• 유통과학연구
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• 제13권5호
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• pp.71-82
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• 2015

Purpose - The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology - To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results - According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the average correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions - Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

• 한국경영정보학회:학술대회논문집
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• 한국경영정보학회 2008년도 춘계학술대회
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• pp.254-263
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• 2008

기업의 경영활동이 글로벌화되면서 이를 둘러싸고 있는 경영환경도 급변하게 되었다. 이로 인하여 기업이 처한 위험(Risk)의 유형도 더욱 다양해지고, 그 빈도 또한 증가하게 되었다. 특히 인터넷 환경하의 보다 진보된 정보시스템은 기업의 경영 효율성을 증가시키는 반면에 위험(Risk)의 발생 정도와 그 파급 효과를 더욱 더 증가시키고 있다. 위험(Risk)을 인식하고 이를 분석하고 평가하여 관리하는 능력이 뛰어난 기업은 위험(Risk)에 따른 피해의 확산을 조기에 차단하고 오히려 이를 기회로 이용할 수도 있다. 위험관리(Risk Management)는 주로 재무관리 또는 보험관리 분야에서 다루어왔다. 즉, 일반적으로 자금의 조달이나 투자업무에 있어서 불확실성을 제거하고 분산 투자를 실행하고 미래의 불확실한 상황에 대비하여 보험을 준비하는 등의 내용들이 기존 연구에서의 위험관리(Risk management)와 관련된 것이었다. 본 연구에서는 위험관리를 정보시스템 분야에 적용하여 정보시스템의 위험관리에 관한 인식을 고취하고, 나아가 보다 체계적인 Global SCM 의 구축하여 글로벌 경쟁환경하에서 기업의 경쟁우위를 제고하고자 한다. 특히 기업위험관리(Enterprise Risk Management)관점에서 Global SCM 의 위험관리체계의 프레임웍(Framework)을 제시하여 지금까지 정립되지 않았던 SCM 의 Risk Management 에 대한 연구의 기초를 마련하려고 한다.

• 한국경영정보학회:학술대회논문집
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• 한국경영정보학회 2007년도 International Conference
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• pp.1061-1065
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• 2007

기업의 경영활동이 글로벌화되면서 이를 둘러싼 경영환경도 급변하게 되어 기업이 처한 위험(Risk)의 유형과 빈도가 더욱 증가하게 되었다. 특히 인터넷 환경하의 정보시스템은 기업 경영의 효율성을 증가시킨 반면 이에 따른 위험(Risk)의 발생 정도와 그 파급 효과를 더욱 증가시키고 있다. 위험(Risk)을 인식하고 이를 분석하고 평가하여 관리하는 능력이 뛰어난 기업은 위험(Risk)에 따른 피해의 확산을 조기에 차단 하고 오히려 이를 기회로 이용할 수도 있다. 기존 연구는 위험관리(Risk Management)를 주로 재무관리 또는 보험관리 분야에서 다루어왔다. 일반적으로 자금의 조달이나 투자업무에 있어서 불확실성을 제거하고 분산 투자를 실행하고 미래의 불확실한 상황에 대비하여 보험을 준비하는 등의 내용들이 기존의 위험관리(Risk management)와 관련된 것이었다. 본 연구에서는 위험관리를 정보시스템 분야에 적용하여 정보시스템의 위험관리에 관한 인식을 고취하고, 나아가 보다 체계적인 Global SCM의 구축하여 글로벌 경쟁환경하에서 기업의 경쟁우위를 제고하고자 한다. 특히 기업위험관리(Enterprise Risk Management)관점에서 Global SCM의 위험관리체계의 프레임웍(Framework)을 제시하고자 한다.

• 국제학술발표논문집
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• The 1th International Conference on Construction Engineering and Project Management
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• pp.1231-1236
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• 2005

Global construction projects manifest more risks than do other industries. Often, firms doing business in construction markets find these risks intimidating. To secure corresponding profits, many global contractors attempt to forecast the effects of risks and establish risk management strategies. However, one key problem with present-day risk management methods is that they are basically analytical or mathematical-oriented approaches which are not easy to adopt in real business. Based on preliminary investigations and evaluations of current tools, this research elicits more practical algorithms for risk checklist by constructing risk scenarios over the whole period of project execution. For the application of the algorithms, a "SE/RF" (Source-Event/Regular-Floating) checklist is suggested, which sorts out risk sources and their subsequent events, as well as dividing various risk factors into either regular or floating categories. In addition, the "PIS" (Probability-Impact-Significance) method is introduced, in place of traditional "PI" (Probability-Impact) methods, by adding the additional criterion of "risk significance" to determine the degree of risk exposure in a more realistic way. As a result, we draw the significant finding that the "PIS" method presents a closer evaluation regarding degree of risk exposure as compared to the level of expert judgments than those from traditional methods. Finally, we provide an integrated procedure for international project risk management with all of the research achievements being incorporated.

• 경영과정보연구
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• 제27권
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• pp.149-172
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• 2008

Since the 9/11 terror attack, the event which caused supply chain disruption, supply chain security has becomes more important than ever before. Furthermore, such company's logistics strategies conflicting supply chain security as increased global sourcing, JIT manufacturing are increasing supply chain vulnerability. It could burden for global companies to strengthen supply chain security because not only it requires additional investment cost but also changes of companiy's global logistics strategy. However, on the other hand, supply chain visibility and resilience can be improved through supply chain security. In addition, it allows companies to stabilize supply chain structure as well as rapid and flexible response to market demand. The key issue is balancing between efficiency and supply chain security. To do this, identifying risk elements under the supply chain and assessing vulnerability of each supply chain components should be performed before developing efficient supply chain security management system without obstructing supply chain efficiency.

• 무역상무연구
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• 제35권
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• pp.179-219
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• 2007

Cross-border supply chains undergone complexity in the global trade process, unpredictability and continually evolving regulations and information requirements. Under these circumstances, longer lead time inhibiting quick response to market demands, unanticipated supply chain costs eroding product cost savings, compliance and documentation errors causing delays and fines are challenging global trade companies when they execute global business. These problems are mainly caused by unautomated, unintegrated process which lead to longer and more unpredictable lead times, slower cash flow, cost overruns, and ultimately lower profits and less satisfied customers. Complex and unpredictable global trade environment requires global trade companies of global trade management functions to automate and control this complex environment for driving out cost, time and risk from their business. Global trade management allows cost savings, supply chain efficiencies and improved compliance through improving global supply chain visibility, facilitating cash flow by supply chain financing, enhancing supply chain security and risk management.

• 한국도로학회논문집
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• 제16권3호
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• pp.59-66
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• 2014

PURPOSES : This study is to suggest heavy snow risk analysis in Seoul. METHODS : Recently, the increase of extreme weather caused by global warming raises the occurrences of unpredictable natural disasters and the loss potential of human disasters by land use facilities accumulation. It is necessary to develop the risk analysis for the natural and human disasters. RESULTS : In this study, heavy snow risk analysis among natural disasters in Seoul was suggested. The spatial unit of risk analysis level was established for the lines and administrative districts. CONCLUSIONS : The risk analysis was performed using risk matrix of disaster occurrence score and disaster damage score. The components affecting the risk disaster analysis by types were analyzed and the application of heavy snow risk analysis was suggested.

• 한국항해항만학회:학술대회논문집
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• 한국항해항만학회 2022년도 춘계학술대회
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• pp.201-203
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• 2022

Increasing global market of used electric vehicle (EV) battery encourages international firms to establish its subsidiary companies or business units specializing in battery recycling. Such kind of companies predominantly use closed loop supply chain (CLSC) for their operations of battery manufacturing and used battery recycling/reusing in global scale. However, EV battery recycling, as a relatively new industry, makes its global CLSC be exposed to various types of risks, which leads to inefficiency of supply processes and makes supply chains more complicated and vulnerable. Identifying, evaluating, and analyzing possible risks in CLSC has a great importance for optimization and increasing effectiveness for the global supply chain of used EV battery. Itwill assist to elaborate the efficient CLSC management and possible risk mitigation strategies to keep the global EV battery supply chain resilient and sustainable. This study aims to develop a conceptual framework for risk assessment in this new sector. Therefore, it will populate the framework with possible failure modes identified from various literature on EV battery recycling and closed loop supply chains so that future research can validate and utilize the conceptual framework.

• 통상정보연구
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• 제3권2호
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• pp.1-16
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• 2001

본 연구는 국제 간의 무역거래에 있어 전자상거래 방식이 거래의 주체들이 선택하는 거래방식 포트폴리오 내에서 어떻게 조화되고 결정되는지, 그리고 이를 전략적으로 운용하기 위한 일반화 가능한 논리는 무엇인지를 다음과 같이 분석하고 있다. 첫째, 기대효용극대화 모형에 입각한 비교정태 분석을 통해 위험회피자로서의 효용을 갖는 거래 주체들은 총 거래 자산에 대한 한계기대효용이 영(零)이 될 때까지의 금액을 전자상거래 방식에 배분하는 거래 포트폴리오를 구성한다. 둘째, 거래 주체의 기대 효용을 극대화할 수 있는 최적 거래 포트폴리오는 본 연구가 준용하고 있는 평균-분산 모형에 의한 효율적 거래선과 자신의 위험 회피도를 반영하는 평균-분산 무차별 곡선이 접하는 점에서 결정된다. 셋째, 국제간 전자 상거래 방식의 가치는 Rf거래방식의 수익률과 리스크 프레미엄의 두 요소에 의해서 결정되어 질 수 있는 바, 거래하고자 하는 총 부와 전자상거래 방식의 수익률이 정(正)의 상관관계가 있을 때에는 전자상거래 방식이 선택되기 위해서는 자신의 리스크를 상쇄하고도 남을 만큼의 매력도, 즉 Rf거래방식보다 더 높은 기대 수익률이 보장되어야한다. 넷째, 반면에 거래하고자 하는 총 부와 부(負)의 상관관계가 있을 때에는 수익률의 포기가 전제가 되므로 전자상거래 방식이 국제 무역거래방식에서 주된 거래조건으로 자리매김하기 위해서는 필연적으로 안정적 거래보증의 기능이 거래 주체들에게 수긍되어야 한다. 끝으로, 국제간 전자상거래 방식의 리스크 분석과 그 규모 결정 여부에 대한 궁극적 해답은 선택된 거래 포트폴리오내에서 거래되는 총 부의 수익률에 전자상거래 방식이 어느 정도 영향을 주느냐는 척도, 즉 공분산 리스크로 평가되어야 한다.

• KDI Journal of Economic Policy
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• 제46권1호
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• pp.21-51
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• 2024

Since the Global Financial Crisis of 2008-2009, the importance of nonbank financial institutions in macroprudential management has increased significantly. Consequently, major countries and international financial institutions have been actively discussing and implementing macroprudential supervision and regulation for non-bank financial institutions (NBFI). In this context, this paper analyzes the systemic risk of both banks and non-bank sectors (securities firms and insurance companies) in South Korea over different time periods. Using the widely recognized ΔCoVaR methodology for measuring systemic risk, the analysis reveals that systemic risk increased substantially across all three sectors (banks, securities firms, and insurance companies) during the Global Financial Crisis, the European Sovereign Debt Crisis, and the COVID-19 pandemic. Although the banking sector exhibited relatively high systemic risk compared to the securities and insurance sectors, the relative differences in systemic risk varied across the different crisis periods. Notably, during the margin call crisis in March of 2020, the gap in systemic risk between the banking and securities sectors decreased significantly compared to that during both the Global Financial Crisis and the European Sovereign Debt Crisis, indicating that securities firms had a more substantial impact on risk in the overall financial system during this period. Furthermore, I analyze the impact of the issuance of equity-linked securities (ELS) by financial institutions on systemic risk, as measured by ΔCoVaR, finding that an increase in the outstanding balance of ELS issuance by financial institutions had an impact on increasing ΔCoVaR during the three crisis periods. These findings underscore the growing importance of non-bank financial institutions in relation to South Korea's macroprudential management and supervision. To address this evolving landscape, enhanced monitoring and regulatory measures focusing on non-bank systemic risk are essential components of maintaining financial stability in the country.