• 대한안전경영과학회지
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• 제5권2호
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• pp.41-51
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• 2003

Next Generation internet banking service for important role of banking business competitive power separates service function of individual banking and should equip various service that coincides in each special qualities these are customer management, portfolio management, global corporation support etc. The past few years have been characterized by rapid changes in technology and the introduction of corporate and retail banking services through the Internet. the integration of e-banking platforms with legacy systems and the increasing dependence of banks on third party information service providers, all dramatically amplify the magnitude of risks to which banks are exposed. Risk management disciplines have not evolved at the same speed and many institutions, especially the smaller ones, have not been able to incorporate Internet banking risk controls within their existing risk management structures. This article provides an overview of the various risks which are heightened with Internet banking, and a holistic approach to managing these risks. In addition, the presentation will explain the different risk areas and the controls to be adopted to mitigate these risks.

• East Asian Economic Review
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• 제23권3호
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• pp.227-260
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• 2019

This paper offers a comprehensive view of international risk sharing and of related policy issues from the perspective of the European Union. The traditional analyses contemplate three risk-sharing channels: the capital markets channel (through cross border portfolio investments), international transfers and the credit markets channel (via savings). Comparative analyses reveal that, on average, about 80% of the shock remains unsmoothed in Europe while only about 18% of the shock is transmitted to consumers within the US. From aggregated figures, there is space for improving, particularly, the cross-border investments channel in Europe. In this sense, the completion of the Banking and Capital Markets Union are expected to boost risk sharing across European member states. We also review new additional issues usually not contemplated by the traditional literature as depreciation, migration and the role of sovereigns and two new additional channels recently considered in the literature: government consumption and the real exchange rate. Finally, we also examine recent analysis related to the geographic distribution of risk sharing.

• 충청수학회지
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• 제27권2호
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• pp.219-225
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• 2014

I use the dynamic programming approach to study the optimal consumption and investment problem with regime-switching and constant labor income. I derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility and constant disutility.

• 충청수학회지
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• 제26권1호
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• pp.85-90
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• 2013

We use the dynamic programming method to investigate the optimal consumption and investment problem with regime-switching. We derive the optimal solutions in closed-form with constant absolute risk aversion (CARA) utility.

• 재무관리연구
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• 제26권1호
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• pp.165-188
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• 2009

본 연구는 개별 자산의 수익률 분포에 대한 가정 없이 평균-VaR 기준에서의 프론티어 포트폴리오를 구하고, 수익률 분포의 고차 적률에 대한 투자자의 선호가 반영된 최적 포트폴리오를 선택하는 방법을 제시하였다. 프론티어 포트폴리오를 구하기 위해 수익률 분포에 대한 가정이 필요하지 않은 그리드와 랭크 방법을 제시하였고 최적 포트폴리오를 선택하기 위해 수익률 분포의 4차 적률까지 고려된 효용함수를 사용하였다. 제시한 방법론을 실제 자료에 적용해 보기위해 모건 스탠리에서 제공하는 선진국 지수, 개발도상국 지수, KOSPI 지수의 주별 수익률 자료를 사용하였다. 평균-VaR 기준과 평균-분산 기준에서의 프론티어 포트폴리오를 구하고 각 기준에서의 최적 포트폴리오를 선택해 서로 비교하였다. 표준편차의 차이뿐만 아니라 효용함수의 수준과 주별 기대수익률로 표현되는 확실성 등가의 차이를 살펴봄으로써 두 기준 간의 경제적 의미 차이에 대해서도 살펴보았다. 또한 부트스트래핑을 이용한 역사적 시뮬레이션의 방법을 사용해 두 기준 간 발생한 차이가 통계적으로 유의한 지를 본 연구에서 적용한 자료에서는 평균-VaR 기준의 투자자가 평균-분산 기준의 투자자에 비해 더 큰 표준편차를 지닌 최적 포트폴리오를 선택하고 위험 회피도가 큰 투자자일수록 평균-VaR 기준에서의 효용이 크고 확실성 등가도 더 크게 나타나는 경향이 나타났다. 그러나 두 기준 간 발생한 차이가 통계적으로 유의하지 않게 나타나 표준편차의 차이와 경제적인 의미 차이가 크지 않다는 사실을 확인하였다.

• 유통과학연구
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• 제17권3호
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• pp.69-83
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• 2019

Purpose - This paper investigates the long term impact of RFID investment on firm value in Korea. We wand to find out why the long term performance of some firm's RFID investment is better than others. To understand the dynamics of the long term returns from RFID investment announcements, we divide our events into groups for each of the independent firm characteristic variable such as investment time period, kind of markets, industries, solvency and growth potential. We composed portfolios based on the RFID investment announcement date for each group and evaluate the monthly abnormal excess returns. Research design, data, and methodology - Based on these calendar-time portfolios, we measure the long term returns from 86 RFID investment announcements of 46 firms from 2003 to 2017. We construct the calendar-time portfolio for 3, 6, 9, 12 months of holding periods. Using the weighted least squares method, we regress the raw monthly returns of the portfolios on the Fama-French model and Carhart(1997) model. As a result, we can get the estimated risk adjusted mean monthly abnormal excess return α_P for each of the calendar-time portfolio. Results - We found that early adopters, large firms, non-manufacturing firms have very significant excess returns. We also found modestly significant excess returns for financially stable firms and slow growing firms. Put together, top managers of the firms which plan to invest RFID should understand the strategic role of RFID adoption and the generalized business process of distribution information technology investment in Korea. Moreover, the findings of this paper provide useful trading strategies to the managers of large funds who are considering on investing in RFID adopting firms. Conclusions - Put together, the results of this paper give us a new insight into how the RFID and IT technology in general and other characteristic factors' interactions affect the long term performance of firms. Using the unbiased estimates of long term returns of the calendar-time portfolios, this paper extends the understandings on short term impact of RFID adoption of existing studies. This paper also extends the current understandings of firm characteristics that affect the long term performance of RFID adopting firms.

• The Journal of Asian Finance, Economics and Business
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• 제7권10호
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• pp.183-192
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• 2020

The purpose of this paper is to investigate the determinants of the Operational Self-Sustainability (OSS) of Vietnamese microfinance institutions (MFIs). This research uses both qualitative and quantitative research methods: (i) qualitative research was via in-depth interviews with ten microfinance practitioners, policymakers and researchers; (ii) quantitative research was conducted by using panel data of 34 MFIs in the period 2011-2015 with binary logistics and OLS regressions. Results are as follows: (i) MFIs' OSS in Vietnam are mainly determined by five key factors: portfolio at risk (PAR>30), capital structure, gross loan portfolio, scope of activities and legal form; (ii) OSS are most affected by legal status (social organizations have better OSS than formal MFIs or programs/projects), location (MFIs focus in one province have higher OSS than working nationwide or just in one district), capital structure (MFIs with more equity proportion have higher OSS); (iii) surprisingly, average loan size per borrower and age of MFIs do not have statistically significant correlation with OSS. The key recommendations are: (i) MFIs should focus on its professionality and increase its equity; (ii) related stakeholders such as State Bank of Vietnam should promote the enabling ecosystem for microfinance development to enhance poverty reduction and economic development.

• 산경연구논집
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• 제13권1호
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• pp.23-32
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• 2022

Purpose: This study used ESG grade, but defined AESG, adjusted to the size of a company and examines whether it can be used as an investment strategy. Research design, data and methodology: The analysis sample in this study is a company that has given an ESG rating among companies listed on the Korea Stock Exchange. We examine the results through portfolio analysis and Fama-macbeth regression analysis. Results: As result of examining the long-only performance and the long-short performance by constructing quintile portfolios, it was observed that a significant positive return was shown. It was observed that there was an alpha that could not be explained in asset pricing models. Also, AESG had a return prediction effect in the result of a Fama-Macbeth regression that controlled corporate characteristic variables in individual stocks. Next, we confirmed AESG's usage through various portfolio composition. In the portfolio optimization, the Risk Efficient method was the most superior in terms of sharpe ratio and the construct multi-factor model with Value, Momentum and Low Vol showed statistically significant performance improvement. Conclusions: The results of this study suggest that it can be helpful in ESG investment to reflect the ESG rating of relatively small companies more through the scale adjustment of the ESG rating (i.e.AESG).

• 아태비즈니스연구
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• 제13권4호
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• pp.79-89
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• 2022

Purpose - The purpose of this study was to examine the impact of ESG rating changes of companies listed in Korean Stock Exchange on stock returns. Design/methodology/approach - This study collected prices and ESG ratings of all the companies listed on the Korea Composite Stock Price Index. Based on yearly change of ESG ratings we grouped companies as 2 portfolios(upgrade and downgrade) and calculated portfolios' return. Findings - First, the difference in returns between upgraded and downgraded portfolios is small and statistically insignificant. Second, however, in the COVID-19 period (2020 ~ 2021), the upgraded portfolio outperforms the downgraded portfolio by 0.7 percentage points per month. The difference in returns between upgraded and downgraded portfolios is statistically significant after controlling for the Carhart four factors. Lastly, there are much higher volatility when the ESG rating changes are made of companies with low levels of ESG ratings. Research implications or Originality - This study is the first to examine the impact of ESG rating changes on stock returns in Korea. Furthermore, the findings can serve as a reference for managers who want to control a firm's risk by ESG rating changes. Practically, asset managers can use the findings to construct portfolios that are less risky or more profitable than the market portfolio.

• The Journal of Asian Finance, Economics and Business
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• 제9권9호
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• pp.351-360
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• 2022

This study aims to determine the factors that can influence investors in selecting stocks in the Indonesian capital market to establish an optimal portfolio, and find phenomena that occurred during the COVID-19 pandemic so that buying interest / the number of investors increased in the Indonesian capital market. This study collection technique uses primary data obtained from the survey questionnaire and secondary data which is market data, stock price movement data sourced from the Indonesia Stock Exchange, Indonesian Central Securities Depository, and Bank Indonesia, as well as empirical literature on behavior finance, investment decision, and interest in buying stock. The method used in this research is the survey questionnaire analysis with the SEM (statistical approach). The results of the analysis using SEM show that investor behavior influences the stock-buying interest, investor behavior, and the stock-buying interest influences investor decision-making. However, risk management does not influence investor-decision making. This occurs when the investigator's psychological capacity produces more decision information by decreasing all potential biases, allowing the best stock selection model to be selected. When the investigator's psychological capacity creates more decision information by reducing biases, the optimum stock selection model can be chosen.