• Communications for Statistical Applications and Methods
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• 제25권6호
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• pp.605-618
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• 2018

Risk management has been a crucial part of the daily operations of the financial industry over the past two decades. Value at Risk (VaR), a quantitative measure introduced by JP Morgan in 1995, is the most popular and simplest quantitative measure of risk. VaR has been widely applied to the risk evaluation over all types of financial activities, including portfolio management and asset allocation. This paper uses the implementations of multivariate GARCH models and copula methods to illustrate the performance of a one-day-ahead VaR prediction modeling process for high-dimensional portfolios. Many factors, such as the interaction among included assets, are included in the modeling process. Additionally, empirical data analyses and backtesting results are demonstrated through a rolling analysis, which help capture the instability of parameter estimates. We find that our way of modeling is relatively robust and flexible.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.261-269
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• 2021

This study examines the effect of block diversity on the risk of firms listed on the Korean Stock Exchange between 2010 and 2017. To examine the effect of block diversity on corporate risk, we measure block diversity in terms of a single component, portfolio size, by referring to prior literature. This diversity component accounts for the differences in portfolio size across corporate blocks. In line with existing research on corporate risk, we consider several variables to measure corporate risk: volatility, beta, and idiosyncratic risk. The results show a negative relationship between the size of a block shareholder's portfolio and corporate risk. We also show no difference in the effect of block diversity on the corporate risk between KOSPI and KOSDAQ. This implies that the difference in portfolio size among corporate blocks reduces corporate risk. This may be due to the effect of inter-block monitoring activities in the Korean securities market, which benefits from block diversity. This empirical result supports previous studies that predicted that block diversity would have beneficial influences on firm monitoring in general. This study is significant in that it analyzes the relationship between block diversity and firm risk and provides relevant information to business practitioners and investors.

• 한국정보시스템학회지:정보시스템연구
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• 제20권3호
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• pp.63-79
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• 2011

Deducting the risk level of infrastructure and buildings based on past human disaster risk cases and implementing prevention measures are important activities for disaster prevention. The object of this study is to measure the confidence to proceed quantitative analysis of various disaster risk cases through text mining methodology. Indeed, by examining confidence calculation process and method, this study suggests also a basic quantitative framework. The framework to measure the confidence is composed into four stages. First step describes correlation by categorizing basic elements based on human disaster ontology. Secondly, terms and cases of Term-Document Matrix will be created and the frequency of certain cases and terms will be quantified, the correlation value will be added to the missing values. In the third stage, association rules will be created according to the basic elements of human disaster risk cases. Lastly, the confidence value of disaster risk cases will be measured through association rules. This kind of confidence value will become a key element when deciding a risk level of a new disaster risk, followed up by preventive measures. Through collection of human disaster risk cases related to road infrastructure, this study will demonstrate a case where the four steps of the quantitative framework and process had been actually used for verification.

• 대한안전경영과학회지
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• 제20권1호
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• pp.1-9
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• 2018

As the chemical industry becomes more advanced, the awareness of chemical accidents is rising, and legal systems for chemical safety management are strengthened. In this study, quantitative risk assessment of liquid chlorine leak was conducted. Risk assessment was performed in the order of frequency analysis, consequence analysis, and risk calculation. The individual risk was presented in the form of contour lines. The social risk was expressed by the FN curve. The risk of day and night was in an unacceptable area, so it was required to mitigate risk. Therefore in-building, which could trap the pool, was selected as a risk mitigation measure. As a result of the cost benefit analysis, it was concluded that this measure should be reasonably implemented.

• 생물정신의학
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• 제21권3호
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• pp.87-92
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• 2014

Objectives Risk taking has been implicated in the development of various psychiatric disorders. Previous studies have indicated that risk taking behavior is associated with high levels of impulsiveness. Risk taking entail uncertain situation that outcome probability is unknown. This study tested impulsivity, intolerance of uncertainty and risk taking behavior. Methods A total of 73 participants completed a test battery comprised of the UPPS-P scale as a psychometric measurement of five dimensions of impulsivity, Intolerance of Uncertainty Scale, and Balloon Analog Risk Task (BART) as a behavioral measure of risk taking. The Pearson correlation analysis was used. Results The sensation seeking factor was positively correlated with BART measure (r = 0.27, p = 0.02). Specifically, the relationship between sensation seeking and BART was significant in females. Conclusions Among the five factors of UPPS-P, only the sensation seeking factor predicts risk taking propensity.

• Asia pacific journal of information systems
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• 제13권2호
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• pp.199-217
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• 2003

Based on the IS literature on software project risk management, we developed an integrated model to investigate the risk factors and risk management factors in project development. We also analyzed the interrelation between project risk and project risk management. The questionaries are collected from 83 project leaders. We tested reliability and validity of the measure and analyzed the obtained data. The results support our risk-based hypothesis that shows the importance of risk management in reducing project risks and improving performance of project and process.

• 한국컴퓨터정보학회논문지
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• 제23권11호
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• pp.75-84
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• 2018

Social engineering attack means to get information of Social engineering attack means to get information of opponent without technical attack or to induce opponent to provide information directly. In particular, social engineering does not approach opponents through technical attacks, so it is difficult to prevent all attacks with high-tech security equipment. Each company plans employee education and social training as a countermeasure to prevent social engineering. However, it is difficult for a security officer to obtain a practical education(training) effect, and it is also difficult to measure it visually. Therefore, to measure the social engineering threat, we use the results of social engineering training result to calculate the risk by system asset and propose a attack graph based probability. The security officer uses the results of social engineering training to analyze the security threats by asset and suggests a framework for quick security response. Through the framework presented in this paper, we measure the qualitative social engineering threats, collect system asset information, and calculate the asset risk to generate probability based attack graphs. As a result, the security officer can graphically monitor the degree of vulnerability of the asset's authority system, asset information and preferences along with social engineering training results. It aims to make it practical for companies to utilize as a key indicator for establishing a systematic security strategy in the enterprise.

• 한국보건간호학회지
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• 제25권2호
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• pp.244-254
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• 2011

Purpose: The study was designed to develop an instrument to measure risk factor-related deviant behavior (RFRDB) for the elderly. Methods: The preliminary instrument including 52 items to measure the risk factor-related deviant behavior for the elderly was developed through conceptual framework based literature review. The items were reviewed by experts to reveal the Content Validity Index (CVI). Then, construct validity and reliability were tested using factor analysis, comparative groups, and Cronbach's alpha with data from 233 elderly. Results: Among 52 items, 27 questions in the RFRDB instrument were selected from content validity and 21 questions in the final RFRDB were developed from testing validity and reliability. Results of empirical analysis(retest) of RFRDB were supported by 70% congruity with conceptual framework through literature review. The RFRDB has been completed by validity testing by known-group technique. The final developed RFRDB of the elderly has 21 questions each with a 4-point Likert Scale. Conclusion: The RFRDB may be utilized as a measurement to assess the risk of elderly deviant behavior.

• 시스템엔지니어링학술지
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• 제10권2호
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• pp.59-69
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• 2014

In the bidding stage of turn-key based plant construction contracts, owners provide design and performance basis for contractors instead of giving design drawing. To win the bid for a plant construction, the contractors should be obliged to satisfy and ensure owners'requirements such as design and performance basis in a plant construction project, In other words, owners imposes technical risk of the design to the contractors by specifying responsibility for the analysis and verification of the plant construction. Thus, it is very important that contracters make accurate and realistic basic design plan in a short period of time. To deal with such a situation, we propose a systems engineering approach for the analysis and management of the technical risk. Specifically, we first: 1) Analyzes technical risk related with the plant design information for the bidders, followed by 2) Developing stakeholder requirements for the basic engineering design, and 3) System requirements for dealing with technical risk. Also, in this paper, we proposed converting method from MOE(Measure of Effectiveness) to MOP(Measure of Performance) in the risk analysis. To show the effectiveness of the proposed method, we carried out a case study.

• 응용통계연구
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• 제25권5호
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• pp.757-773
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• 2012

Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.