• Industrial Engineering and Management Systems
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• v.9 no.1
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• pp.41-53
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• 2010

An existing risk diagnosing methodology (RDM) diagnoses corporate risk for product-innovation projects. However, it cannot evaluate and compare the risk levels of multiple alternatives in the product development stage. This paper proposes a modified risk diagnosis method to fill the gap of risk evaluation in selections of innovative product alternatives and the application of the method will be also illustrated by a case problem on alternative selections in electrical dimmer designs. With RDM as the foundation, a modified RDM (MRDM) is proposed to deal with the problem of selecting innovative project alternatives during the early stages of product development. The Bayesian network; a probabilistic graphical model, is adopted to support the risk pre-assessment stage in the MRDM. The MRDM is proposed by incorporating the risk pre-assessment stage into the foundation. By evaluating the engineering design risks in two electrical dimmer switches, an application of the MRDM in product innovation development is successfully exemplified. This paper strengthens the existing methodology for RDM in innovative product development projects to accommodate innovative alternatives. It is advantageous for companies to identify and measure the risks associated in product development so as to plan for appropriate risk mitigation strategies.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.25 no.5
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• pp.1281-1291
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• 2015

Compared to the past, people can control end devices via open channel. Although this open channel provides convenience to users, it frequently turns into a security hole. In this paper, we propose a new human-centered security risk analysis method that puts weight on the relationship between end devices. The measure derives from the concept of entropy rate, which is known as the uncertainty per a node in a network. As there are some limitations to use entropy rate as a measure in comparing different size of networks, we divide the entropy rate of a network by the maximum entropy rate of the network. Also, we show how to avoid the violation of irreducible, which is a precondition of the entropy rate of a random walk on a graph.

• Fire Science and Engineering
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• v.29 no.5
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• pp.57-66
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• 2015

This thesis is based on a research to investigate the electrical fire risk due to the single and composite cause in a terminal block. This paper analyzed the thermal characteristics depending on the screw torque change and contact resistance change to measure the fire risk due to the poor contact from single cause first. To measure the fire risk due to the composite cause, the acceleration tracking depending on the contact resistance change was experimented to check the correlation of poor contact and tracking to fire. The experiment result showed that the thermal characteristics were clearer as the screw torque in poor contact status and magnitude of contact resistance increased and that the thermal characteristics of terminal block depending on the contact resistance change was more reliable than the thermal characteristics depending on the screw torque change. Moreover, the terminal block poor contact and tracking were correlated in the case of the composite cause, and when two composite causes were interacted, the electrical fire risk was higher than the single cause.

• 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.

• KDI Journal of Economic Policy
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• v.32 no.3
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• pp.71-99
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• 2010

The concept of CoVaR introduced by Adrian and Brunnermeier (2009) is a useful tool to measure the risk spillover effect. It can capture the risk contribution of each institution to overall systemic risk. While Adrian and Brunnermeier rely on the quantile regression method in the estimation of CoVaR, we propose a new estimation method using parametric distribution functions such as bivariate normal and $S_U$-normal distribution functions. Based on our estimates of CoVaR for Korean banking industry, we investigate the practical usefulness of CoVaR for a systemic risk measure, and compare the estimation performance of each model. Empirical results show that bank makes a positive contribution to system risk. We also find that quantile regression and normal distribution models tend to considerably underestimate the CoVaR (in absolute value) compared to $S_U$-normal distribution model, and this underestimation becomes serious when the crisis in a financial system is assumed.

• Journal of the Korean Society of Safety
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• v.31 no.6
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• pp.105-112
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• 2016

The current study examined the relationships between disaster victims' post-trauma risk and posttraumatic growth, and the mediational role of social support for this relationships. In addition, we tested the hypothesis that income status would moderate the relationship between post-trauma risk and subjective well-being. Two hundred disaster victims completed Post-trauma Risk Checklist (PRC), Posttraumatic growth scale, Social support scale and Concise Measure of Subjective Well-Being (COMOSWB) as well as questions about their demographic characteristics. Results showed that those with high post-trauma risk demonstrated significantly higher levels of posttraumatic growth as compared to those with low post-trauma risk and social support partially mediated this relationship. Also, high levels of post-trauma risk predicted low levels of recent subjective well-being. Participants with high income obtained higher subjective well-being than did those with low income among high post-trauma risk groups. Implications for post-trauma risk and posttraumatic growth are discussed.

• Plant Journal
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• v.6 no.1
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• pp.56-63
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• 2010

While the local plant market is reducing its volume, the plant market over the world since 2000s is rapidly expanding. The nation's construction companies, aggressively dedicated in launching out overseas plant market, increase the volume of orders in that sector, but there also are much difficulty in the project management as those projects ordered are gradually large scaled with more cutting-edge high-tech requirements along with comparatively higher risk. Though the local construction companies have developed their own types of measures to analyze the risk evaluation putting into practice, the specialized decision-making model for the overseas plant market or the risk measure understandable easily and applicable practically is not yet shown. This paper aims at providing the methodology to evaluate the risk by way of constructing the risk evaluation process in order to induce risk measuring elements through appropriate indexing system. Furthermore, through studying the risk management system, it aims to seek for a thorough risk management method from beginning of the project to the end.

• Journal of Korean Institute of Industrial Engineers
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• v.15 no.2
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• pp.33-44
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• 1989

This paper presents stochastic-statistical dominance rules which eliminate dominated alternatives thereby reduce the number of satisficing alternatives to a manageable size so that the decision maker can choose the best alternative among them when neither the utility function nor the probability distribution of outcomes is exactly known. Specifically, it is assumed that only the characteristics of the utility function and the value function are known. Also, it is assumed that prior probabilities of the mutually exclusive states of nature are not known, but their relative bounds are known. First, the notion of relative risk aversion is used to describe the decision maker's attitude toward risk, which is defined with the acknowledgement that the utility function of the decision maker is a composite function of a cardinal value function and a utility function with-respect to the value function. Then, stochastic-statistical dominance rules are developed to screen out dominated alternatives according to the decision maker's attitude toward risk represented in the form of the measure of relative risk aversion.

• The Korean Journal of Applied Statistics
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• v.25 no.5
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• pp.865-875
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• 2012

In this study, we identify the variables that affect the number of crime and spatial correlation in the Seoul metropolitan area, in addition, we measure the relative risk on the incidence of crime by a Poisson regression model. We suggest a statistical methodology to make a risk map for crime based on relative risk instead of the total event of crime by region using the Geographic Information System. To demonstrate the use and advantages of this methodology, this study presents an analyses of the total crime count in 25 wards in the Seoul metropolitan area.

• IE interfaces
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• v.24 no.1
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• pp.24-39
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• 2011

In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions. We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.