• The Korean Journal of Financial Studies
• /
• v.11 no.1
• /
• pp.157-176
• /
• 2005

본 연구는 KOSPI자산 포트폴리오에 대한 VaR를 다양한 ARCH류 모형을 사용하여 추정하고 이들의 예측능력을 평가하였다. 활용된 모형은 우선 기본적인 GARCH(1,1)모형과 레버리지 효과를 감안한 TGARCH모형, 다양한 ARCH모형을 포괄할 수 있는 PGARCH모형, 변동성의 영속성을 고려한 IGARCH모형이 포함되었다. 모형 상호간의 성과비교에 추가하여 ARCH류 모형에서 수익률예측오차의 분포에 따라서 VaR의 예측성과가 얼마나 차이가 발생하는가를 확인하기 위하여 정규분포와 Student-t분포의 성과를 비교하였다. 마지막으로 VaR 추정시에 조건부평균을 무시하는 관례가 어느정도 타당성이 있는지를 확인하기 위하여 1시차 자기회귀과정에 입각한 조건부 평균을 감안한 결과를 검토하였다. ARCH류 모형에서 모형 설명력은 보다 정교한 모형인 TGARCH모형이나 PGARCH모형이 우월하게 나타났지만, VaR의 예측능력 우월성으로 이어지지는 않았다. Student-t분포를 가정한 경우 VaR모형 사후검증성과는 정규분포를 가정한 경우보다 모든 신뢰수준에서 개선되었으며, 조건부평균의 제거는 Student-t분포 가정하에서는 적합하지 않은 것으로 나타났다. ARCH류 모형에서 가장 단순한 형태인 IGARCH모형의 예측성과가 다른 모형들에 비하여 뒤떨어지지 않으며, 더욱 제약된 형태인 RiskMetrics의 EWMA모형이 사후검증에서 우수한 성과를 보여 단순한 모형의 유용성을 확인시켜주고 있다.

• The Journal of Korean Institute of Communications and Information Sciences
• /
• v.38C no.12
• /
• pp.1095-1105
• /
• 2013

This paper proposes the RDMS(Rough Set Theory based Disease Monitoring System) which efficiently manages diseases in Healthcare System. The RDMS is made up of DCM(Data Collection Module), RDRGM(RST based Disease Rules Generation Module), and HMM(Healthcare Monitoring Module). The DCM collects bio-metric informations from bio sensor of patient and stores it in RDMS DB according to the processing procedure of data. The RDRGM generates disease rules using the core of RST and the support of attributes. The HMM predicts a patient's disease by analyzing not only the risk quotient but also that of complications on the patient's disease by using the collected patient's information by DCM and transfers a visualized patient's information to a patient, a family doctor, etc according to a patient's risk quotient. Also the HMM predicts the patient's disease by comparing and analyzing a patient's medical information, a current patient's health condition, and a patient's family history according to the rules generated by RDRGM and can provide the Patient-Customized Medical Service and the medical information with the prediction result rapidly and reliably.

• Journal of the Korea Institute of Information Security & Cryptology
• /
• v.28 no.6
• /
• pp.1449-1461
• /
• 2018

As the number of software vulnerabilities grows year by year, attacks on software are also taking place a lot. As a result, the security administrator must identify and patch vulnerabilities in the software. However, it is important to prioritize the patches because patches for all vulnerabilities are realistically hard. In this paper, we propose a scoring system that expands the scale of risk assessment metric by taking into consideration attack patterns or weaknesses cause vulnerabilities with the vulnerability information provided by the NIST(National Institute of Standards and Technology). The proposed scoring system is expanded based on the CWSS and uses only public vulnerability information to utilize easily for any company. In this paper, we applied the automated scoring system to software vulnerabilities, and showed the expanded metrics with consideration for influence of attack pattern and weakness are meaningful.

• Journal of Advanced Navigation Technology
• /
• v.24 no.6
• /
• pp.527-532
• /
• 2020

Seoul terminal maneuvering area (TMA) that includes Incheon International Airport (ICN) and Gimpo International Airport is a very congested airspace with around 1,000 daily flights and the airspace blocked at the boundary between Incheon flight information region (FIR) and Pyongyang FIR. Consequently, with frequency radar vectorings, separation assurance in this airspace is complicated thus resulting in higher controller workload. In this paper, the conflict and collision risks in Seoul TMA are analyzed using recorded ADS-B data for past three years. Using the recorded trajectories, original flight plan procesures and routes are reconstructed and the risks are quantified using detect and avoid well clear (DWC) metric that is developed for large unmanned aircraft system. The region west of ICN was found to be the highest risk area regardless of the runway directions. In addition, merge and crossing points between procedures displayed relatively high risks.

• Safety and Health at Work
• /
• v.7 no.4
• /
• pp.381-388
• /
• 2016

Background: Relationships among portable scanning mobility particle sizer (P-SMPS), condensation particle counter (CPC), and surface area monitor (SAM), which are different metric measurement devices, were investigated, and two widely used research grade (RG)-SMPSs were compared to harmonize the measurement protocols. Methods: Pearson correlation analysis was performed to compare the relation between P-SMPS, CPC, and SAM and two common RG-SMPS. Results: For laboratory and engineered nanoparticle (ENP) workplaces, correlation among devices showed good relationships. Correlation among devices was fair in unintended nanoparticle (UNP)-emitting workplaces. This is partly explained by the fact that shape of particles was not spherical, although calibration of sampling instruments was performed using spherical particles and the concentration was very high at the UNP workplaces to allow them to aggregate more easily. Chain-like particles were found by scanning electron microscope in UNP workplaces. The CPC or SAM could be used as an alternative instrument instead of SMPS at the ENP-handling workplaces. At the UNP workplaces, where concentration is high, real-time instruments should be used with caution. There are significant differences between the two SMPSs tested. TSI SMPS showed about 20% higher concentration than the Grimm SMPS in all workplaces. Conclusions: For nanoparticle measurement, CPC and SAM might be useful to find source of emission at laboratory and ENP workplaces instead of P-SMPS in the first stage. An SMPS is required to measure with high accuracy. Caution is necessary when comparing data from different nanoparticle measurement devices and RG-SMPSs.

• The Korean Journal of Applied Statistics
• /
• v.26 no.3
• /
• pp.471-481
• /
• 2013

The current VaR Model based on J. P. Morgan's RiskMetrics has problem that actual loss exceeds VaR under unstable economic conditions because the current VaR Model can't re ect future economic conditions. In general, any corporation's stock price is determined by the rm's idiosyncratic factor as well as the common systematic factor that in uences all stocks in the portfolio. In this study, we propose an One-factor VaR Model for stock portfolio which is decomposed into the common systematic factor and the rm's idiosyncratic factor. We expect that the actual loss will not exceed VaR when the One-factor Model is implemented because the common systematic factor considering the future economic conditions is estimated. Also, we can allocate the stock portfolio to minimize the loss.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.2
• /
• pp.159-168
• /
• 2022

The purpose of this study is to look at the precise direction and magnitude of cultural elements such as education, gender, power distance, and risk-taking proclivity on ethical decision-making. Data was collected from 194 interviewees in three groups: general business students, accounting major students, and professional auditors in Vietnam. The path analysis is used to test the impact of cultural factors on ethical awareness, ethical judgment, and ethical intention in different dubious scenarios at the personal level as independent variables, intermediate variables, and moderating variables. The metric is the percentage of respondents who believe a particular behavior is unethical based on a set of ethical principles. The researchers used SPSS AMOS software to conduct a confirmatory factor survey to evaluate the convergent and discriminant validity of latent variables. The results show differences between the two groups of students and professionals on these measures, suggesting that all of the four factors have an effect on ethical decision-making. Based on research results, some recommendations are proposed related to the four factors to improve the ethics of future generations of auditors in Vietnam. This study also contributes to the theory of culture in particular and cultural interference in general in the field of accounting-auditing in Vietnam in the process of international integration.

• Neonatal Medicine
• /
• v.25 no.1
• /
• pp.1-6
• /
• 2018

Extremely low birth weight infants remain at increased risk of intraventricular hemorrhage from the fragile vascular bed of the germinal matrix; the roles of hypotension (ischemia) and reperfusion (hyperemia) in the development of intraventricular hemorrhage are still debated. Cerebrovascular pressure autoregulation protects the brain by maintaining constant cerebral blood flow despite changes in blood pressure. The ontogeny of cerebrovascular pressure autoregulation has not been well established and uncertainty remains about the optimal arterial blood pressure required to support brain perfusion. Another important aspect of premature cerebral hemodynamics is the critical closing pressure--the arterial blood pressure at which cerebral blood flow ceases. Interestingly, in premature infants, the critical closing pressure approximates the mean arterial blood pressure. Often in this unique population, cerebral blood flow occurs only during systole when the diastolic arterial blood pressure is equal to the critical closing pressure. Moreover, the diastolic closing margin, a metric of cerebral perfusion that normalizes diastolic arterial blood pressure to the critical closing pressure, may be a better measure than arterial blood pressure for defining cerebral perfusion in premature infants. Elevated diastolic closing margin has been associated with intraventricular hemorrhage. This review summarizes the current state of understanding of cerebral hemodynamics in premature infants.

• Land and Housing Review
• /
• v.10 no.1
• /
• pp.9-18
• /
• 2019

This study examined the dynamic change in the co-movement between the house price rates with the network methods of Mantegna (1999). First, Capital area and non-capital area form independent clusters which have the heterogeneous co-movement pattern. In other words, Capital and non-capital areas have low connectivity in the housing market. Also, if the co-movement between capital areas have been strengthened, the co-movement between non-capital areas have been weakened. The results of the dynamic analysis show that the degree of the co-movement in the housing market is continuously increased. The members of the co-movement group in the capital area are strongly steadied by all periods. However, the members in the non-capital area have been changed according to the period. Accordingly, it is necessary to establish policies based on various information for the housing market of the non-capital area rather than policies targeting the capital area. In addition, Apartments in Korea are more likely to be used as investment or speculative assets than other types of houses. It has been confirmed that this is Gangbuk, which is locatied in the northern part of Seoul, appears to be a region where the Spillover Effects of price fluctuation can be triggered in the housing and apartment market. However, the housing market in Gangnam, which is locatied in the southern part of Seoul, was divided into low systematic risk.

• KSII Transactions on Internet and Information Systems (TIIS)
• /
• v.9 no.5
• /
• pp.1717-1732
• /
• 2015

The widespread use of location-based services (LBSs), which allows untrusted service provider to collect large number of user request records, leads to serious privacy concerns. In response to these issues, a number of LBS privacy protection mechanisms (LPPMs) have been recently proposed. However, the evaluation of these LPPMs usually disregards the background knowledge that the adversary may possess about users' contextual information, which runs the risk of wrongly evaluating users' query privacy. In this paper, we address these issues by proposing a generic formal quantification framework,which comprehensively contemplate the various elements that influence the query privacy of users and explicitly states the knowledge that an adversary might have in the context of query privacy. Moreover, a way to model the adversary's attack on query privacy is proposed, which allows us to show the insufficiency of the existing query privacy metrics, e.g., k-anonymity. Thus we propose two new metrics: entropy anonymity and mutual information anonymity. Lastly, we run a set of experiments on datasets generated by network based generator of moving objects proposed by Thomas Brinkhoff. The results show the effectiveness and efficient of our framework to measure the LPPM.