• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.153-186
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• 2007

It is well known that the distributional properties of financial asset returns exhibit fatter-tails and skewer-mean than the assumption of normal distribution. The correct assumption of return distribution might improve the estimated performance of the Value-at-Risk(VaR) models in financial markets. In this paper, we estimate and compare the VaR performance using the RiskMetrics, GARCH and FIGARCH models based on the normal and skewed-Student-t distributions in two daily returns of the Korean Composite Stock Index(KOSPI) and Korean Won-US Dollar(KRW-USD) exchange rate. We also perform the expected shortfall to assess the size of expected loss in terms of the estimation of the empirical failure rate. From the results of empirical VaR analysis, it is found that the presence of long memory in the volatility of sample returns is not an important in estimating an accurate VaR performance. However, it is more important to consider a model with skewed-Student-t distribution innovation in determining better VaR. In short, the appropriate assumption of return distribution provides more accurate VaR models for the portfolio managers and investors.

• The Bulletin of The Korean Astronomical Society
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• v.41 no.1
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• pp.45.3-46
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• 2016

Solar activity shows a self-similarity as it has many periods of activity cycle in the time series of long-term observation, such as 13.5, 51, 150, 300 days, and 11, 88 years and so on. Since fractal dimension is a quantitative parameter for this kind of an irregular time series, we applied this method to long-term observations including sunspot number, total solar irradiance, and 3.75 GHz solar radio flux to predict the start and maximum times as well as expected maximum sunspot number for the next solar cycle. As a result, we found that the radio flux data tend to have lower fractal dimensions than the sunspot number data, which means that the radio emission from the sun is more regular than the solar activity expressed by sunspot number. Based on the relation between radio flux of 3.75 GHz and sunspot number, we could calculate the expected maximum sunspot number of solar cycle 24 as 156, while the observed value is 146. For the maximum time, estimated mean values from 7 different observations are January 2013 and this is quite different to observed value of February 2014. We speculate this is from extraordinary extended properties of solar cycle 24. As the cycle length of solar cycle 24, 10.1 to 12.8 years are expected, and the mean value is 11.0. This implies that the next solar cycle will be started at December 2019.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1171-1180
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• 2014

We considered saddlepoint approximations to VaR (value at risk) and ES (expected shortfall) which frequently encountered in finance and insurance as the measures of risk management. In this paper we supposed univariate and multivariate skew-normal distributions, instead of traditional normal class distributions, as underlying distribution of linear portfolios. Simulation results are provided and showed the suggested saddlepoint approximations are very accurate than normal approximations.

• Journal of the Korean Institute of Landscape Architecture
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• v.31 no.2
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• pp.28-35
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• 2003

This study was conducted to identify the characteristics of social carrying capacity at mega-events, especially the 2000 Kwangju Biennale in Korea. In particular, this paper has proposed some management policies for mega events taking into account the relations between social carrying capacity, satisfaction and crowding. The research method was to look into the general characteristics and distributive forms of the location, and then to confirm the possibility of sampling the factors involved in satisfaction degree; last, A factor analysis for causal analysis of perceived crowding was performed. The study needed correlation analysis in order to compare expected crowding and perceived crowding, and performed regression to examine the causality of perceived crowding and satisfaction. The research results were as follows: the correlation of expected crowding, perceived crowding, and the total satisfaction was very low or meaningless. The relation between satisfaction and elements for factor analysis such as convenient facilities and value experience showed partial meaningfulness. The factors of convenient facilities, entrance fee, parking lot use, toilet convenience, and exhibit room use had meaningful results; on the other hand, the factors of value experience showed a meaningful result in the guide service of an event place. In conclusion when those holding an event make a basic project, they should consider management measures for convenience of facilities, proper education for guide service, and systematic guidance. Also, as a method for perceived crowding lower than expected crowding, the study has proposed that it is possible to lower expected crowding by providing appropriate information on the number of tourists expected on the weekends and weekdays. Future research should control variables such as personal characteristics, seasons proper for vacation and holidays, and carefully consider their investigation and design. Moreover, it is necessary to study variables involved in expected crowding of more various space-intensive sightseeing places (mesa-events).

• Journal of the Korean Society of Clothing and Textiles
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• v.35 no.2
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• pp.125-135
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• 2011

This study compares the expected values of appearance management for the suit buying behavior of men in two age groups: (20s-30s and 40s-50s) to investigate the effect of male consumers' expected values in regards to appearance management on the purchase behavior of men's suits between two generations. A survey was carried out with male consumers between the ages of 20 and 50; a total of 135 responses were analyzed by descriptive analysis, factor analysis, a reliability test, an independent samples t-test, MANOVA, ANOVA, and regression analysis. The results of this study were as follows: 1) From a result of the factor analysis on male consumers' expected value of appearance management and the information sources and purchase evaluative criteria for buying men's suits, each of three variance assessments clearly showed factorial structures. 2) There were significant differences between those in their 20s-30s and those in their 40s-50s in terms of male consumers' expected values of appearance management, their information sources, and their purchase evaluative criteria when buying men's suits. 3) As a result of looking at the differences in the effects of expected values of appearance management on men's suit buying behavior according to age (generation), the younger generation in this study showed that men's suit purchasing tendency was affected by the managing appearance factor for internal reasons such as enjoyment and self-satisfaction. On the other hand, the assessment of the older generation revealed that appearance management for external reasons such as showing social power, good human relationships, and conformity influenced their suit purchase behaviors.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.36 no.2
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• pp.56-62
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• 2013

Control chart is representative tool of Statistical Process Control (SPC). But, it is not given information about the economic loss that occurs when a product is produced characteristic value does not match the target value of the process. In order to manage the process, we should consider not only stability of the variation also produce products with a high degree of matching the target value that is most ideal quality characteristics. There is a need for process control in consideration of economic loss. In this paper, we design a new control chart using the quadratic loss function of Taguchi. And we demonstrate effectiveness of new control chart by compare its ARL with ${\overline{x}}-R$ control chart.

• Publications of The Korean Astronomical Society
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• v.20 no.1 s.24
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• pp.109-116
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• 2005

When we measure a source signal in the presence of a background rate that has been independently measured, the usual approach is to obtain an estimate of the background rate by observing an empty part of the sky, and an estimate of the source signal plus background rate by observing the region where a source signal is expected. The source signal rate is then estimated by subtracting the background rate from the source signal plus background rate. However, when the rates or their observation times are small, this procedure can lead to negative estimates of the source signal rate, even when it should produce a positive value. By applying the Bayesian approach, we solve the problem and prove that the most probable value of source signal rate is zero when the observed total count is smaller than the expected background counts. It is also shown that the results from the conventional method is consistent with the most probable value obtained from the Bayesian approach when the source signal is large or the observation time is long enough.

• Management Science and Financial Engineering
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• v.17 no.2
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• pp.99-129
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• 2011

This paper analytically studies how to choose hedging instrument for firms with steady operating cash flows from value maximization perspective. I derive a formula to determine option's optimal strike that makes hedged cash flow have the best monetary payoff given a hedger's view on the underlying asset. I find that not only the expected mean but also the expected standard deviation of the underlying asset in relation to the forward price and the implied volatility play a crucial role in making optimal hedging decision. Higher moments play a certain part in hedging decision but to a lesser degree.

• The Journal of Fisheries Business Administration
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• v.39 no.2
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• pp.109-123
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• 2008

This study is aimed to establish an investment decision model for offshore aquaculture project of rock bream in Korea using a certainty equivalent method (CEM) based on the expected utility theory and to investigate its economic viability under risk and uncertainty. In the analysis with CEM, the effects of risk attitude and risk level on investment and risk premium were examined and the impacts of various risk and uncertainty factors on the investment decision were also assessed. In addition, the outcomes were compared to those evaluated by the traditional net present value (NPV) method. Results show that risk premium grew as the investors became more risk averse and uncertainty level (the variance of NPV) increased. Consequently, the certainty equivalent value was predicted to decrease from the value assessed by the traditional NPV method.

• Journal of The Korean Digital Architecture Interior Association
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• v.10 no.2
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• pp.5-12
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• 2010

Unlike housing development project that can ensure profit by selling built units, a hotel development depends on long-term business operation to be profitable due to characteristics of service industry. The expected cash flow has substantial uncertainty depending on room occupancy rate and room charge. Thus, even after construction is complete, business risk tends to rise. It is necessary to ensure strategic response to uncertainty in future value of a hotel. The objective of the study is to explore strategic measures to deal with risk and uncertain future value in hotel development project by adopting abandonment option, which is a type of real options. The case in analysis had sevenyears of project period: Two years for construction, and five years for operation; a plan was made to sell the hotel after five years' of operation. For the research purpose, option value ofrecoverable investment amount was estimated, and value of abandonment option was KRW 124.921 billion. When abandonment option is applied, the project value was deemed to be KRW 120.592 billion. Generally, the amount of loss is enormous when a real estate project like a hotel development fails, and therefore, application of option is expected to be an effective measure to leverage uncertainty of a project.