• 경영과정보연구
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• 제29권4호
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• pp.207-223
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• 2010

본 연구에서는 국내 금융회사중 내부모형을 승인받아 사용하고 있는 국내 은행의 실제 위험유형별 자료를 이용하여 시장위험과 신용위험간 관계를 고려한 통합위험을 측정하였으며, 이를 통하여 위험유형간 분산효과가 존재하는지 검증해 보았다. 검증방법은 법규상 규제자본과 내부모형을 통해 산출되는 시장위험과 신용위험의 단순 합산 및 위험액 자체에 직접 임의의 상관관계를 고려하는 단순통합모형을 이용하여 비교 검증하였다. 실증분석 결과, 다음과 같은 사실들을 확인할 수 있었는데, 먼저 내부모형은 시장위험에서는 평균적으로 규제자본에 비해 40.4%, 신용위험은 45.4%의 분산효과를 보였으며, 통계적으로도 유의한 차이를 보였다. 이는 내부모형의 경우 하위 위험요인간 분산효과로 인하여 규제자본에 비해 필요자본이 작아진 다는 것을 의미한다. 다음으로 실무에서 이용하는 위험액 자체에 임의의 상관관계를 적용하여 산출한 단순 통합위험을 경제적 자본의 대용치인 내부모형의 단순합산과 비교해 본 결과 분산효과는 크지 않았으며, 통계적으로도 유의하지 않은 것으로 나타났다. 이는 은행의 시장위험이 신용위험에 비해 규모면에서 과소하여 분산효과가 크게 나타나지 않는 것으로 설명할 수 있다.

• 한국지진공학회논문집
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• 제12권6호
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• pp.47-53
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• 2008

본 논문은 캘리포니아지역에 위치한 고속도로망을 대상으로 하여, 도로망내에 있는 교량의 내진보강 우선순위를 결정하는 방법에 관한 연구이다. 내진보강 우선순위 결정은 지진공학 분야에서 매우 중요한 이슈 중의 하나이며, 정부나 도로 관리청의 의사결정권자는 예산 배정 과정에서 이와 같은 문제에 항상 직면하게 된다. 본 연구는 특정지역의 고속도로망을 대상으로 어떻게 내진보강 우선순위를 결정할 것인가에 관한 방법론을 보여주고 있다. 우선순위 결정을 위하여 구조물의 지진 취약도, 도로망상에 위치한 각각 연결로의 중요도에 대한 개념이 먼저 소개되었다. 도로망상 각각의 교차로를 잇는 연결로를 지진 보강의 대상 단위로 하여 도로망의 내진 성능에 대한 시뮬레이션을 수행하였으며, 추가 소요되는 교통 지체시간을 각각의 시뮬레이션 경우에 대하여 측정함으로써 내진보강에 의한 효과를 평가하였다. 또한, 지진 위험도의 확률적인 특성을 반영하기 위하여 확률론적 시나리오 지진을 도입하였다. 본 연구의 결과에서 알 수 있듯이 우선순위의 의미는 이해관계자의 주요 관심 사항에 따라 다르게 정의될 수 있고, 각각 다른 우선순위 결과를 보여주게 된다. 본 연구는 교통망의 효과적인 내진보강을 위한 우선순위 결정 과정에 도움이 될 수 있는 일반적인 지침을 제공할 것으로 기대된다.

• 한국산업융합학회 논문집
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• 제27권2_2호
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• pp.467-473
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• 2024

Metaheuristics' impact is profound across many fields, yet domestic financial portfolio optimization research falls short, particularly in asset allocation. This study delves into metaheuristics for portfolio optimization, examining theoretical and practical benefits. Findings indicate portfolios optimized via metaheuristics outperform the Dow Jones Index in Sharpe ratios, underscoring their potential to enhance risk-adjusted returns significantly. Tabu search, in comparison to Simulated Annealing, demonstrates superior performance by efficiently navigating the search space. Despite these advancements, practical application remains challenging due to the complexities in metaheuristic implementation. The study advocates for broader algorithmic exploration, including population-based metaheuristics, to refine asset allocation strategies further. This research marks a step towards optimizing portfolios from an extensive array of financial assets, aiming for maximum efficacy in investment outcomes.

• 혜화의학회지
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• 제24권1호
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• pp.15-24
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• 2015

Objectives : This study was carried out to assess the risk of bias of clinical trials on acne treatment with herbal medicine that have been published in Korea. Methods : 7 electronic databases in Korea were searched for clinical trials on acne treatment. Two independent reviewers selected clinical trials on herbal medicine treatment for acne. Selected studies are categorized according to DAMI(Study Design Algorithm for Medical literature of Intervention). RCTs are assessed according to Cochrane RoB(Risk of Bias), non-randomized studies(Before-after studies) are assessed according to RoBANS(Risk of Bias Assessment tool for Non-randomized Study). Results : After selection process, 25 articles are left. Among 25 articles, 3 RCTs and 4 before-after studies are finally included. In RCTs, the proportion of 'unclear' is high in criteria of 'random sequence generation', 'allocation concealment', and 'blinding'. In before-after studies, 'high' is high in criteria of 'blinding for outcome assessment' and 'incomplete outcome data'. Conclusions : Considering the above results of the assessment, it is necessary to conduct more well designed clinical trials on acne treatment with herbal medicine.

• 항공우주시스템공학회지
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• 제16권3호
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• pp.52-62
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• 2022

특정범주 무인항공기 운용의 위험평가를 위해서 개발된 SORA 방법론에서는 지상 및 공중위험 등급을 결정하고 해당 위험도에 대한 특정보증 무결성 수준을 나타내는 SAIL이 할당되어 제안된 운용에 대한 운용 안전도 목표를 적절한 강건도 수준으로 입증해야 한다. 인명의 수송은 제외하는 특정범주 무인항공기 운용의 특성상 지상의 인명이 가장 먼저 고려되어야 하는 위험의 대상이며, 여기서 평가된 지상위험도는 공중위험도와 함께 SAIL의 할당에서도 중요한 역할을 한다. 위험도는 초기에 결정된 등급에 세 가지 종류의 완화수단이 적용되는 것으로 등급이 경감되어 최종 등급이 결정된다. 본 논문에서는 무인항공기의 특정범주 운용에 대한 위험평가 중에서 지상위험 등급의 결정과 완화수단의 적용을 통한 등급의 감소 및 최종 위험 등급에 따른 SAIL과 OSO에 미치는 영향에 대해서 분석하였다.

• 기술혁신연구
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• 제5권1호
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• pp.206-222
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• 1997

The conventional analysis with which justifies government intervention of the private sector's innovation activities is the market failure approach. According to such analysis, fund allocation through autonomous market mechanisms is not optimal in technology financing because of the disparity between the desirable level of investment for society as a whole and that for private firms. To optimize the fund allocation, public policies such as subsidy, preferencial loan and venture capital investment programs are designed for technology development projects performed by private firms. They, however, have not been effective in increasing private investment for such projects. In most cases, it was found that little considerations given to the relationship between uncertainty embodied in technology development projects and each types of financing. With respect to optimizing fund allocation, technology development projects should be financed by different means according to their probability of success and the expected value of technology. Employing various theoretical models on financing decision-making we verify here that technology development projects to be supported by commercial banks or venture capital institutions is limited contingent upon levels of uncertainty adn expected value. Under the assumption that financial institutions are risk averse, loan or investment can be available only if the probability of success of the project is higher than the probability premium and the current market rate of interest. Therefore, the projects that have lower probability of success and/or small expected return are excluded from commercial loan or investment programs. However, the remaining projects, whose probability of success is low but with high expected return, may be applied under government subsidy programs. To achieve optimality of fund allocation and to activate technology financing, we conclude that there should be a systematic division of role among financial institutions including government commercial banks, and venture capital institutions.

• 품질경영학회지
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• 제51권2호
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• pp.171-184
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• 2023

Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

• 전기학회논문지P
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• 제64권4호
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• pp.220-230
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• 2015

Rolling stock RAMS is a field of engineering which integrates reliability, availability, maintainability and safety (RAMS) characteristics into an inherent product design property through rolling stock system engineering process. It is implemented to achieve operational objectives successfully, and recently the RAMS has become a rapidly growing engineering discipline because it has a great potential to ensure safety and improve cost effectiveness. However, the Korean rolling stock industry has not yet implemented RAMS management in the rolling stock engineering process, despite the issue having been addressed since the introduction of the KTX. Thus, this paper discusses the processes, methods and techniques for RAMS assessment in three parts. Firstly, it outlines a process of the overall RAMS performance assessment for achieving technical RAMS design criteria. Secondly, it discusses a process for assessing the operational RAM and allocating the RAM. This paper also proposes a model for assessing safety-based risk management, which includes five analytic techniques for identifying the causes and consequences of a system failure. Finally, a case example is provided for the risk assessment of the pneumatic braking device.

• 실내환경 및 냄새 학회지
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• 제17권4호
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• pp.322-329
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• 2018

The objective of this study is to identify the research trend in the field of indoor environment in Korea. We collected 419 papers published in the Journal of the Korean Society for indoor environment between 2004 and 2018, and attempted to produce datasets using a topic modeling technique, Latent Dirichlet Allocation(LDA). The result of topic modeling showed that 8 topics ("VOCs investigation", "Subway environment", "Building thermal environment", "School health", "Building particulate matter", "Asbestos risk", "Radon risk", "Air cleaner and treatment") could be extracted using Gibbs sampling method. In terms of topic trends, investigation of volatile organic compounds, subway environment, school health, and building particulate matter showed a decreasing tendency, while the building thermal environment, asbestos risk, radon risk, air cleaners, and air treatment showed an increasing tendency. The results of this topic modeling could help us to understand current trends related indoor environment, and provide valuable information in developing future research and policy frameworks.

• 아태비즈니스연구
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• 제13권2호
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• pp.123-138
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• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.