• 산업공학
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• 제24권1호
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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.

• 여성건강간호학회지
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• 제24권3호
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• pp.297-309
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• 2018

Purpose: To develop Pregnancy Risk symptom Perception Scale (PRPS) and evaluate its validity and reliability. Methods: A preliminary 30-item version of PRPS was developed through literature review, in-depth interview, and Content Validity. Each item was scored on a four-point Likert scale. The preliminary scale was developed based on 301 pregnant women who visited a hospital. Date were analyzed using item analysis, factor analysis, confirmatory factor analysis, Pearson's correlation coefficients, and Cronbach's ${\alpha}$ (0.90 for total item, 0.80 to 0.88 for factors). Results: The PRPS consisted of 27 items. Three factors (physical, environmental, and emotional factors) explained 55% of the total variance. Cronbach's Criterion validity was supported by comparison with the Perception of Pregnancy Risk Questionnaire (r=0.34). In reliability test, the reliability coefficient of pregnancy risk symptom perception was high at 0.90. Conclusion: These results suggest that the pregnancy risk symptom perception scale developed in this study comprises items that can assess the level of pregnant women's pregnancy risk symptom perception in Korea. Its validity and reliability were proven. PRPS can be utilized to measure pregnant women's risk symptom perception during pregnancy. PRPS will contribute to the development of systematic prenatal care and effective risk management.

• 통상정보연구
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• 제9권2호
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• pp.65-86
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• 2007

This paper reviews the properties and application methods of widely used types of risk measures, identifies the rationale and business-side effects of hedging, derives the theoretical formula of optimal hedging ratio, and analyzes the various functional aspects of VaR(Value-at-risk) as a risk measure and a hedging tool. Especially this paper focuses on the characteristics of VaR compared with other risk measures in terms of their own principal determinants and identifies its stronger aspects in the dimension of hedging strategy tools. As well, this paper provides the detailed processes deriving the optimal hedge ratios based on the distributional parameters and risk factors. In addition, this paper presents the detailed and substantial processes of estimating the minimum variance hedge ratio and minimum-VaR hedge ratio using the actual data and shows that the minimum variance hedge ratio proves helpful for many cases although it is not appropriate for the non-linear portfolio including the option contracts. We demonstrate the trade-off relationship between the minimum variance hedge strategy and the minimum-VaR hedge strategy in their hedging costs and performances through calculation of the respective VaRs and variances of unhedged and hedged portfolios and the optimal hedge ratio and hedging effectiveness values for the given long position in US Dollar with the short position in Euro.

• 품질경영학회지
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• 제41권2호
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• pp.221-232
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• 2013

Purpose: This paper examines risk factors which affect project success, and proposes a method utilizing the average potential satisfaction index(API) to evaluate how much the satisfaction level of the personnel involved in the project can change by reducing the risk. Methods: The current study derives 11 risk factors affecting project success from literature review and conducts survey of 253 subjects who have project work experience. A modified Kano's questionnaire using 5-point Likert-scale is applied to investigate the amount of satisfaction or dissatisfaction when the risk factors are reducted or not, respectively. Results: The respondents consider that the risk factors which include the three elements of project management(schedule, quality, cost) is more important than other risk factors related to the project environment, and technology and profitability. Conclusion: The average potential satisfaction index proposed in this study can measure the perception on the risk factors of the personnel involved in the project, since it has a strong correlation with the perceived importance by the respondents in this study.

• Communications for Statistical Applications and Methods
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• 제16권5호
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• pp.791-801
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• 2009

VaR(Value-at-Risk)는 시장위험을 측정하기 위한 중요한 도구로 사용되고 있다. 그러나 적절한 VaR 모형의 선택에는 논란의 여지가 많다. 본 논문에서는 특정 모형을 선택하여 VaR 예측값을 구하는 대신 대표적으로 많이 사용되는 두개의 VaR 모형인 역사적 모의실험과 GARCH 모형의 예측값들을 서포트벡터기계 분위수 회귀모형을 이용하여 결합하는 방법을 제안한다.

• 한국컴퓨터정보학회논문지
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• 제7권2호
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• pp.87-94
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• 2002

웹 어플리케이션의 작성에 많이 사용되는 ASP로 개발된 프로젝트에서 각 모듈의 위험수준을 분석할 수 있는 측정 도구를 개발하고 이 측정 도구를 실무에서 사용 중인 프로젝트에 적용하여 유용성을 보인다. 본 논문에서 개발된 측정 도구는 NASA의 GSFC에서 개발한 소프트웨어 산출물 품질 메트릭인 모듈위험수준 인디케이터(Indicator of the Module Risk Levels)를 사용한 것으로, 웹 어플리케이션의 위험수준을 파악하여 오류 가능성이 있는 위험한 모듈을 조기에 발견함으로서 유지보수성 향상에 기여하고자 한다.

• 정보보호학회논문지
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• 제28권1호
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• pp.229-239
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• 2018

본 논문은 기존의 CCTV가 가진 문제점을 분석하고, 클라우드 컴퓨팅 환경에서의 IP-CCTV를 사용할 때, 보안문제점에 대하여 논한다. 클라우드 서비스 제공과 관련된 보안 위험을 단순히 위험 현상만 제거하는 실수를 줄이기 위해서는 위험 분석과 조치에 대한 효과적인 수행 방법이 필요하다. 이에 따라, Threat Risk Modeling의 STRIDE 모델을 통하여 위협 분석을 하고, 위협 분석된 내용을 토대로 Analytic Hierarchy Process(AHP) 방법론을 사용하여 위험 우선순위를 측정하였으며, 우선순위에 대한 적절한 해결방법이 무엇인지를 분석하였다.

• Journal of the Korean Data and Information Science Society
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• 제24권6호
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• pp.1503-1520
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• 2013

For multi-line insurance companies, allocating the risk capital to each line is a widely-accepted risk management exercise. In this article we consider several applications of the Euler capital allocation. First, we propose visual tools to present the diversification and the line-wise performance for a given loss portfolio so that the risk managers can understand the interactions among the lines. Secondly, on theoretical side, we prove that the Euler allocation is the directional derivative of the marginal or incremental allocation method, an alternative capital allocation rule in the literature. Lastly, we establish the equivalence between the mean-shortfall optimization and the RORAC optimization when the risk adjusted capital is the expected shortfall, and show how to construct the optimal insurance business mix that maximizes the portfolio RORAC. An actual loss sample of an insurance portfolio is used for numerical illustrations.

• 한국임상수의학회지
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• 제16권2호
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• pp.422-427
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• 1999

We are proposed for the computation of disease frequency measures and of their associated variances from data collected through prospective study of multiple dynamic cohort (herds) with a National Animal Health Monitoring System (NAHMS) in Gyeongnam. We can be estimated and calculated the annual incidence density for a group of herds and the 1-month risk of disease from the same within herd measure of monthly incidence density. We are proposed that the choice of measure to be estimated depend on the intended use of the information. From results in this study, Our study demonstrate that risk estimates are appropriates for producers and clinic veterinarian making decisions at the animal or herd level. Incidence density measures are appropriate for extrapolation to reference populations used for state and regional-level decision making.

• 한국조명전기설비학회:학술대회논문집
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• 한국조명전기설비학회 2007년도 춘계학술대회 논문집
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• pp.458-462
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• 2007

It is necessary to study a conductive characteristics of electrical facilities covered with particulate for the analysis of electrical accidents in vulnerable area where are included market place, a sawmill and so on. Therefore, there are studied on risk assessment and contact angle measure(CAM) according to surface deterioration of PVC and phenolic resin Through the contact angle measure of samples, there are ascertain whether hydrophobicity or not. These data would used to be judged by the causes of electrical accidents.