• 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.

• Nuclear Engineering and Technology
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• v.41 no.9
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• pp.1157-1170
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• 2009

A variety of Generation III/III+ reactor designs featuring enhanced safety and improved economics are being proposed by nuclear power industries around the world to solve the future energy supply shortfall. Nanofluid coolants showing an improved thermal performance are being considered as a new key technology to secure nuclear safety and economics. However, it should be noted that there is a lack of comprehensible design works to apply nanofluids to Generation III+ reactor designs. In this work, the review of accident scenarios that consider expected nanofluid mechanisms is carried out to seek detailed application spots. The Axiomatic Design (AD) theory is then applied to systemize the design of nanofluid-engineered nuclear safety systems such as Emergency Core Cooling System (ECCS) and External Reactor Vessel Cooling System (ERVCS). The various couplings between Gen-III/III+ nuclear safety features and nanofluids are investigated and they try to be reduced from the perspective of the AD in terms of prevention/mitigation of severe accidents. This study contributes to the establishment of a standard communication protocol in the design of nanofluid-engineered nuclear safety systems.

• Journal of the Korean Society for Aviation and Aeronautics
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• v.27 no.1
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• pp.57-68
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• 2019

The emission trading system implemented in Korea is a system in which the government allocates or sells emission rights by setting the emission allowable amount to economic players subject to the emission trading system, allowing companies to freely trade shortfall or extra money through the emission trading market. Korea also had implemented its first emission trading system scheme period of time from 2015 to 2017. As a result of the first planning period in which total of seven Korean airlines were targeted, the emission amount was about 5.51 million KAU, while the quota amount was only about 4.85 million KAU, about 116% of the actual quota was emitted and Domestic airlines have incurred additional costs of about 10.7 billion won. Due to ICAO's implementation of CORSIA, the airlines are expected to have to shoulder additional costs because purchasing exceed quota will be increased in order to offset excess emissions not only on domestic but also on international routes. Thus, this paper had analyzed the characteristics of the carbon trading system of air transport industry and suggested a mix of regulatory policies as an improvement method.

• Korean Journal of Soil Science and Fertilizer
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• v.47 no.2
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• pp.92-99
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• 2014

The crop growing conditions make accurate predictions of yield ahead of harvest time difficult. Such predictions are needed by the government to estimate, ahead of time, the amount of crop required to be imported to meet the expected domestic shortfall. Corn and soybean especially are widely cultivated throughout the world and a staple food in many regions of the world. On the other hand, the CASA (Carnegie-Ames-Stanford Approach) model is a process-based model to estimate the land plant NPP (Net Primary Productivity) based on the plant growing mechanism. In this paper, therefore, a methodology for the estimation of corn/soybean yield ahead of harvest time is developed specifically for the growing conditions particular to Iowa and Illinois. The method is based on CASA model using MODIS data, and uses Net Primary Productivity (NPP) to predict corn/soybean yield. As a result, NPP at DOY 217 (in Illinois) and DOY 241 (in Iowa) tend to have high correlation with corn/soybean yields. The corn/soybean yields of Iowa in 2013 was estimated to be 11.24/3.55 ton/ha and Illinois was estimated to be 10.09/3.06 ton/ha. Errors were 6.06/17.58% and -10.64/-7.07%, respectively, compared with the yield forecast of the USDA. Crop yield distributions in 2013 were presented to show spatial variability in the state. This leads to the conclusion that NPP changes in the crop field were well reflected crop yield in this study.

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• Communications for Statistical Applications and Methods
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• v.17 no.5
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• pp.653-666
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• 2010

Under the retirement pension plan enforced since December 2005, retirees can just choose the payout strategy either of a lump sum allowance or of an annuity in receiving the retirement benefit. Therefore, it is imperative to review and introduce the program withdrawal system enforced by countries with mature pension plan, and complement the limitations of the current payout strategy in the future. In this study, the appropriateness of each of the payout strategies related to the program withdrawal system is examined in terms of shortfall risk and bequest fund per each risk propensity through the expected utility model that reflects the age of the retiree.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• Journal of the Korea Organic Resources Recycling Association
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• v.20 no.1
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• pp.23-30
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• 2012

In the state that re-evaluation of calculating optimum amount of incineration in the future is needed, as considering the amount of waste, increase of heat value and change in floating population in each area in city B, the purpose of this research was to predict optimum available capacity in incineration plant and to study alternatives for the amount of disposal in each incineration plant based on the available capacity that was predicted. As a result of predicting the change in population based on progress of population in city B in the past, it is expected that an overall population is decreasing, but in some areas, population is concentrated due to increased apartment complexes, showing similar figures as the present. Moreover, when predicting the amount of waste through forecasting population, it is considered that the amount of waste by decreased population is also decreasing. However, the amount of combustible component among a total amount of waste is expected to increase, so it is predicted that the amount of incineration and combustible component will be reasonable except D incineration plant, Therefore, D incinerating plant showed 72.7% of rate of utilization of incineration facility compared to 59.1% of national rate. However, if shortfall of waste in the future can be used wisely in other areas, the use of renewable energy using burner useless heat can be maximized.

• Korean Journal of Exercise Nutrition
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• v.16 no.2
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• pp.65-71
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• 2012

Oxygen is the final acceptor of electron transport from fat and carbohydrate oxidation, which is the rate-limiting factor for cellular ATP production. Under altitude hypoxia condition, energy reliance on anaerobic glycolysis increases to compensate for the shortfall caused by reduced fatty acid oxidation [1]. Therefore, training at altitude is expected to strongly influence the human metabolic system, and has the potential to be designed as a non-pharmacological or recreational intervention regimen for correcting diabetes or related metabolic problems. However, most people cannot accommodate high altitude exposure above 4500 M due to acute mountain sickness (AMS) and insulin resistance corresponding to a increased levels of the stress hormones cortisol and catecholamine [2]. Thus, less stringent conditions were evaluated to determine whether glucose tolerance and insulin sensitivity could be improved by moderate altitude exposure (below 4000 M). In 2003, we and another group in Austria reported that short-term moderate altitude exposure plus endurance-related physical activity significantly improves glucose tolerance (not fasting glucose) in humans [3,4], which is associated with the improvement in the whole-body insulin sensitivity [5]. With daily hiking at an altitude of approximately 4000 M, glucose tolerance can still be improved but fasting glucose was slightly elevated. Individuals vary widely in their response to altitude challenge. In particular, the improvement in glucose tolerance and insulin sensitivity by prolonged altitude hiking activity is not apparent in those individuals with low baseline DHEA-S concentration [6]. In addition, hematopoietic adaptation against altitude hypoxia can also be impaired in individuals with low DHEA-S. In short-lived mammals like rodents, the DHEA-S level is barely detectable since their adrenal cortex does not appear to produce this steroid [7]. In this model, exercise training recovery under prolonged hypoxia exposure (14-15% oxygen, 8 h per day for 6 weeks) can still improve insulin sensitivity, secondary to an effective suppression of adiposity [8]. Genetically obese rats exhibit hyperinsulinemia (sign of insulin resistance) with up-regulated baseline levels of AMP-activated protein kinase and AS160 phosphorylation in skeletal muscle compared to lean rats. After prolonged hypoxia training, this abnormality can be reversed concomitant with an approximately 50% increase in GLUT4 protein expression. Additionally, prolonged moderate hypoxia training results in decreased diffusion distance of muscle fiber (reduced cross-sectional area) without affecting muscle weight. In humans, moderate hypoxia increases postprandial blood distribution towards skeletal muscle during a training recovery. This physiological response plays a role in the redistribution of fuel storage among important energy storage sites and may explain its potent effect on changing body composition. Conclusion: Prolonged moderate altitude hypoxia (rangingfrom 1700 to 2400 M), but not acute high attitude hypoxia (above 4000 M), can effectively improve insulin sensitivity and glucose tolerance for humans and antagonizes the obese phenotype in animals with a genetic defect. In humans, the magnitude of the improvementvaries widely and correlates with baseline plasma DHEA-S levels. Compared to training at sea-level, training at altitude effectively decreases fat mass in parallel with increased muscle mass. This change may be associated with increased perfusion of insulin and fuel towards skeletal muscle that favors muscle competing postprandial fuel in circulation against adipose tissues.