• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.153-186
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• 2007

It is well known that the distributional properties of financial asset returns exhibit fatter-tails and skewer-mean than the assumption of normal distribution. The correct assumption of return distribution might improve the estimated performance of the Value-at-Risk(VaR) models in financial markets. In this paper, we estimate and compare the VaR performance using the RiskMetrics, GARCH and FIGARCH models based on the normal and skewed-Student-t distributions in two daily returns of the Korean Composite Stock Index(KOSPI) and Korean Won-US Dollar(KRW-USD) exchange rate. We also perform the expected shortfall to assess the size of expected loss in terms of the estimation of the empirical failure rate. From the results of empirical VaR analysis, it is found that the presence of long memory in the volatility of sample returns is not an important in estimating an accurate VaR performance. However, it is more important to consider a model with skewed-Student-t distribution innovation in determining better VaR. In short, the appropriate assumption of return distribution provides more accurate VaR models for the portfolio managers and investors.

• Applied Chemistry for Engineering
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• v.34 no.2
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• pp.144-152
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• 2023

To evaluate the fire risk of combustible materials, Chung's equations VII, VIII, and IX were newly established. The fire risk index-IX (FRI-IX) and fire risk rating (FRR) were calculated. Ginkgo, dawn redwood, toona, lime, walnut, and polymethylmethacrylate (PMMA) were selected as test specimens. The combustion characteristics were evaluated using a cone calorimeter according to ISO 5660-1. After combustion, the fire performance index-VII (FPI-VII) of the specimens, varied between 15.15 and 182.53 s²/kW, as determined by Chung's equations, and the fire growth index-VII (FGI-VII) varied between 0.0023 and 0.0165 kW/s². The fire performance index-VIII (FPI-VIII) based on PMMA varied between 0.29 and 3.45, and the fire growth index-VIII (FGI-VIII) varied between 2.88 and 20.63. The FRI-IX, which is the fire risk rating, showed dawn redwood has a very high fire risk, with FRI-IX values of 71.14 (fire risk rating: G). Therefore, wood with a large amount of volatile organic compounds and a low bulk density showed a high value of FRI-IX by lowering FPI-VII and FPI-VIII and increasing FGI-VII and FGI-VIII.

• Journal of The Korean Society of Agricultural Engineers
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• v.55 no.4
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• pp.73-82
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• 2013

The main objective of this study was to evaluate Representative Concentration Pathways (RCP) scenarios-based flood risk at a Si-Gun level. A bias correction using a quantile mapping method with the Generalized Extreme Value (GEV) distribution was performed to correct future precipitation data provided by the Korea Meteorological Administration (KMA). A series of proxy variables including CN80 (Number of days over 80 mm) and CX3h (Maximum precipitation during 3-hr) etc. were used to carry out flood risk assessment. Indicators were normalized by a Z-score method and weighted by factors estimated by principal component analysis (PCA). Flood risk evaluation was conducted for the four different time periods, i.e. 1990s, 2025s, 2055s, and 2085s, which correspond to 1976~2005, 2011~2040, 2041~2070, and 2071~2100. The average flood risk indices based on RCP4.5 scenario were 0.08, 0.16, 0.22, and 0.13 for the corresponding periods in the order of time, which increased steadily up to 2055s period and decreased. The average indices based on RCP8.5 scenario were 0.08, 0.23, 0.11, and 0.21, which decreased in the 2055s period and then increased again. Considering the average index during entire period of the future, RCP8.5 scenario resulted in greater risk than RCP4.5 scenario.

• Journal of Nutrition and Health
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• v.38 no.6
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• pp.445-454
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• 2005

The purpose of this study was to compare the validity of obese index among body mass index (BMI), waist to hip ratio (WHR), and waist circumference (WC) and to determine which is the best in relation to cardiovascular disease (CVD) risk in Korean elderly more than 65 ages. Data from the 1998 Korean Health and Nutrition Survey were used (n=1017). Anthropometric indices and CVD risk factors were measured, and chi-square test, analysis of variance following duncan's multiple range test, partial correlation analysis, and Receiver Operator Characteristic (ROC) curves were used in the analysis. Anthropometric values were decreased in both male and female when ages were goes up. In female elderly, it specially showed the characteristics of upper body fat and systolic blood pressure risk (p<0.05). Among life style factors the current smokers were prevalent in obese male (p<0.05), but not prevalent in female having obese or upper body fat. Also, person with upper body obesity have more exercise than that of normal group (p<0.01). Mean BMI values of the current smoker was lower than that of normal group in both sexes (p<0.01). Mean BMI value of person with other risk factors were higher than that of normal groups (p<0.05). Among 7 CVD risk factors in partial correlation analysis, WC had the highest correlation coefficient in 5 in male, whereas BMI in 4 in female. In ROC analyses of 12 risk factors and health conditions, the largest area under curve of obese indices for risk factors were WC>WHR>BMI in male and BMI>WHR>WC in female. The optimal cutoff values of each index (BMI : WHR : WC) for one or more risk factors were 19.02 : 0.84 : 71.3 in male and 19.04 : 0.88 : 85.6 in female. In conclusion, Most Korean elderly showed non-obese and abdominal obesity likewise other Asians. Also CVD risk factors were prevalent in Korean elderly within normal limits of obese indices. Therefore the upper body fat indices reflected in the aged whose muscle mass is replaced by fat must be used as an indicator of CVD risk together with BMI. Although WHR was the worst index based on partial correlation analysis and so located between BMI and WC in ROC curve analysis in both sexes, it need to be use with WC to screen the cardiovascular risk group.

• Genomics & Informatics
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• v.14 no.4
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• pp.149-159
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• 2016

With the success of the genome-wide association studies (GWASs), many candidate loci for complex human diseases have been reported in the GWAS catalog. Recently, many disease prediction models based on penalized regression or statistical learning methods were proposed using candidate causal variants from significant single-nucleotide polymorphisms of GWASs. However, there have been only a few systematic studies comparing existing methods. In this study, we first constructed risk prediction models, such as stepwise linear regression (SLR), least absolute shrinkage and selection operator (LASSO), and Elastic-Net (EN), using a GWAS chip and GWAS catalog. We then compared the prediction accuracy by calculating the mean square error (MSE) value on data from the Korea Association Resource (KARE) with body mass index. Our results show that SLR provides a smaller MSE value than the other methods, while the numbers of selected variables in each model were similar.

• Journal of Korean Neurosurgical Society
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• v.64 no.2
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• pp.189-197
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• 2021

Objective : This study aims to investigate the relationship between aneurysm wall enhancement and clinical rupture risks based on the magnetic resonance vessel wall imaging (MR-VWI) quantitative methods. Methods : One hundred and eight patients with 127 unruptured aneurysms were prospectively enrolled from Feburary 2016 to October 2017. Aneurysms were divided into high risk (≥10) and intermediate-low risk group (<10) according to the PHASES (Population, Hypertension, Age, Size of aneurysm, Earlier SAH history from another aneurysm, Site of aneurysm) scores. Clinical risk factors, aneurysm morphology, and wall enhancement index (WEI) calculated using 3D MR-VWI were analyzed and compared. Results : In comparison of high-risk and intermediated-low risk groups, univariate analysis showed that neck width (4.5±3.3 mm vs. 3.4±1.7 mm, p=0.002), the presence of wall enhancement (100.0% vs. 62.9%, p<0.001), and WEI (1.6±0.6 vs. 0.8±0.8, p<0.001) were significantly associated with high rupture risk. Multivariate regression analysis revealed that WEI was the most important factor in predicting high rupture risk (odds ratio, 2.6; 95% confidence interval, 1.4-4.9; p=0.002). The receiver operating characteristic (ROC) curve analysis can efficiently differentiate higher risk aneurysms (area under the curve, 0.780; p<0.001) which have a reliable WEI cutoff value (1.04; sensitivity, 0.833; specificity, 0.67) predictive of high rupture risk. Conclusion : Aneurysms with higher rupture risk based on PHASES score demonstrate increased neck width, wall enhancement, and the enhancement intensity. Higher WEI in unruptured aneurysms has a predictive value for increased rupture risk.

• Journal of radiological science and technology
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• v.44 no.4
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• pp.307-313
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• 2021

The purpose of this study was to analyze the risk factors for uterine myoma diagnosed by ultrasonography in Korea women and to evaluate the risk. Among the patients who visited the outpatient department of obstetrics and gynecology at I hospital in Busin between January 2019 and March 2021 for the purpose of examination, 98 patients in the experimental group diagnosed with uterine myoma and 163 patients in the normal control group without other diseases were retrospectively conducted. Among the general characteristics of the subjects, age, body mass index, parity, and menopause showed significant differences between the myoma group and the normal control group. ROC(receiver operating characteristic) curve analysis and logistic regression analysis were performed to obtain the cut off value and odds ratio that can predict the occurrence of uterine myoma. The cut off value for the prediction of uterine myoma was determined to be 30 years old and a body mass index of 23 kg/m². After that adjusting for menopause, non menopausal cases with a body mass index of 23 kg/m² and over 39 years of age had the highest odds ratio of 6.04. Therefore, premenopausal women over 40 years of age require regular checkups and thorough weight management. This study was conducted with a small number of subjects. Therefore, there is a limit to generalizing to all Korean women. However, based on this study if a large scale prospective study considering various variables is made, it can play a role as a predictive marker in early detection of uterine myoma.

• The Journal of Engineering Geology
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• v.28 no.3
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• pp.379-395
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• 2018

A walking trail environment can be divided into the upper part of the trail, the trail itself, and the lower part of the trail. In this study, based on field investigations, we developed a risk index for trails by considering human/societal factors that affect each of these three trail environments. A checklist was developed for field investigations, and checklist items were scored through relative importance analysis. The relative weights of items were analyzed using the AHP (Analytic Hierarchy Process) technique, revealing that the upper environment of a trail is twice as important as the rest of the environment. The importance and score of items belonging to each environment were determined. We define the risk index as the sum of the item scores. Weights were added using data from existing investigations including landslides risk rating and designated risk steep slopes. The risk index has a maximum value of 200, and the maximum and minimum calculated scores of 335 risk sections were 159 and 64.2, respectively. As a result of comparative analysis between field observations and risk index calculations, most sections at relatively low risk had risk values less than 100, and sections with high risks or that had been the site of accident yielded scores that exceeded 140.

• Nutrition Research and Practice
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• v.6 no.1
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• pp.78-85
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• 2012

Whether the $FTO$ polymorphisms interact with environmental factors has not yet been evaluated in associations with metabolic syndrome (MS) risk. The present study investigated the association of the $FTO$ rs9939609 genotypes, body mass index (BMI), and lifestyle-related factors including smoking, alcohol drinking, physical activity, and diet with MS incidence. A population-based prospective cohort study comprised 3,504 male and female Koreans aged 40 to 69 years. At the beginning of the study, all individuals were free of MS and known cardiovascular disease. Incident cases of MS were identified by biennial health examinations during a follow-up period from April 17, 2003 to April 15, 2009. Pooled logistic regression analysis was applied to obtain relative odds (RO) of MS with its 95% confidence interval (CI). After controlling for potential MS risk factors, we observed no association between the rs9939609 genotypes and MS incidence. In analysis stratified by BMI, however, carriers with the $FTO$ risk allele whose BMI is $29kg/m^2$ or greater showed an approximately 6-fold higher RO (95% CI: 3.82 to 9.30) compared with non-carriers with BMI less than $25kg/m^2$. In particular, the association between the rs9939609 variants and MS risk was significantly modified by high BMI (P-value for interaction < 0.05). Such significant interaction appeared in associations with central obesity and high blood pressure among the MS components. Because carriers of the $FTO$ risk alleles who had BMI of $29kg/m^2$ or greater are considered a high risk population, we suggest that they may need intensive weight loss regimens to prevent MS development.

• Journal of Korea Water Resources Association
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• v.46 no.1
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• pp.35-45
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• 2013

The aim of study is to present how to estimate and use the FRI (Flood Risk Index) for classifying area zones based on regional flooding risk in terms of the integrated flood risk management. To estimate the FRI at a spatial resolution of city/county/town units for the Nakdong River Watershed, the 17 representative flood indexing factors are carefully selected for the three flood indexes, such as PI (Pressure Index), SI (State Index), and RI (Response Index) under the P-S-R (Pressure-State-Response) classification system. Because flood indexing factors are measured at different scales and units, they are transformed into a common domain by the T-Score normalization technique. The entropy weight coefficient method is also applied to calculate the weight of flood indexing factors in order to reduce subjective judgement on the effect of weight coefficients. The three flood indexes of PI, SI, and RI are integrated for an overall value of the FRI to evaluate the flood risk of districts. To examine the practical application of the proposed FRI, the FRI results with/without the weight coefficients are compared with flooding zones of natural disaster risk areas officially announced in 2010. It is expected that the FRI ensured by full verification can make regional protection plans against flooding disasters with respect to causes and characteristics of past floods.