• The Korean Journal of Applied Statistics
• /
• v.26 no.3
• /
• pp.471-481
• /
• 2013

The current VaR Model based on J. P. Morgan's RiskMetrics has problem that actual loss exceeds VaR under unstable economic conditions because the current VaR Model can't re ect future economic conditions. In general, any corporation's stock price is determined by the rm's idiosyncratic factor as well as the common systematic factor that in uences all stocks in the portfolio. In this study, we propose an One-factor VaR Model for stock portfolio which is decomposed into the common systematic factor and the rm's idiosyncratic factor. We expect that the actual loss will not exceed VaR when the One-factor Model is implemented because the common systematic factor considering the future economic conditions is estimated. Also, we can allocate the stock portfolio to minimize the loss.

• Health Policy and Management
• /
• v.4 no.2
• /
• pp.58-76
• /
• 1994

In order to study factors affecting the use of the ambulatory physician services. Andersen's model for health utilization was modified by adding the health behavior component and examined with three different approaches. Three different approaches were the multiople regression model, logistic regression model, and LISREL model. For multiple regression, dependent variable was reported illness-related visits to a physician during past one year and independent variables are variaous variables measuring predisposing factor, enabling factor, need factor and health behavior. For the logistic regression, dependent variable was visit or no-visit to a physician during past one year and independent variables were same as the multiple regression analysis. For the LISREL, five endogenous variables of health utiliztion, predisposing factor, enabling factor, need factor, and health behavior and 20 exogeneous variables which measures five endogenous variables were used. According to the multiple regression analysis, chronic illness, health status, perceived health status of the need factor; residence, sex, age, marital status, education of the predisposing factor ; health insurance, usual source for medical care of enabling factor were the siginificant exploratory variables for the health utilization. Out of the logistic regression analysis, health status, chronic illness, residence, marital status, education, drinking, use of health aid were found to be significant exploratory variables. From LISREL, need factor affect utilization most following by predisposing factor, enabling factor and health behavior. For LISREL model, age, education, and residence for predisposing factor; health status, chronic illess, and perceived health status for need factor; medical insurance for enabling factor; and doing any kind of health behavior for the health behavior were found as the significant observed variables for each theoretical variables.

• Proceedings of the Korea Association of Information Systems Conference
• /
• 1997.10b
• /
• pp.271-285
• /
• 1997

This paper address the issues of satisfaction factors to measure the service quality in computer communication service users. In order to develope a satisfaction factors' model, we study appropriate quality factors of the service through the focus group interviews with service users, and surveys the quality levels that users have felt in services. It also analyzes the relationship between the user's quality level and the quality factors by the statistical analyses. Based on the optimal regression model, we suggest an appropriate satisfaction model in PC communication service areas. That model shows that most users are interested in the fare for use. Use-fare factor is the most powerful one to the satisfaction model. Second one is usefulness, next is correctness. But connect-status factor is the only negative one. Most users think that its factor is in the way of fluent communication. So to keep the competitiveness in the PC communication service, the sixth negative factor should be modified as soon as possible.

• Journal of Environmental Impact Assessment
• /
• v.14 no.4
• /
• pp.165-177
• /
• 2005

This study was carried out to offer the basic methodology of the system and model to objectively assess the natural ecosystem for environmentally friendly land conservation and present the alternative plan on establishing the environmental policy. The results of this study were as follows. We selected four assessment factors associated with biotic, abiotic, qualitative, and functional factors. Also, there were extracted fifty-six indicators including density, total nitrogen, hemeroby degree, and goods production. The assessment factor showed that biotic one was very important. The importance of indicators were analyzed that rare and endangered plant was important in biotic factor, in case of abiotic, qualitative, and functional factors, organic matter, landscape diversity, and conservation of ecosystem were greatly important. The results of factor analysis on the characteristics of indicators, classified biotic factor into six factors including a structural one, abiotic factor as a soil and physical one, qualitative factor as five ones including hierarchical one, and functional factor as public and conservational one. In the results of analysis on assessment model, R-square of biotic factor was 51.7%, those of abiotic, qualitative, and functional one were each 58.4%, 44.2%, and 39.3%, and statistical problem was no existence. In future, to develop the assessement model and methodology of sustainable natural ecosystem, we will have to achieve the integrated model and grouping by assessment factor.

• Journal of the Chungcheong Mathematical Society
• /
• v.26 no.4
• /
• pp.787-791
• /
• 2013

In this paper we present one factor model of commodity prices with a single jump regime-switching process. And we derive an analytic formula for pricing futures contracts when the parameters of commoditiy process have governed by a Markov regime-switching process.

• Journal of the Korean Data and Information Science Society
• /
• v.15 no.3
• /
• pp.645-654
• /
• 2004

In this paper, we develop the Bayesian test procedure for the intraclass correlation coefficient in the unbalanced one-way random effect model based on the reference priors. That is, the objective is to compare two nested model such as the independent and intraclass models using the factional Bayes factor. Thus the model comparison problem in this case amounts to testing the hypotheses $H_1:\rho=0$ versus $H_2:{\rho}{\neq}0$. Some real data examples are provided.

• Clinical Psychopharmacology and Neuroscience
• /
• v.16 no.4
• /
• pp.489-493
• /
• 2018

Objective: This study was to identify whether working memory (WM) can be clearly subdivided according to auditory and visual modality. To do this, we administered the most recent and universal clinical WM measures in a mixed psychiatric sample. Methods: A total of 115 patients were diagnosed on the basis of DSM-IV diagnostic criteria and with MINI-Plus 5.0, a structured diagnostic interview. WM subtests of Korean version of Wechsler Adult Intelligence Scale-IV and Korean version of Wechsler Memory Scale-IV were administered to assess WM. Confirmatory factor analysis (CFA) was used to observe whether WM measures fit better to a one-factor or two-factor model. Results: CFA results demonstrated that a two factor model fits the data better than one-factor model as expected. Conclusion: Our study supports a modality model of WM, or the existence of modality-specific WM systems, and thus poses a clinical significance of assessing both auditory and visual WM tests.

• Journal of the Korean Data and Information Science Society
• /
• v.26 no.2
• /
• pp.323-334
• /
• 2015

he current VaR model based on the J.P. Morgan's RiskMetrics structurally can not reflect the future economic situation. In this study, we propose a One-factor model resulting from the Wiener stochastic process decomposed into a systematic risk factor and an idiosyncratic risk factor. Therefore, we are able to perform a preemptive risk management by means of reflecting the predicted common risk factors in the model. Stocks in the portfolio are satisfied with the independence to each other because the common factors are fixed by the predicted value. Therefore, we can easily determine the investment in each stock to minimize the variance of the portfolio. In addition, the portfolio VaR is decomposed into the sum of the individual VaR. So we can effectively implement the constitution of the portfolio to meet the target maximum losses.

• Journal of Korean Society of Transportation
• /
• v.14 no.1
• /
• pp.29-42
• /
• 1996

Among trip distribution models, The BPR type Gravity Model is the one which is the most widely used. The key issue associated with this model is a functional form of friction factor which should be calibrated in the process, and interpretation for socioeconomic factor known as K-factor(Kij) which is used to adjust the difference between observed zone-to-zone trips and the estimated trips. In this study, the BPR type Gravity Model has been fitted to 1990 O/D data for Seoul. Two type of function form for friction factor has been employed : one is a form of Generalized function and the orther is UTP function. With above two function, the parameters for travel distance(Skin-tree) are prepared. The relationship between socioeconomic factor and trips is identified by calculating and analyzing the characteristics of Kij. Consequently, both of the friction factor functions are statistically signified. However, it show an overestimation tendency when estimated with UTP function. It is found that the Generalized function is suitable for the city of Seoul, and also, in case there are a lot of trips correlatively, the socioeconomic factor is close to 1, on the other hand if it's small, it shows a bias which is dispersed around 1.

• Journal of The Korean Astronomical Society
• /
• v.33 no.3
• /
• pp.159-163
• /
• 2000

We have investigated one dimensional steady flow model of a typical magnetic flux tube in the solar transition region constrained to observed Differential Emission Measure (DEM) for the average quiet-Sun deduced by Raymond & Doyle (1981) with a flux tube geometry conforming to Doppler shifts of UV lines measured by Chae, Yun & Poland (1998). Because local heating and filling factor in the transition region are not well known, we considered two extreme cases, one characterized by the filling factor= 1 ('filled-up model') and the other set by local heating=0 ('not-heated model'). We examined how much the heating is required for the flux tube by recomputing a model through adjustment of the filling factor in such a way that 'not-heated model' accounts for the observed DEM.