• Communications for Statistical Applications and Methods
• /
• v.25 no.6
• /
• pp.605-618
• /
• 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.

• Journal of the Korean Society for Aeronautical & Space Sciences
• /
• v.31 no.6
• /
• pp.79-87
• /
• 2003

Application of combustion stabilization devices such as baffle and acoustic cavity to liquid propellant rocket engine is investigated to suppress high-frequency combustion instability, i.e., acoustic instability. First, these damping devices are designed based on linear damping theory. As a principal design parameter， damping factor is considered and calculated numerically in the chambers with/without these devices. Next, the unbaffled chambers with/without acoustic cavities are tested experimentally for several operating conditions. The unbaffled chamber shows the peculiar stability characteristics depending on the operating condition and it is found to have small dynamic stability margin. As a result, the acoustic cavity with the present design has little stabilization effect in this specific chamber. Finally， stability rating tests are conducted with the baffled chamber, where evident combustion stabilization is observed, which indicates sufficient damping effect.

• Journal of the Korean Society of Propulsion Engineers
• /
• v.1 no.2
• /
• pp.74-83
• /
• 1997

The definition of burning admittance and conventional n-$\tau$ stability rating technique are combined to investigate the high frequency combustion instabilities inside the cylindrical combustion chamber. Perturbed flow variables are written as the sum of fluctuating and time-averaged mean quantities on the assumption that the terms of the order higher than unity are sufficiently small, hence linearized governing equations could be formulated. Chamber admittances up and downstream of the flame front calculated with appropriate boundary conditions result in the burning admittance and corresponding n-$\tau$ neutral stability curve. Configurational and operational design factors are tested to detect the unstable wave-induced LOX-RP1 combustion instabilities. Operational design factors, e.g. pressure or O/F ratio, appear less influential to drive high frequency instability while the location of the flame front and configurational factors enhance or deteriorate the stabilities strongly. Conclusively, LOX-RP1 combustion inside the cylindrical combustion chamber is apt to be unstable against long residence time and shortened chamber length.

• Journal of Korean Neurosurgical Society
• /
• v.46 no.4
• /
• pp.328-332
• /
• 2009

Objective : The purpose of this study was to establish new fusion criteria to complement existing Brantigan-Steffee fusion criteria. The primary purpose of intervertebral cage placement is to create a proper biomechanical environment through successful fusion. The existence of a traction spur is an essential predictable radiologic factor which shows that there is instability of a fusion segment. We studied the relationship between the existence of a traction spur and fusion after a posterior lumbar interbody fusion (PLIF) procedure. Methods : This study was conducted using retrospective radiological findings from patients who underwent a PLIF procedure with the use of a cage without posterior fixation between 1993 and 1997 at a single institution. We enrolled 183 patients who were followed for a minimum of five years after the procedure, and used the Brantigan-Steffee classification to confirm the fusion. These criteria include a denser and more mature bone fusion area than originally achieved during surgery, no interspace between the cage and the vertebral body, and mature bony trabeculae bridging the fusion area. We also confirmed the existence of traction spurs on fusion segments and non-fusion segments. Results : The PLIF procedure was done on a total of 251 segments in 183 patients (71 men and 112 women). The average follow-up period was $80.4{\pm}12.7$ months. The mean age at the time of surgery was $48.3{\pm}11.3$ years (range, 25 to 84 years). Among the 251 segments, 213 segments (84.9%) were fused after five years. The remaining 38 segments (15.1%) were not fused. An analysis of the 38 segments that were not fused found traction spur formation in 20 of those segments (52.6%). No segments had traction spur formation with fusion. Conclusion : A new parameter should be added to the fusion criteria. These criteria should be referred to as 'no traction spur formation' and should be used to confirm fusion after a PLIF procedure.

• Journal of the Korean Society of Propulsion Engineers
• /
• v.14 no.2
• /
• pp.19-28
• /
• 2010

Generally, combustion instability is generated by the mutual coupling between the heat release and the acoustic pressure in the combustor. On the occasion, the acoustic pressure generates the oscillation of the mass flow rate of propellant injected from injector, and this oscillation again affects combustion in the combustor. So, the dynamic characteristics of the injector have been studied to control combustion instability using injector itself in Russia from 1970's. In order to study injector dynamics, a mechanical pulsator for forced pressure pulsation is produced and the method to quantify the mass flow rate of the propellant that is oscillating at the exit of the injector is developed. With the pulsator and the method, pulsating values of the mass flow rate, pressure, liquid film thickness, and axial velocity generated at the exit of the simplex swirl injector are measured in real time. And phase-amplitude characteristics of each parameter are analyzed using these pulsating values acquired at the exit of the simplex swirl injector.

• Steel and Composite Structures
• /
• v.12 no.4
• /
• pp.291-302
• /
• 2012

Frequently, steel silos are supported by discrete supports or columns to permit easy access beneath the barrel. In such cases, large loads are transferred to the limited number of supports, causing locally high axial compressive stress concentrations in the shell wall above the supports. If not dealt with properly, these increased stresses will lead to premature failure of the silo due to local instability in the regions above the supports. Local stiffening near the supports is a way to improve the buckling resistance, as material is added in the region of elevated stresses, levelling these out to values found in uniformly supported silos. The aim of a study on the properties of local stiffening will then be to increase the failure load, governed by an interaction of plastic collapse and elastic instability, to that of a discrete supported silo. However, during the course of such a study it was found that, although the failure remains local, the cylinder height is also a parameter that influences the failure mechanism, a fact that is not properly taken into account in current design practice and codes. This paper describes the mechanism behind the effect of the cylinder height on the failure load, which is related to pre-buckling deformations of the shell structure. All results and conclusions are based on geometrically and materially non-linear finite element analyses.

• Nuclear Engineering and Technology
• /
• v.42 no.4
• /
• pp.450-459
• /
• 2010

The present paper investigates the collapse pressure of cylinders with intermediate thickness subjected to external pressure based on detailed elastic-plastic finite element (FE) analyses. The effect of the initial ovality of the tube on the collapse pressure was explicitly considered in the FE analyses. Based on the present FE results, the analytical yield locus, considering the interaction between the plastic collapse and local instability due to initial ovality, was also proposed. The collapse pressure values based on the proposed yield locus agree well with the present FE results; thus, the validity of the proposed yield locus for the thickness range of interest was verified. Moreover, the partial safety factor concept based on the structural reliability theory was also applied to the proposed collapse pressure estimation model, and, thus, the priority of importance of respective parameter constituting for the collapse of cylinders under external pressure was estimated in this study. From the application of the partial safety factor concept, the yield strength was concluded to be the most sensitive, and the initial ovality of tube was not so effective in the proposed collapse pressure estimation model. The present deterministic and probabilistic results are expected to be utilized in the design and maintenance of cylinders subjected to external pressure with initial ovality, such as the once-through type steam generator.

• Transactions of Materials Processing
• /
• v.31 no.6
• /
• pp.365-375
• /
• 2022

The microstructure and high-temperature plastic deformation behavior of the modified Al-0.7Mn alloy were investigated and compared with the conventional Al-0.3Mn (Al3102) alloy. α-Al (matrix) and Al₆(Mn, Fe) phases were identified in both alloys. As a result of microstructure observation, both alloys showed equiaxed grains, and Al-0.7Mn alloy showed larger grain size and higher Al₆(Mn, Fe) fraction than Al-0.3Mn alloy. High temperature compressive tests, the deformation temperatures of 410℃, 450℃, 490℃, 530℃ and strain rats of 10^-2/s, 10^-1/s, 1/s, 10/s, were conducted using Gleeble equipment. The flow stress values of Al-0.7Mn alloy were higher than that of Al-0.3Mn alloy at all strain rates and temperature conditions. Constitutive equations were presented using the flow stresses obtained from experimental results and the Zener-Hollomon parameter. In the true stress-true strain curves of the two alloys, the experimental and predicted values were in good agreement with each other. Based on the dynamic material model, eutectic deformation maps of Al-0.7Mn and Al-0.3Mn alloys were suggested, and the plastic instability region was presented. The modified Al-0.7Mn alloy showed a wider plastic instability region than that Al-0.3Mn alloy. Based on the process deformation maps, the MPE tube parts could be manufactured through the actual extrusion process using the suggested conditions.

• Journal of the Earthquake Engineering Society of Korea
• /
• v.2 no.4
• /
• pp.73-86
• /
• 1998

The purpose of this paper is to evaluate the shear stiffness, hysteretic behavior, and ultimate behavior of HDRB(High Damping Rubber Bearing), which will be included in the seismic isolation design guideline as requirements. To do this, two 1/8 scaled HDRB are designed, fabricated, and tested to show the mechanical characteristics. The shear stiffness obtained from the proposed equation of the shear stiffness shows a good agreement with those of the experiments. For analysis of the hysteretic behavior of HDRB using the modified rate model, the parameter equations are obtained from the experiments. Using the obtained parameter equations for the modified rate model, the seismic response analyses are carried out for 1-D system. The results of analysis well follow the hysteretic behavior of HDRB obtained from the experiments. To evaluate the ultimate behavior of HDRB used in this paper, the analyses are carried out using the modified macro model, which can consider the large shear deflection. The critical shear strain(CSS) is defined to express the maximum allowable shear strain and vertical load. From the analyses, the CSS, showing the instability, decreases significantly as increased the vertical loads. The CSS is not appeared for the design vertical load in the used HDRB. In analysis using about 5 times of design vertical load, the HDRB start to show the instability transient and for about 7 times, the CSS is about 350%.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.28 no.1A
• /
• pp.125-133
• /
• 2008

According to longer and longer span, dynamic instability of stay cable should be prevented. Dynamic instability occurs mainly symmetric 1st mode and antisymmetric 1st mode in stay cable. Especially symmetric 1st mode has a lot of influence on sag. Therefore fundamental frequency of stay cable is different from that of taut sting. Irvine, Triantafyllou, Ahn etc. analyzed dynamic behavior of taut cable with sag through analytical technical and their researches give important results for large bounds of Irvine parameter. But each research shows mutually different values out of characteristic (cross-over or mode-coupled) point and each solution of frequency equations of all researchers can be very difficultly found because of their very high non-linearity. Presented study focuses on fundamental frequency of stay cable. Generalized mechanical energy with symmetric 1st mode vibration shape satisfied boundary conditions is evolved by Rayleigh-Ritz method. It is possible to give linear analytic solution within characteristic point. Error by this approach shows only below 3% at characteristic point against existing researches. And taut cable don't exceed characteristic point. I.e. high accuracy, easy solving techniques, and a little bit limitations. Therefore presented study can be announced that it is good study ergonomically.