• Korean Management Science Review
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• v.28 no.2
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• pp.1-16
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• 2011

In this study we suggested two optimization models to answer a question from an investor standpoint : how many convertible bonds should one convert, and how many keep? One model minimizes certain risk to the minimum required expected return, the other maximizes the expected return subject to the maximum acceptable risk. In comparison with Markowitz portfolio models, which use the variance of return, our models used Conditional Value-at-Risk(CVaR) for risk measurement. As a coherent measurement, CVaR overcomes the shortcomings of Value-at-Risk(VaR). But there are still difficulties in solving CVaR including optimization models. For this reason, we adopted Rockafellar and Uryasev's[18, 19] approach. Then we could approximate the models as linear programming problems with scenarios. We also suggested to extend the models with credit risk, and applied examples of our models to Hynix 207CB, a convertible bond issued by the global semiconductor company Hynix.

• Journal of the Korean Society of Industry Convergence
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• v.8 no.2
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• pp.85-95
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• 2005

The margin level in the futures market platys an important role in balancing the default probability with the investor's opportunity cost. In this paper, we investigate whether the movement of KOSPI200 futures daily prices can be modeled with the extreme value theory. Based on this investigation, we examine the validity of the margin level set by the extreme value theory. Moreover, we propose an expected profit-maximization model for securities companies. In this model, the extreme value theory is used for cost estimation, and a regression analysis is used for revenue calculation. Computational results are presented to compare the extreme value distribution with the empirical distribution of margin violation in KOSPI200 and to examine the suitability of the expected profit-maximization model.

• Journal of The Korean Society of Agricultural Engineers
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• v.58 no.6
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• pp.93-100
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• 2016

This study conducted a quantitative assessment on the environmental flows associated with climate change in the Gosam Reservoir, Korea. The application of RCP 8.5 climate change scenario has found that the peak value of High Flow Pulses has increased by 36.0 % on average compared to historical data (2001 ~ 2010), which is likely to cause disadvantage on flood control and management but the increase in peak value is expected to make a positive impact on resolving the issue of green algal blooms, promoting vegetation in surrounding areas and encouraging spawning and providing habitats for native species by releasing a larger amount of landslides as well as organic matters than the past. However, the decreasing pattern of the peak value of High Flow Pulses is quite apparent with the trend of delay on the occurrence time of peak value, necessitating a long-term impact analysis. The peak value of Large Floods shows a clear sign of decrease against climate change scenario, which is expected to lead to changes in fish species caused by degraded quality of water and decreasing habitats. A quicker occurrence of Small Floods is also expected to make an impact on the growth cycle of aquatic plants, and the reduction in occurrence frequency of Extreme Low Flows is to contribute to increasing the population of and raising the survival rate of native fish, greatly improving the aquatic ecosystem. The results of this study are expected to be useful to establish the water environment and ecological system in adapting or responding to climate change.

• Journal of Korean Society of Forest Science
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• v.96 no.4
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• pp.483-493
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• 2007

The purpose of this study is to estimate the biodiversity conservation value of Heory stock in Sun-Cheon. Expected values of residents' Willingness To Pay (WTP) was estimated using Contingent Valuation Method (CVM) which is the most popular method in estimating conservation values of biological diversities. Three different estimation methods were used in statistical estimation, and the results were different from each other. Results of statistical analysis show that the expected value of WTP in logit model is highest, 5,772 Won per month. Those of A model which conducted OLS estimation using open ended questionnaire and B-1 model which conducted OLS estimation using dichotomous choice questionnaire were 1,978 Won per month and 2,391 Won per month respectively. The average expected value of WTP from three model was 3,380. This average value was expected to reduce methodological biases.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.36 no.4
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• pp.109-115
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• 2013

Process Capability Index (PCI) is useful Statistical Process Control (SPC) tool that is measure of process diagnostic and assessment tools widely use in industrial field. It has advantage of easy to calculate and easy to use in the field. $C_p$ and $C_{pk}$ are traditional PCIs. These are only considers of process variation. These are not given information about the characteristic value does not match the target value of the process. Studies of this process capability index by many scholars actively for supplement of its disadvantage. These studies to evaluate the capability of situation of various field has presented a new process capability index. $C_{pm}$ is considers both the process variation and the process deviation from target value. And $C_{pm}{^+}$ is considers economic loss for the process deviation from target value. In this paper development of new process capability index that is Taguchi's quadratic loss function by applying the expected loss. And check the correlation between existing traditional process capability index ($C_{pk}$) and new one. Finally, we propose the criteria for classification about developed process capability index.

• Journal of the Korean Institute of Intelligent Systems
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• v.3 no.1
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• pp.76-89
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• 1993

The evaluation of the Fuzzy Expected Value (FEV) as a typical value requires complete knowledge about the domain of the evaluation, and the distribution of the population in that domain [1]. Since in many situations it is not possible to gather complete knowledge regarding the domain, it is necessary to relax some of the restrictions involving the evaluation of FEV. In this paper we discuss solutions to this problem by using the concept of the Fuzzy Expected Interval (FEI).

• Journal of Korean Society of Industrial and Systems Engineering
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• v.39 no.2
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• pp.37-45
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• 2016

Control chart is representative tools of statistical process control (SPC). It is a graph that plotting the characteristic values from the process. It has two steps (or Phase). First step is a procedure for finding a process parameters. It is called Phase I. This step is to find the process parameters by using data obtained from in-controlled process. It is a step that the standard value was not determined. Another step is monitoring process by already known process parameters from Phase I. It is called Phase II. These control chart is the process quality characteristic value for management, which is plotted dot whether the existence within the control limit or not. But, this is not given information about the economic loss that occurs when a product characteristic value does not match the target value. In order to meet the customer needs, company not only consider stability of the process variation but also produce the product that is meet the target value. Taguchi's quadratic loss function is include information about economic loss that occurred by the mismatch the target value. However, Taguchi's quadratic loss function is very simple quadratic curve. It is difficult to realistically reflect the increased amount of loss that due to a deviation from the target value. Also, it can be well explained by only on condition that the normal process. Spiring proposed an alternative loss function that called reflected normal loss function (RNLF). In this paper, we design a new control chart for overcome these disadvantage by using the Spiring's RNLF. And we demonstrate effectiveness of new control chart by comparing its average run length (ARL) with ${\bar{x}}-R$ control chart and expected loss control chart (ELCC).

• The Korean Journal of Financial Management
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• v.4 no.1
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• pp.45-58
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• 1988

This paper is to examine the relevance of banarptcy Costs (BC) to Capital Structure with three related purposes: whether or not BC are trival,, a proxy methodology for estimating BC, the present value of expected BC vs tax benefits' trade off. For these purposes, the samples includes 19 industrial firms which went bankrupt over period 1970-78 and secondly seven large Companies which went bankrnpt recently in the U.S. The results are quite strong that BC are not trival. In many cases they exceed 20% of the value of the firm measured just prior to bankruptcy. Direct BC are explicit and administrative costs paid by debtor in reorganization/liqaidation process. Indirect BC are essentially defined as unexpected losses and estimated in two way: a regression method and security analyst's forcasts. The present value of expected BC for many of the bankrupt firm is found to exceed the present value of tax benefits from leverage. This implies that firms were overleveraged and that a potentially important ingredient in the discussion of optimum capital structure is indeed the BC factor. Therefore, BC are relevant to the cost of capital structure decision and should he considered seriously.

• Journal of the Korean Operations Research and Management Science Society
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• v.27 no.3
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• pp.145-156
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• 2002

Business managers are often required to use LP problems to deal with uncertainty inherent in decision making due to rapid changes in today＇s business environments. Uncertain parameters can be easily formulated in the two-stage stochastic LP problems. However, since solution methods are complex and time-consuming, a common approach has been to use modified formulations to provide upper and lower bounds on the two-stage stochastic LP problem. One approach is to use an expected value problem, which provides upper and lower bounds. Another approach is to use “walt-and-see” problem to provide upper and lower bounds. The objective of this paper is to propose a modified approach of “wait-and-see” problem to provide an upper bound and to compare the relative error of optimal value with various upper and lower bounds. A computing experiment is implemented to show the relative error of optimal value with various upper and lower bounds and computing times.

• The Journal of Fisheries Business Administration
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• v.36 no.2 s.68
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• pp.121-134
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• 2005

In order to evaluate the effectiveness of management measures and to provide policy suggestions for the allocation of total allowable catch between recreational and commercial sectors, the economic value of red grouper recreational fishery in the United States Gulf of Mexico was estimated using a Travel Cost Method(TCM), Due to the characteristic of count data, a Poisson model(PM) and a Negative binomial model(NBM) were used in the TCM. Results of models showed that the NBM was statistically more suitable than the PM since the overdispersion problem occurred in the PM. Results also indicated all signs of the estimated parameters were as expected and were significant, except for a Boat parameter in both models. Based on the results of NBM, the total economic value of the recreational red grouper fishery was estimated to be $\$698.6$ and the value per trip was $\$179.5$. In addition, the total changes in expected consumer surplus due to changes in catch rates was $ \$42.3$.