• The Korean Journal of Financial Management
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• v.23 no.2
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• pp.189-208
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• 2006

In this paper we are concerned with estimation of tail related risk measures for heteroscedastic financial time series and VaR limits that VaR tells us nothing about the potential size of the loss given. So we use GARCH-EVT model describing the tail of the conditional distribution for heteroscedastic financial series and adopt Expected Shortfall to overcome VaR limits. The main results can be summarized as follows. First, the distribution of stock return series is not normal but fat tail and heteroscedastic. When we calculate VaR under normal distribution we can ignore the heavy tails of the innovations or the stochastic nature of the volatility. Second, GARCH-EVT model is vindicated by the very satisfying overall performance in various backtesting experiments. Third, we founded the expected shortfall as an alternative risk measures.

• Journal of Korean Neurosurgical Society
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• v.61 no.4
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• pp.467-473
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• 2018

Objective : The aim of this study was to determine outcome of ischemic stroke patients in the anterior circulation treated with endovascular treatment (EVT) with intravenous thrombolysis (IVT) versus EVT alone group. Methods : A systemic literature review was performed using online database from January 2004 to January 2017. Primary outcomes were successful recanalization seen on finial angiography and good outcome at three months. Secondary outcomes were mortality and the development of symptomatic intracranial hemorrhage (S-ICH) after the procedure. A fixed effect model was used when heterogeneity was less than 50%. Egger's regression test was used to assess publication bias. Results : Five studies were included for final analysis. Between EVT with IVT and EVT alone group, successful recanalization (odds ratio [OR] 1.467, p=0.216), good clinical outcome at three months (OR 1.199, p=0.385), mortality (OR 0.776, p=0.371), and S-ICH (OR 1.820, p=0.280) did not differ significantly. Egger's regression intercept with 95% confidence interval (CI) was 1.99 (95% CI -2.91 to 6.89) in successful recanalization and -0.27 (95% CI -6.35 to 5.80) in good clinical outcome, respectively. Conclusion : The two treatment modalities, EVT with IVT and EVT alone, could be comparable in treating acute anterior circulation stroke. Studies to find specific beneficiary group for EVT alone, without primary IVT, are needed further.

• Journal of Korean Neurosurgical Society
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• v.62 no.2
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• pp.193-200
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• 2019

Objective : Endovascular treatment (EVT) outcomes for acute M2 segment of middle cerebral artery occlusion remains unclear because most results are obtained from patients with large artery occlusion in the anterior circulation. The objective of this study was to assess procedural outcomes for acute M2 occlusion and compare outcomes according to thrombus location (M1 vs. M2). Methods : A systematic review was performed for online literature published from January 2004 to December 2016. Primary outcome was successful recanalization rate and symptomatic intracranial hemorrhage (S-ICH) after the procedure. A fixed effect model was used if heterogeneity was less than 50%. Results : Eight articles were included. EVT showed successful recanalization rate of 69.1% (95% confidence interval [CI], 54.9-80.4%) and S-ICH rate of 6.1% (95% CI, 4.5-8.3%). The rates of good clinical outcome at 3 months and mortality were 59.4% (95% CI, 49.9-68.2%) and 14.9% (95% CI, 11.4-19.3%), respectively. According to thrombus location (M1 vs. M2), successful recanalization (odds ratio [OR], 1.539; 95% CI, 0.293-8.092; p=0.610) and S-ICH (OR, 1.313; 95% CI, 0.603-2.861; p=0.493) did not differ significantly. Good clinical outcome was more evident in M2 occlusion after EVT than that in M1 occlusion (OR, 1.639; 95% CI, 1.135-2.368; p=0.008). However, mortality did not differ significantly according to thrombus location (OR, 0.788; 95% CI, 0.486-1.276; p=0.332). Conclusion : EVT seems to be technically feasible for acute M2 occlusion. Direct comparative studies between EVT and medical treatment are needed further to find specific beneficiary group after EVT in patient with M2 occlusion.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.291-311
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• 2007

With a series of unexpected huge losses in the financial markets around the world recently, especially in the insurance market with extreme loss cases such as catastrophes, there is an increasing demand for risk management for extreme loss exposures due to high unpredictability of those risks. For extreme risk management, to make a maximum use of the information concerning the tail part of a loss distribution, EVT(Extreme Value Theory) modelling nay be the best to analyze extreme values. The Extreme Value Theory is widely used in practice and, especially in financal markets, EVT modelling is getting popular to analyBe the effects of extreme risks. This study is to review the significance of the Extreme Value Theory in risk management and, focusing on analyzing insurer's risk capital, extreme risk is measured using the real fire loss data and insurer's specific amount of risk capital is figured out to buffer the extreme risk.

• Structural Engineering and Mechanics
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• v.74 no.1
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• pp.55-67
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• 2020

The common practice to predict the characteristic structural load effects (LEs) in long reference periods is to employ the extreme value theory (EVT) for building limit distributions. However, most applications ignore that LEs are driven by multiple loading events and thus do not have the identical distribution, a prerequisite for EVT. In this study, we propose the composite extreme value modeling approach using clustering to (a) cluster initial blended samples into finite identical distributed subsamples using the finite mixture model, expectation-maximization algorithm, and the Akaike information criterion; (b) combine limit distributions of subsamples into a composite prediction equation using the generalized Pareto distribution based on a joint threshold. The proposed approach was validated both through numerical examples with known solutions and engineering applications of bridge traffic LEs on a long-span bridge. The results indicate that a joint threshold largely benefits the composite extreme value modeling, many appropriate tail approaching models can be used, and the equation form is simply the sum of the weighted models. In numerical examples, the proposed approach using clustering generated accurate extrema prediction of any reference period compared with the known solutions, whereas the common practice of employing EVT without clustering on the mixture data showed large deviations. Real-world bridge traffic LEs are driven by multi-events and present multipeak distributions, and the proposed approach is more capable of capturing the tendency of tailed LEs than the conventional approach. The proposed approach is expected to have wide applications to general problems such as samples that are driven by multiple events and that do not have the identical distribution.

• Wind and Structures
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• v.39 no.2
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• pp.85-100
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• 2024

In light of extreme value distribution probability, an improved prediction method of the Recurrence Period Wind Speed (RPWS) is constructed considering wind direction, with the Equivalent Independent Wind Direction Number (EIWDN) introduced as a parameter variable. Firstly, taking the RPWS prediction of Beijing city as an example, the traditional Cook method is used to predict the RPWS of each wind direction based on the measured wind speed data in Beijing area. On basis of the results, the empirical formulae to determine the parameter variables are fitted to construct an improved expression of the non-exceedance probability of the RPWS. In this process, the statistical model of the optimal threshold is established, and thus the independent wind speed samples exceeding the threshold are extracted and fitted to follow the Generalized Pareto Distribution (GPD) model for analysis. In addition, the Extreme Value Type I (EVT I) distribution model is used to predict and analyze the RPWS. To verify its wide applicability, the improved method is further used in cities like Jinan, Nanjing, Wuxi, Shanghai and Shenzhen to predict and analyze the RPWS of each wind direction, and the prediction results are compared against those gained via the traditional Cook method and the whole direction. Results show that the 50-year RPWS results predicted by the improved method are basically consistent with those predicted by the traditional method, and the RPWS prediction values of most wind directions are within the envelope range of the whole wind direction prediction value. Compared with the traditional method, the improved method can readily predict the RPWS under different return periods through empirical formulae, and avoid the repeated operation process and some assumptions in the traditional Cook method, and then improve the efficiency of prediction. In addition, the improved RPWS prediction results corresponding to the GPD model are slightly larger than those of the EVT I distribution model.

• The Journal of the Korea Contents Association
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• v.22 no.2
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• pp.647-664
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• 2022

This study explores the possibility that the figure of the Estill Voice Training model, which is based on speech science, can contribute to the expansion of vocal expertise in the acting art where an actor creates a character. The purpose of this study is to examine the usage plan. The training model through the fluidity and structural functionality of the voice production organ is differentiated from the existing voice training that focuses only on the results of sound due to its ambiguous abstraction. Developing the voluntary coordination ability of the occipital region and vocal tract, such as False Vocal Folds, Cricoid Cartilage, Velum, AES, and Anchoring, has scientific efficiency that makes it easier to produce artistic target sounds, and it is a technical skill that can creatively overcome the functional limitations faced by actors. It can be used as a methodology. The Estill model Figure, which is a principle training for harmony and coordination between the elements of voice production, has a practical value that can be used as an alternative training model for the voice education of actors in Korea, where images and abstractions are the mainstream.

• The Korean Journal of Applied Statistics
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• v.29 no.4
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• pp.753-771
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• 2016

Value at Risk (VaR) is widely used as an important tool for risk management of financial institutions. In this paper we discuss estimation and back testing for VaR of the portfolio composed of KOSPI, Dow Jones, Shanghai, Nikkei indexes. The copula functions are adopted to construct the multivariate distributions of portfolio components from marginal distributions that combine extreme value theory and GARCH models. Volatility models with t distribution of the error terms using Gaussian, t, Clayton and Frank copula functions are shown to be more appropriate than the other models, in particular the model using the Frank copula is shown to be the best.

• Information Systems Review
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• v.5 no.1
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• pp.129-146
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• 2003

Increasing number of transactions and investments in technology has sparked a growing interest in technology valuation. However, it has not been easy to come up with an objective valuation of technology due to variance in technology value and specialty of technology valuation. The main objective of this paper lies in the development of a new system for technology valuation, Web-based Interactive Technology Valuation (WITV) system, which valuate the technology and analyze the technology value strategy. WITV system uses the Technology Valuation Attractiveness Model (TVAM). TVA is composed of the Intrinsic Value of Technology (IVT) and the Extrinsic Value of Technology (EVT). This paper experiment the feasibility of the TVA Model and WITV System by conducting an empirical study on small & medium sized manufacturing companies in IT industry, registered on KOSDAQ. In this study, the potential value is defined as the technology value. It is represents the expected profit appraised by the market under the competitiveness of technology and the growth of the market. TVA is measured as the index to forecast the Price-to-Book value Ratio (PBR), which is the proxy variable for the potential value of the technology. The results identify the feasibility of the TVAM through a high correlation between the TVA and the PBR.

• The Journal of the Korea Contents Association
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• v.21 no.9
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• pp.136-148
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• 2021

In this study, the theoretical principle and structural practice of Estill Voice Training model that enables independent control of voice organs in the actor's acting art using voice as a medium of artistic expression. Its purpose is to explore the positive utility that can be applied to operation. The research on the speech science methodology that controls the differences in speech output due to the principle of the generation organ is a reality that has not been actively introduced in Korea compared to the existing actor's speech training that encompasses both the mind and the body. Voice can guarantee the accuracy and stability of operation when an understanding of our body is preceded based on anatomical physiology as well as contribute to the characterization of the character's phonetic character an element of character creation. Considering the training model through proprioception in actor voice training has practical value and alternative significance that the actor can be sought as a principle and practical methodology in the process of generating a series of target sounds.