

• The Korean Journal of Financial Management
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• v.22 no.1
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• pp.147-179
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• 2005

It is frequently said that mortgage-backed securities (MBS) of different security designs are issued in an attempt to meet the varying needs and expectations of investors. If this is true indeed, MBS of complicated risk-return characteristics are likely to be priced higher than MBS of simple risk-return characteristics we. We test this implication by establishing a recombining binomial interest rate prepayment model with a burnout effect embedded. More specifically, we compare the relative values (utilities) of a pass-through and a PAC- Support collateralized mortgage obligation(CMO), and theoretically show why and how the CMO is more highly valued than is the pass-through. The model is established such that mortgage prepayment is a function of the current value of, and the past path of, the mort-gage market rate. Since we work on not the total value of the two MBS but the value of each tranche of either MBS, the test results could be robust to slightly different versions of similar tests, which may be done in the future.

• Journal of Digital Convergence
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• v.18 no.10
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• pp.239-252
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• 2020

By using text mining, we explore the factors responsible for an increase in SUV preference. We collected 32,679 posts related to SUVs from "Bobaedream," the largest online automobile community in South Korea, and applied the LDA topic model. While previous studies have explained the SUV boom as an individual's risk aversion strategy from crime, the result shows that the topic of 'Safety' appears to be an important factor in the SUV discourse in the context of a car accident and high-speed driving situation. To conclude, the consumption of SUVs in Korean society serves as a mean to prevent anxiety and danger to individuals when driving. We insist that decreasing social trust, caused by an increase in inequality, underlies the perception of risk on the road.

• The Journal of The Korea Institute of Intelligent Transport Systems
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• v.15 no.5
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• pp.1-11
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• 2016

The purpose of this study is to contribute the use of special taxi for the transportation vulnerable such as elderly and pregnant woman in terms of improving transportation mobility and extending social participation. We analyzed the DB users of STS system operating in Suwon, and surveyed the preference statement. Specifically, we have built transportation mode choice models for the elderly and pregnant woman, and then we drew the activating STS plan by comparing influence factors for each model. Based on the results of the study, 23% of STS user was the elderly people and pregnant women, 31% of user was for hospital passage purpose, and short-haul passage within 2 ~ 5km was 70% level of the passage. According to preference survey results between STS and Bus, fare was the highest impact factor in the mode choices for the elderly, and the participants who are older and car owners have been found to prefer the special taxi. For the pregnant woman, travel time and fare were the main influence factors of choices, and it was discovered that they preferred the special taxi when they are car owners and trips was frequented. Also, if the fare of special taxi is about 70% of the regular taxi fare, The share rates of Special Taxi comparing to bus for the elderly and pregnant woman are analyzed to be 51.1% and 63.6% each. Therefore, the adjustment of the fare would be effective to encourage the use of the special taxi. The results of this study can be used as a basis for establishing the rational fare structure of the special taxi.

• Information Systems Review
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• v.25 no.1
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• pp.111-128
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• 2023

With the development of artificial intelligence technology, interest in data-based product preference estimation and personalized recommender systems is increasing. However, if the recommendation is not suitable, there is a risk that it may reduce the purchase intention of the customer and even extend to a huge financial loss due to the characteristics of the financial product. Therefore, developing a recommender system that comprehensively reflects customer characteristics and product preferences is very important for business performance creation and response to compliance issues. In the case of financial products, product preference is clearly divided according to individual investment propensity and risk aversion, so it is necessary to provide customized recommendation service by utilizing accumulated customer data. In addition to using these customer behavioral characteristics and transaction history data, we intend to solve the cold-start problem of the recommender system, including customer demographic information, asset information, and stock holding information. Therefore, this study found that the model proposed deep learning-based collaborative filtering by deriving customer latent preferences through characteristic information such as customer investment propensity, transaction history, and financial product information based on customer transaction log records was the best. Based on the customer's financial investment mechanism, this study is meaningful in developing a service that recommends a high-priority group by establishing a recommendation model that derives expected preferences for untraded financial products through financial product transaction data.

• Korea journal of population studies
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• v.32 no.2
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• pp.161-183
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• 2009

지난 30년 동안 출산율은 대부분의 국가에서 감소했다. 그리고 전 세계 인구의 절반 이상은 대체수준 이하의 출산력 수준에 이르고 있다. 합계출산율이 1.5 혹은 그 이하의 출산력 수준을 보이는 국가의 수도 계속 증가하고 있다. 저출산의 확산과 함께 합계출산율 1.3 이하를 의미하는 초저출산 현상도 크게 주목받고 있다. 앞으로 저출산이 멈출 것인지, 출산율이 회복될 것인지 혹은 지속적으로 감소할 것인지에 대해서는 아무도 쉽게 답할 수 없다. 그럼에도 불구하고 최근 산업국가들이 보여주고 있는 저출산 기조는 상당 기간 지속될 것으로 보는 견해가 일반적이다. 이 글은 저출산 및 초저출산 현상을 어떻게 설명할 것인가에 대한 이론적 논의를 검토하고, 이러한 논의가 한국 사회의 인구학적 변화에 어떤 함의를 지니고 있는가를 제시하고자 한다. 이를 위해 우선 저출산을 설명하는데 유용한 이론적 틀을 검토하고자 한다. 이들은 제2차 인구변천이론, 합리적 선택이론, 위험이론, 양성평등 이론, 선호이론, 젠더와 시장이론 등을 포함한다. 이를 기반으로 본 연구는 한국사회의 저출산 현상을 설명하는 연구들의 특성과 시사점 등을 검토하고자 한다.

• The Korean Journal of Financial Studies
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• v.6 no.1
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• pp.1-22
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• 2000

본 연구는 기업의 자본조달행태를 가장 잘 설명할 수 있는 이론을 자본조달순서 이론으로 대별하고 한국기업의 자본조달행동에 대한 설명력을 실증분석하였다. 실증분석결과는 첫째, 투자안에 소요되는 충분한 여유자금의 유무는 외부자본조달결정에 정(+)의 영향을 미치고 있으며, 보통주보다 회사채를 선호하는 것으로 나타났다. 그러나 현금과잉이 외부금융가능성에 음(-)의 영향을 미친다고 단정지을 수는 없다. 둘째, 기업의 위험이 증가할수록 부채사용의 증가를 예측하고 있으며, 정보비대칭에 관한 대용변수가 POT에서 주장하는 자본조달 신호로 작용하고 있지 않다. 이러한 결과는 투자안에 소요되는 내부자본이 부족하여 외부자본을 조달할 경우에 기업의 능력보다도 자본시장의 환경과 시장여건이 더욱 중요하다는 것을 시사하고 있다.