• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1263-1274
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• 2013

VaR (value at risk), which represents the expectation of the worst loss that may occur over a period of time within a given level of confidence, is currently used by various financial institutions for the purpose of risk management. In the majority of previous studies, the probability of return has been modeled with normal distribution. Recently Chen et al. (2010) measured VaR with asymmetric Laplacian distribution. However, it is difficult to estimate the mode, the skewness, and the degree of variance that determine the shape of an asymmetric Laplacian distribution with limited data in the real-world market. In this paper, we show that the VaR estimated with (symmetric) Laplacian distribution model provides more accuracy than those with normal distribution model or asymmetric Laplacian distribution model with real world stock market data and with various statistical measures.

• KDI Journal of Economic Policy
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• v.14 no.2
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• pp.189-203
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• 1992

Any money model should address the most important phenomenon of a monetary economy, which is the phenomenon of the rate of return dominance. Even if the holding returns on financial or nonfinancial assets are higher than the rate of return on fiat money holding, which is typically zero, people still hold and use money. In a period of accelerating inflation, number of dominating assets increases continuously, yet people continue to hold and use money. Wallace's (1980) overlapping generations model cannot address the rate of return dominance phenomenon. His model does not capture the mediun of exchange role of fiat money. In this paper, an overlapping types model of fiat money is constructed, in which different types of consumers have different preferences on different types of goods, are endowed with different types of goods, are located at seperated regions, and live for only two periods. In this model, people hold and use money despite the dominating assets, even if inflation accelates. Money in this case serves as a pure medium of exchange, whereas in Wallace's model, money serves as a pure store of value, and money disappears if a dominating asset exists. An interesting feature of the overlapping types model presented in this paper is that money does not provide a cheap approximation to an idealized and efficient real allocation. A monetary economy is always superior to a nonmonetary economy, because money helps overcome the incompleteness of the overlapping types friction. In a monetary economy, however, a pareto optimal allocation cannot always be achieved, because money cannot always overcome the overlapping types friction itself. Therefore, with the criterion of optimality of real allocations, the monetary economy is more optimal than a nonmonetary economy but less optimal than a complete Arrow-Debreu economy. This feature has important implications on macro modelling. Because of the difficulty in introducing money into a macro model in an essential and endogenous manner as in the overlapping types model of this paper, a macro model typically ignores money and studies real allocations without the money factor. The possible inefficiencies of a monetary economy, relative to a complete real Arrow-Debreu economy, may indicate differences in real allocations between the two models.

• Wind and Structures
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• v.16 no.4
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• pp.373-391
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• 2013

This is the first of two companion papers that analyse ten years of on-site monitoring data for the Confederation Bridge to determine the validity of the original wind speeds and wind loads predicted in 1994 when the bridge was being designed. The check of the original design values is warranted because the design wind speed at the middle of Northumberland Strait was derived from data collected at shore-based weather stations, and the design wind loads were based on tests of section and full-aeroelastic models in the wind tunnel. This first paper uses wind, tilt, and acceleration monitoring data to determine the static and dynamic responses of the bridge, which are then used in the second paper to derive the static and dynamic wind loads. It is shown that the design ten-minute mean wind speed with a 100-year return period is 1.5% less than the 1994 design value, and that the bridge has been subjected to this design event once on November 7, 2001. The dynamic characteristics of the instrumented spans of the bridge including frequencies, mode shapes and damping are in good agreement with published values reported by others. The on-site monitoring data show bridge response to be that of turbulent buffeting which is consistent with the response predicted at the design stage.

• Journal of Distribution Science
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• v.17 no.3
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• pp.69-83
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• 2019

Purpose - This paper investigates the long term impact of RFID investment on firm value in Korea. We wand to find out why the long term performance of some firm's RFID investment is better than others. To understand the dynamics of the long term returns from RFID investment announcements, we divide our events into groups for each of the independent firm characteristic variable such as investment time period, kind of markets, industries, solvency and growth potential. We composed portfolios based on the RFID investment announcement date for each group and evaluate the monthly abnormal excess returns. Research design, data, and methodology - Based on these calendar-time portfolios, we measure the long term returns from 86 RFID investment announcements of 46 firms from 2003 to 2017. We construct the calendar-time portfolio for 3, 6, 9, 12 months of holding periods. Using the weighted least squares method, we regress the raw monthly returns of the portfolios on the Fama-French model and Carhart(1997) model. As a result, we can get the estimated risk adjusted mean monthly abnormal excess return α_P for each of the calendar-time portfolio. Results - We found that early adopters, large firms, non-manufacturing firms have very significant excess returns. We also found modestly significant excess returns for financially stable firms and slow growing firms. Put together, top managers of the firms which plan to invest RFID should understand the strategic role of RFID adoption and the generalized business process of distribution information technology investment in Korea. Moreover, the findings of this paper provide useful trading strategies to the managers of large funds who are considering on investing in RFID adopting firms. Conclusions - Put together, the results of this paper give us a new insight into how the RFID and IT technology in general and other characteristic factors' interactions affect the long term performance of firms. Using the unbiased estimates of long term returns of the calendar-time portfolios, this paper extends the understandings on short term impact of RFID adoption of existing studies. This paper also extends the current understandings of firm characteristics that affect the long term performance of RFID adopting firms.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.24 no.4
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• pp.235-246
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• 2012

Typhoon induced surge simulations are done to make an establishment of coastal disaster prevention plan. To apply efficient run-up and overtopping on vertical harbor docks, in which prevailing wet-dry scheme cannot be satisfied due to infinite steepness, an imaginary internal barrier concept introduced and analyzed. Before real application on the Mokpo harbor area, feasibility tests are done on an idealized simple geometry and as a result it is found that the moderate width of the barrier might be 1 m. The threshold value of the minimum wet depth $H_{min}$ for land area, which behaves sensitive role in inundation area and depth, depends on grid size. However it is revealed that 0.01 m is adequate value in this fine finite element with 10 m spacing. A hypothetical typhoon of 100 years return period in central pressure and maximum velocity is generated based on historical tracks. Simulation of possible inundation on Mokpo area is performed with asymmetrical vortex of hypothetical typhoon and wave coupling. Model results show general agreement in pattern compared to other's prediction, however possibility of inundation enlargement is expected in harbor area.

• Journal of Korea Water Resources Association
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• v.31 no.4
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• pp.469-481
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• 1998

A point frequency analysis is carried out for the Indogyo site at the Han river using 68 annual maximun flood data for the period of 1918-1992. Computed frequency discharges using the three parameter log-normal, type-I extreme value, type-III extreme value, and Pearson type-III computed as 35,500 m3/sec and 39,000 m3/sec, respectively, 33,500 m3/sec and 37,500 m3/sec of corresponding return periods are computed when the flood control effect of the dams are taken into account. The resulting flood discharge of 37,500 m3/sec is similar to the current design flood of 37,000 m3/sec in downstream reach of Han river, so, it could be desirable to keep the the current design flood, considering the increasing tendency of the flood due to the climate change. Keywords : frequency analysis, flood discharge, Han river.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.10 no.3
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• pp.133-146
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• 2015

This study is to investigate the causal relationship between exchange hedge and the net income of the shipbuilder through the unit root test and co-integration and vector autoregressive model(Vector Autoregressive Model: VAR). First, quarter net income of shipbuilders to order a unit root tests from 2000 to 2013 was used as a value after the Johnson transformation. In the same period, the return on bond futures(KTBF), three years bond yield(KTB3Y), America-Korea exchange differences are weekly data for each quarterly difference in value was converted by utilization, shipbuilding shares after log transformation which it was used. Also, structural change point investigation analysis to verify that looked to take advantage of the structural changes occur in the exchange hedge strategies affecting net income in the shipbuilding industry. Between the exchange hedge and net income of shipbuilders in structural change points detection and analysis showed that structural changes occur starting in 2004. In other words, strategy of shipbuilders about exchange hedge has occurred from "passive exchange hedge" to "active exchange hedge". The exchange hedge of the Korea shipbuilders through the estimation of the VAR was able to grasp that affect the profitability of mutual shipbuilders. Macroeconomic variables and stock prices could also check to see that affected the net income of the shipbuilding industry.

• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.123-139
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• 2019

The Korean NPL market was formed by the government and foreign capital shortly after the 1997 IMF crisis. However, this market is short-lived, as the bad debt has started to increase after the global financial crisis in 2009 due to the real economic recession. NPL has become a major investment in the market in recent years when the domestic capital market's investment capital began to enter the NPL market in earnest. Although the domestic NPL market has received considerable attention due to the overheating of the NPL market in recent years, research on the NPL market has been abrupt since the history of capital market investment in the domestic NPL market is short. In addition, decision-making through more scientific and systematic analysis is required due to the decline in profitability and the price fluctuation due to the fluctuation of the real estate business. In this study, we propose a prediction model that can determine the achievement of the benchmark yield by using the NPL market related data in accordance with the market demand. In order to build the model, we used Korean NPL data from December 2013 to December 2017 for about 4 years. The total number of things data was 2291. As independent variables, only the variables related to the dependent variable were selected for the 11 variables that indicate the characteristics of the real estate. In order to select the variables, one to one t-test and logistic regression stepwise and decision tree were performed. Seven independent variables (purchase year, SPC (Special Purpose Company), municipality, appraisal value, purchase cost, OPB (Outstanding Principle Balance), HP (Holding Period)). The dependent variable is a bivariate variable that indicates whether the benchmark rate is reached. This is because the accuracy of the model predicting the binomial variables is higher than the model predicting the continuous variables, and the accuracy of these models is directly related to the effectiveness of the model. In addition, in the case of a special purpose company, whether or not to purchase the property is the main concern. Therefore, whether or not to achieve a certain level of return is enough to make a decision. For the dependent variable, we constructed and compared the predictive model by calculating the dependent variable by adjusting the numerical value to ascertain whether 12%, which is the standard rate of return used in the industry, is a meaningful reference value. As a result, it was found that the hit ratio average of the predictive model constructed using the dependent variable calculated by the 12% standard rate of return was the best at 64.60%. In order to propose an optimal prediction model based on the determined dependent variables and 7 independent variables, we construct a prediction model by applying the five methodologies of discriminant analysis, logistic regression analysis, decision tree, artificial neural network, and genetic algorithm linear model we tried to compare them. To do this, 10 sets of training data and testing data were extracted using 10 fold validation method. After building the model using this data, the hit ratio of each set was averaged and the performance was compared. As a result, the hit ratio average of prediction models constructed by using discriminant analysis, logistic regression model, decision tree, artificial neural network, and genetic algorithm linear model were 64.40%, 65.12%, 63.54%, 67.40%, and 60.51%, respectively. It was confirmed that the model using the artificial neural network is the best. Through this study, it is proved that it is effective to utilize 7 independent variables and artificial neural network prediction model in the future NPL market. The proposed model predicts that the 12% return of new things will be achieved beforehand, which will help the special purpose companies make investment decisions. Furthermore, we anticipate that the NPL market will be liquidated as the transaction proceeds at an appropriate price.

• Journal of the Korean earth science society
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• v.42 no.5
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• pp.524-535
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• 2021

Rapid climate change and oceanic warming have increased the variability of oceanic wave heights over the past several decades. In addition, the extreme wave heights, such as the upper 1% (or 5%) wave heights, have increased more than the heights of the normal waves. This is true for waves both in global oceans as well as in local seas. Satellite altimeters have consistently observed significant wave heights (SWHs) since 1991, and sufficient SWH data have been accumulated to investigate 100-year return period SWH values based on statistical approaches. Satellite altimeter data were used to estimate the extreme SWHs at the Ieodo Ocean Research Station (IORS) for the period from 2005 to 2016. Two representative extreme value analysis (EVA) methods, the Initial Distribution Method (IDM) and Peak over Threshold (PoT) analysis, were applied for SWH measurements from satellite altimeter data and compared with the in situ measurements observed at the IORS. The 100-year return period SWH values estimated by IDM and PoT analysis using IORS measurements were 8.17 and 14.11 m, respectively, and those using satellite altimeter data were 9.21 and 16.49 m, respectively. When compared with the maximum value, the IDM method tended to underestimate the extreme SWH. This result suggests that the extreme SWHs could be reasonably estimated by the PoT method better than by the IDM method. The superiority of the PoT method was supported by the results of the in situ measurements at the IORS, which is affected by typhoons with extreme SWH events. It was also confirmed that the stability of the extreme SWH estimated using the PoT method may decline with a decrease in the quantity of the altimeter data used. Furthermore, this study discusses potential limitations in estimating extreme SWHs using satellite altimeter data, and emphasizes the importance of SWH measurements from the IORS as reference data in the East China Sea to verify satellite altimeter data.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.19 no.3
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• pp.301-308
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• 2018

This study explores an analytical mathematical model designed to estimate the optimal debt ratio of the Korean automobile industry, which has a more significant effect on the national economy than that of other industries, and attempts to estimate the optimal debt ratio based on objective data. The analytical model is based on ROA and ROE which uses the debt ratio as an independent variable and employs ROS, TAT, and NFCL as the related parameters. Regarding the NFCL, the optimal debt ratio is usually defined as the debt ratio that maximizes the ROA and ROE and is calculated using analytical procedures, such as by adding an equation that considers the debt ratio and the linearity relationship to the analytical model. This is because the optimal debt ratio can be calculated reliably by making use of an estimated value within a certain range, which is derived from more than two calculations rather than a single estimation starting from one calculation formula. In this study, for the estimation of the optimal debt ratio, the ROA and ROE are expressed as a quadratic equation with the debt ratio as the independent variable. Using this analysis procedure, the optimal debt ratio obtained using the data from the Korean automobile industry over a sixteen year period, which would optimize the profitability of the Korean automobile industry, was found to be 188% of the debt ratio in the ROA and 213% of the debt ratio in the ROE. This result was obtained by overcoming the problem of the reliability of the estimation value in spite of the limitations of the logical theory of this study, and can be interpreted as meaning that maintaining a debt ratio of 188% to 213% can enhance the profitability and reduce the risks in the Korean automobile industry. Furthermore, this indicates that the existing debt ratio of the Korean automobile industry is lower than the optimal value within the estimated range. Consequently, it is necessary for corporations to change their future debt ratio policies, given that the purpose of debt ratio management is to maintain safety and increase profitability, and to take into account the characteristics of the specific industry.