• Title/Summary/Keyword: R.E.

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Performance Analysis of Economic VaR Estimation using Risk Neutral Probability Distributions

  • Heo, Se-Jeong;Yeo, Sung-Chil;Kang, Tae-Hun
    • The Korean Journal of Applied Statistics
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    • v.25 no.5
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    • pp.757-773
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    • 2012
  • Traditional value at risk(S-VaR) has a difficulity in predicting the future risk of financial asset prices since S-VaR is a backward looking measure based on the historical data of the underlying asset prices. In order to resolve the deficiency of S-VaR, an economic value at risk(E-VaR) using the risk neutral probability distributions is suggested since E-VaR is a forward looking measure based on the option price data. In this study E-VaR is estimated by assuming the generalized gamma distribution(GGD) as risk neutral density function which is implied in the option. The estimated E-VaR with GGD was compared with E-VaR estimates under the Black-Scholes model, two-lognormal mixture distribution, generalized extreme value distribution and S-VaR estimates under the normal distribution and GARCH(1, 1) model, respectively. The option market data of the KOSPI 200 index are used in order to compare the performances of the above VaR estimates. The results of the empirical analysis show that GGD seems to have a tendency to estimate VaR conservatively; however, GGD is superior to other models in the overall sense.

A Study of the Expansion of E.R.P.S. Adoption (E.R.P 도입의 확대 방안)

  • Park, Lee-Bong
    • Management & Information Systems Review
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    • v.19
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    • pp.199-221
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    • 2006
  • The purpose of this study is to expand businesses' adoption of the Enterprise Resource Planning System (E.R.P.S.). In order to accomplish the objective, the following conditions need to be fulfilled. 1) Clearness of the goal and expected effect of E.R.P.S. adoption 2) Definiteness of the extent of E.R.P.S. construction 3) The management's will to E.R.P.S. adoption If the E.R.P.S is adopted, the following effects are expected. 1) Speedy quality decision-making is possible. 2) Time taken from the order of the product to its release can be curtailed (from 40days to 10days). 3) Time taken for the development of the product can be shortened (from 24 months to 10 months). 4) Cost reduction is possible by using necessary information in real time.

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VOLUMES OF GEODESIC BALLS IN HEISENBERG GROUPS ℍ5

  • Kim, Hyeyeon
    • Journal of the Chungcheong Mathematical Society
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    • v.32 no.3
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    • pp.349-363
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    • 2019
  • Let ${\mathbb{H}}^5$ be the 5-dimensional Heisenberg group equipped with a left-invariant metric. In this paper we calculate the volumes of geodesic balls in ${\mathbb{H}}^5$. Let $B_e(R)$ be the geodesic ball with center e (the identity of ${\mathbb{H}}^5$) and radius R in ${\mathbb{H}}^5$. Then, the volume of $B_e(R)$ is given by $${\hfill{12}}Vol(B_e(R))\\{={\frac{4{\pi}^2}{6!}}{\left(p_1(R)+p_4(R){\sin}\;R+p_5(R){\cos}\;R+p_6(R){\displaystyle\smashmargin{2}{\int\nolimits_0}^R}{\frac{{\sin}\;t}{t}}dt\right.}\\{\left.{\hfill{65}}{+q_4(R){\sin}(2R)+q_5(R){\cos}(2R)+q_6(R){\displaystyle\smashmargin{2}{\int\nolimits_0}^{2R}}{\frac{{\sin}\;t}{t}}dt}\right)}$$ where $p_n$ and $q_n$ are polynomials with degree n.

Effects of Selenium and Vitamin E Administration on the Semen Characteristics, Blood Chemical Values and Hormone in Hanwoo Sires II. Changes of Selenium and Vitamin E Concentrations of Blood in Hanwoo Sires after Selenium, Vitamin E and rBST Administration (Selenium 과 Vitamin E 투여가 한우 종모우의 정액성상, 혈액성분 및 호르몬 변화에 미치는 효과 II. Selenium, Vitamin E 및 rBST 투여가 한우 종모우의 혈중내 Selenium 과 Vitamin E 의 농도 변화에 미치는 효과)

  • 박동헌;양부근;김종복;전기준;정희태;박춘근;이성수;박노형;원유석
    • Korean Journal of Animal Reproduction
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    • v.23 no.3
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    • pp.205-212
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    • 1999
  • The present study was designed to examine the effects of selenium(Se), vitamin E(Vit. E) and recombinant Bovine Somatotropin(rBST) administration on the selenium and vitamin E concentrations of blood in Hanwoo sires Hanwoo sires were randomly assigned to five groups; 1. control, 2. rBST, 0.09mg/kg body weight (BW) 3. Vit E, 1,500IU/kg BW, 4. Se 0.lmg/kg BW, 5. Vit E, 1.500IU plus Se 0.1mg/kg BW. rBST, Vit. E and Se for each experimental group were given 6 times at 15 days interval by intramuscular injection. Blood samples were collected 10 times for experimental periods, separated the serum by centrifugation, and stored at -7$0^{\circ}C$. Se and Vito E concentrations in blood were measured by fluorophotometer and HPLC. Se concentrations of blood in control, rBST, Vito E, Se and Se plus Vito E groups were 64.55, 65.50, 68.15, 73.11 and 74.09 ppb/$m\ell$, respectively. Se concentration in Vit. E plus Se group was significantly higher than in control and rBST groups (P<0.05), but Vito E group was not significantly different in control and rBST groups(P>0.05). The Vit. E concentrations of blood in control, rBST, Vit. E, Se and Se plus Vit. E groups were 2.27, 2.32, 2.80, 2.58 and 2.75 ppm/$m\ell$, respectively. Vit. E and Vit. E plus Se groups were slightly higher than those of any other groups, but not significantly difference in 외 I experimental groups(P<0.05). These results indicate that Se and Vit. E concentrations of blood were slightly increased with the injection of Se and Vit. E in Hanwoo sires.

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High Concentrated Metal Nano Ink for Conductive Patterns (전도성 배선 형성을 위한 고농도 금속나노잉크)

  • Seo, Young-Kwan;Kim, Tae-Hoon;Lee, Young-Il;Jun, Byung-Ho;Lee, Kwi-Jong;Kim, Dong-Hoon
    • Proceedings of the Korean Institute of Electrical and Electronic Material Engineers Conference
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    • 2008.11a
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    • pp.413-413
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    • 2008
  • 최근 잉크젯, 스크린, 그라비아 등 기존의 인쇄 방식과 인쇄 기술을 이용하여 저가의 전자회로 혹은 전자 소자를 제조하고자 프린팅 소재 및 공정 개발에 대한 산업계의 관심이 증가하고 있다. 특히 PCB, RFID, 디스플레이, 태양전지 분야의 전극재료의 개발에 많은 연구가 진행 중에 있으며, 다양한 인쇄 방법 중 미세회로의 구현이 가능한 잉크젯 프린팅을 통한 전극 형성방법에 주목하고 있다. 본 연구는 잉크젯 프린팅 방식을 통해 배선을 형성하고자 이에 적합한 다양한 농도의 잉크를 배합하여 평가하였으며, 첨가제 및 소결, 건조 조건의 변화를 통해 기재와의 부착력, 배선의 크랙을 조절하였다.

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