• Journal of Distribution Science
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• v.13 no.5
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• pp.71-82
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• 2015

Purpose - The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology - To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results - According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the average correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions - Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

• Journal of Korean Society of Steel Construction
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• v.15 no.5 s.66
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• pp.499-507
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• 2003

As the load is increased on the steel-concrete composite structure, its interface begins to show nonlinear behavior due to the reduction of interaction, micro-crack, slip and separation, and it causes slip-softening, Therefore, it is essential to consider the partial-interaction analysis technique. Until now, however, full-interaction or, in some instances, the linear-elastic model, which are insufficient to simulate accurate behavior, are assumed in the analysis of composite structure since the analysis method and nonlinear model for interface are very difficult and complicated. Therefore, the design of composite structure is followed by the experimental method which is inefficient-because a number of tests have to be carried out according to the design environments. In this study, we carried out the nonlinear analysis according to various interface nonlinear models by interaction magnitude, and analyzed more accurate structural behavior and performance by maximum tangential traction and slip-softening at the interface. As a result of this study. we were able to prove that the nonlinear model of interface more exactly represents behavior after yielding, such as ultimate load: that initial tangential stiffness of interface has a significant effect on the yielding load of structural members or part: and that the maximum tangential traction and slip-softening mainly effects structural yielding and ultimate load. Therefore, the structural performance of composite structure is highly dependent on the steel-concrete interface or interaction, which may result in initial tangential stiffness, maximum tangential traction and slip-softening in nonlinear model.

• Journal of the Korean Wood Science and Technology
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• v.43 no.4
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• pp.456-462
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• 2015

365 pieces of domestic $38{\times}140{\times}3600mm$ Red pine structural lumber were machine graded conforming to a softwood structural lumber standard (KS F 3020). The allowable bending stresses calculated for each grade were compared with the values currently tabulated in the standard. Four calculation methods for lower $5^{th}$ percentile bending stress were non-parametric estimation with 75% confidence level, 2-parameter and 3-parameter Weibull distribution fit, and bending modulus of rupture (MOR)-modulus of elasticity (MOE) regression based method. Only the data set of Grades E8, E9, and E10 were statistically eligible for the $5^{th}$ percentile calculation. The MOR-MOE regression based method only was able to estimate the lower $5^{th}$ percentile values theoretically for the full range of grades. The results showed that all allowable bending stresses calculated were lower than the design values tabulated in the standard. This implies that the current machine grading system has the pitfall of structural safety. Improvement in current machine grading system could be achieved by introducing the bending strength and stiffness combination grade system.

• The Korean Journal of Applied Statistics
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• v.33 no.1
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• pp.25-46
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• 2020

This paper presents ordinal probit semiparametric regression models using Bayesian Spectral Analysis Regression (BSAR) method. Ordinal probit regression is a way of modeling ordinal responses - usually more than two categories - by connecting the probability of falling into each category explained by a combination of available covariates using a probit (an inverse function of normal cumulative distribution function) link. The Bayesian probit model facilitates posterior sampling by bringing a latent variable following normal distribution, therefore, the responses are categorized by the cut-off points according to values of latent variables. In this paper, we extend the latent variable approach to a semiparametric model for the Bayesian ordinal probit regression with nonparametric functions using a spectral representation of Gaussian processes based BSAR method. The latent variable is decomposed into a parametric component and a nonparametric component with or without a shape constraint for modeling ordinal responses and predicting outcomes more flexibly. We illustrate the proposed methods with simulation studies in comparison with existing methods and real data analysis applied to a Korean National Health and Nutrition Examination Survey (KNHANES) 2016 for investigating nonparametric relationship between smoking behavior and coffee intake.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.31 no.5
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• pp.267-274
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• 2018

For successful BIM settlement, it is a key technic for engineer to design structures in the 3-dimensional digital space and to work out related design documents directly. Lately many BIM tool has been released and each supports their 3-dimensional object libraries. But it is not easy to apply those libraries to design transportation infra structures that were placed along the route(3-dimensional line). Moreover, in case of design changes, it is so difficult to reflect those changes with the integrated model that was assembled by them. Because of they were developed without consideration for redundancy of parameters between objects that were placed nearby or were related each other. In this paper, a method to develop module for modeling and placing 3-dimensional object for transportation infra structures is presented. The modules are employed by a parametric method and can deal with design changes. Also, for a railroad bridge, through developing user interface of the integrated 3-dimensional model that was assembled by those modules the applicability of them was reviewed.

• Journal of Korean Tunnelling and Underground Space Association
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• v.20 no.6
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• pp.1105-1123
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• 2018

The main risk factors of tunnel excavation through urban areas are ground settlement and surface sink which caused by ground conditions, excavation method, groundwater condition, excavation length, support method, etc. In the process of ground settlement assessment, the numerical analysis should be conducted considering the displacement and stress due to tunnel excavation. Therefore a technique that can simplify such process and easily evaluate the influence of tunnel excavation is needed. This study focused on the tunnelling-induced ground settlement which is main consideration of underground safety impact assessment. The parametric numerical analyses were performed considering such parameters as ground conditions, tunnel depth, and lateral distance from tunnel center line, etc. A simplified ground settlement evaluation chart was suggested by analyzing tendency of ground subsidence, lateral influence area and character by depth. The applicability of the suggested settlement evaluation chart was verified by comparative numerical analysis of settlement characteristics.

• Korean Journal of Construction Engineering and Management
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• v.20 no.1
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• pp.141-150
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• 2019

In the overseas plant construction market, the domain construction firms' construction capability has been greatly improved, but the capability of project management is evaluated to be insufficient compared to the technical aspect. Project management capabilities from the initial planning stage of project execution are regarded as the core competence of advanced construction companies. Among them, it is urgent to improve the capacity of conceptual estimate for domestic companies. In this study, the researchers surveyed and analyzed the methodology of estimating project cost in the planning phase of the plant project and developed an estimation method by conducting a case study analysis. Based on the logic of the cost index and parametric estimation method among the existing estimation methodology, the estimation tool was developed by deriving the input and output variables tailored to the plant project. The validity of the proposed methodology was evaluated by comparing the accuracy between the project estimate amount of the case project and the actual project amount. In order to increase the utilization of the developed conceptual estimate methodology,for plant construction project, it is necessary to systematize the data of the historical project data. Increasing the accuracy of future project cost estimates is directly related to increasing project award and profitability of the domestic construction company.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.20 no.1
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• pp.339-346
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• 2019

Various studies have been conducted to evaluate the probabilistic fatigue life of steel railway bridges, but many of them are based on a relatively simple model of crack propagation. The model assumes zero minimum stress and constant loading amplitude, which is not appropriate for the fatigue life evaluation of railway bridges. Thus, this study proposes a new probabilistic method employing an advanced crack propagation model that considers the live-dead load ratio for the fatigue life evaluation of steel railway bridges. In addition, by using the rainflow cycle counting algorithm, it can handle variable-amplitude loading, which is the most common loading pattern for railway bridges. To demonstrate the proposed method, it was applied to a numerical example of a steel railway bridge, and the fatigue lives of the major components and structural system were estimated. Furthermore, the effects of various ratios of live-dead loads on bridge fatigue life were examined through a parametric study. As a result, with the increasing live-dead stress ratio from 0 to 5/6, the fatigue lives can be reduced by approximately 30 years at both the component and system levels.

• Journal of Korean Tunnelling and Underground Space Association
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• v.23 no.3
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• pp.183-198
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• 2021

The EPB (Earth Pressure Balanced) shield TBM method restrains the ground deformation through continuous excavation and support. Still, the significant surface settlement occurs due to the ground conditions, tunnel dimensions, and construction conditions. Therefore, it is necessary to clarify the settlement behavior with its influence factors and evaluate the possible settlement during construction. In this study, the analytical model of surface settlement based on the influence factors and their mechanisms were proposed. Then, the parametric study for controllable factors during excavation was conducted by numerical method. Through the numerical analysis, the settlement behavior according to the construction conditions was quantitatively derived. Then, the qualitative trend according to the ground conditions was visualized by coupling the numerical results with the analytical model of settlement. Based on the results of this study, it is expected to contribute to the derivation of the settlement prediction algorithm for EPB shield TBM excavation.

• Journal of Industrial Convergence
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• v.21 no.1
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• pp.111-122
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• 2023

The purpose of this study is to verify the factors affecting survival time by estimating survival rate and survival time using non-financial information of social enterprises using credit guarantee in credit guarantee institutions, and provide information to stakeholders to improve survival rate and employ to contribute to maintaining and expanding the As a research method, survival analysis was performed using a non-parametric analysis method, Kaplan-Meier Analysis. As a sample, 621 companies (577 normal companies, 44 insolvent companies) established between 2009 and 2018 were selected as the target companies. As a result of examining the factors affecting survival time by classifying social enterprise representative information and corporate information, representative credit rating, representative home ownership, credit transaction period, and corporate credit rating were derived as significant variables affecting survival time. In the future, financial institutions will be able to induce corporate soundness by reflecting factors that affect survival when examining loans for social enterprises, contributing to job retention and reduction of social costs. Supporting organizations such as the government and private organizations will be able to use it in various ways, such as policy establishment and education and training for the growth and sustainability of social enterprises. With this study as an opportunity, I hope that research will continue with more interest in the factors influencing social enterprise performance as well as corporate insolvency.