• The Korean Journal of Applied Statistics
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• v.24 no.2
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• pp.253-268
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• 2011

In this paper, we estimate systematic risk from credit migration (or transition) matrices under "Asymptotic Single Risk Factor" model. We analyzed transition matrices issued by KR(Korea Ratings) and concluded that systematic risk implied on credit migration somewhat coincide with the real economic cycle. Especially, we found that systematic risk implied on credit migration is better than that implied on the default rate. We also emphasize how to conduct a stress test using systematic risk extracted from transition migration. We argue that the proposed method in this paper is better than the usual method that is only considered for the conditional probability of default(PD). We found that the expected loss critically increased when we explicitly consider the change of credit quality in a given portfolio, compared to the method considering only PD.

• Journal of the Korean Society of Marine Environment & Safety
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• v.12 no.4 s.27
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• pp.293-300
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• 2006

Domestic laws such as Korea Marine Pollution Prevention Law (KMPPL) which has been mae and amended according to the conclusions and amendments of various international conventions for the prevention a marine pollution such as MARPOL 73/78 were reviewed and compared with the major contents of the relevant international conventions. Alternative measures for legislating new laws or amending existing laws such as KMPPL for the acceptance of major contents of existing international conventions were proposed. Annex VI of MARPOL 73/78 into which the regulations for the prevention of air pollution from ship have been adopted has been recently accepted in KMPPL which should be applied to ships which are the moving sources of air pollution at sea rather tlnn in Korea Air Environment Conservation Law which should be applied to automobiles and industrial installations in land. The major contents of LC 72/95 have been accepted in KMPPL However, a few of substances requiring special care in Annex II of 72LC, a few of items in characteristics and composition for the matter in relation to criteria governing the issue of permits for the dumping of matter at sea in Annex III of 72LC, and a few of items in wastes or other matter that may be considered for dumping in Annex I of 96 Protocol have not been accepted in KMPPL yet. The major contents of OPRC 90 have been accepted in KMPPL. However, oil pollution emergency plans for sea ports and oil handling facilities, and national contingency plan for preparedness and response have not been accepted in KMPPL yet. The waste oil related articles if Basel Convention, which shall regulate and prohibit transboundary movement of hazardous waste, should be accepted in KMPPL in order to prevent the transfer if scrap-purpose tanker ships containing oil/water mixtures and chemicals remained on beard from advanced countries to developing and/or underdeveloped countries. International Convention for the Control if Harmful Anti-Fouling Systems on the Ships should be accepted in KMPPL rather tlnn in Korea Noxious Chemicals Management Law. International Convention for Ship's Ballast Water/Sediment Management should be accepted in KMPPL or by a new law in order to prevent domestic marine ecosystem and costal environment from the invasion of harmful exotic species through the discharge of ship's ballast water.

• Journal of The Korean Astronomical Society
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• v.36 no.spc1
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• pp.83-91
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• 2003

There are terrestrial signatures of the solar activity cycle in ice core data (Ram & Stoltz 1999), but the variations in the sun's irradiance over the cycle seem too small to account for the signature (Lean 1997; Goode & Dziembowski 2003). Thus, one would expect that the signature must arise from an indirect effect(s) of solar activity. Such an indirect effect would be expected to manifest itself in the earth's reflectance. Further, the earth's climate depends directly on the albedo. Continuous observations of the earthshine have been carried out from Big Bear Solar Observatory since December 1998, with some more sporadic measurements made during the years 1994 and 1995. We have determined the annual albedos both from our observations and from simulations utilizing the Earth Radiation Budget Experiment (ERBE) scene model and various datasets for the cloud cover, as well as snow and ice cover. With these, we look for inter-annual and longer-term changes in the earth's total reflectance, or Bond albedo. We find that both our observations and simulations indicate that the albedo was significantly higher during 1994-1995 (activity minimum) than for the more recent period covering 1999-2001 (activity maximum). However, the sizes of the changes seem somewhat discrepant. Possible indirect solar influences on the earth's Bond albedo are discussed to emphasize that our earthshine data are already sufficiently precise to detect, if they occur, any meaningful changes in the earth's reflectance. Still greater precision will occur as we expand our single site observations to a global network.

• Journal of the Korean Data and Information Science Society
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• v.21 no.3
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• pp.407-417
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• 2010

In Basel II compliance, internal rating systems are allowed for banks to enhance the self control and the validation of the system are getting more important. The validation methods are composed of qualitative test and quantitative test, three basic standards of which are discriminatory power, stability and calibration. The aim of this article is to review the quantitative tests for calibration and find a new method for it. These methods for discrimination between forecasted PD and observed PD include binomial test, chi square test, Brier score, traffic lights approach, normal test and extended traffic lights approach. We introduce a modified extended traffic lights approach considering asset correlations.