• 한국콘텐츠학회논문지
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• 제21권4호
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• pp.414-423
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• 2021

본 연구는 수소전기차 활성화에 중요한 역할을 담당할 것으로 기대되는 수소전기차에 대한 자기효능감, 기대되는 가치와 지각된 위험 그리고 신뢰간의 인과관계를 규명할 수 있는 개념적 모형을 설정하고 이를 실증연구를 통하여 검증하고자 하였다. 구체적인 연구목표로는 첫째, 자기효능감, 지각된 가치, 지각된 위험, 신뢰에 관한 개념을 선행연구를 중심으로 개념적·조작적으로 정의하였다. 둘째, 선행연구를 통하여 도출된 자기효능감, 지각된 가치, 지각된 위험, 신뢰가 상호 어떠한 영향관계를 가지게 되는지를 확인하기 위하여 연구모형을 제시하고 실증분석을 통하여 검증하였다. 연구결과, 자기효능감은 지각된 가치와 신뢰에 유의한 영향을 미치는 것으로 나타났다. 또한 지각된 가치와 지각된 위험은 신뢰에 유의한 영향을 미치는 것으로 나타났다.

• Journal of the Korean Data and Information Science Society
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• 제27권6호
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• pp.1453-1463
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• 2016

가장 선호하는 금융위험 측정 방법은 통계적으로 최대손실금액을 추정하는 VaR (Value at Risk)이다. 포트폴리오를 구성하는 여러 산업에 대한 VaR (Value at Risk)는 분산공분산 행렬과 특정한 포트폴리오가 포함되어 변환된 일변량 위험을 이용하여 추정한다. Hong 등 (2016)은 다변량 분위벡터를 바탕으로 Vector at Risk를 정의하였으며, 특정한 포트폴리오가 설정되면 Vector at Risk 중의 한 점을 최적의 VaR 즉, 대안적인 VaR (AVaR)로 제안하였다. 본 연구에서는 다변량 정규분포에 대하여 AVaR의 특성을 탐색한다. 여러 종류의 분산공분산 행렬과 다양한 포트폴리오 가중값 벡터인 경우의 이변량과 삼변량의 정규분포를 따르는 모의실험 자료와 실증예제를 이용하여 대안적인 최대손실금액인 AVaR을 구하고 VaR과 비교 분석한다. 다변량 분위벡터를 이용한 AVaR는 VaR보다 작게 추정함을 발견하였으며, 이런 특징과 함께 AVaR의 특성을 토론한다.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제16권1호
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• pp.121-131
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• 2009

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

• Communications for Statistical Applications and Methods
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• 제25권6호
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• pp.605-618
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• 2018

Risk management has been a crucial part of the daily operations of the financial industry over the past two decades. Value at Risk (VaR), a quantitative measure introduced by JP Morgan in 1995, is the most popular and simplest quantitative measure of risk. VaR has been widely applied to the risk evaluation over all types of financial activities, including portfolio management and asset allocation. This paper uses the implementations of multivariate GARCH models and copula methods to illustrate the performance of a one-day-ahead VaR prediction modeling process for high-dimensional portfolios. Many factors, such as the interaction among included assets, are included in the modeling process. Additionally, empirical data analyses and backtesting results are demonstrated through a rolling analysis, which help capture the instability of parameter estimates. We find that our way of modeling is relatively robust and flexible.

• 아태비즈니스연구
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• 제12권1호
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• pp.121-134
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• 2021

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

• Structural Engineering and Mechanics
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• 제32권1호
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• pp.147-165
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• 2009

This study proposes a certain measure or investment strategy for decision making associated with seismic retrofitting. This strategy reduces the risk of a large-scale malfunction such as water supply loss under seismic risks. The authors developed a stochastic value index that will be used in the overall evaluation of social benefit, income gain, life cycle costs and failure compensation associated with existing lifeline systems damaged by an earthquake during the remaining service period. Optimal seismic disaster prevention investment of deteriorated lifeline systems is discussed. Finally, the present study provides a performance-based design method for seismic retrofitting strategies of existing lifelines which are carried out using the target probabilities of value loss and structural failure.

• 기술혁신연구
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• 제6권2호
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• pp.178-207
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• 1998

This article suggests a methodology to decide the priority of investment project for venture business under the dynamic circumstance. By the Monte Carlo procedure on the probability distribution of cost and revenue, the model simulates the investment project to estimate profit ratio and risk. The profit ratio is calculated on the yearly basis for the relative comparison. The project risk is calculated as semi-variance under the target yield. After sufficient simulations in this fashion for several projects, the efficient projects with more profit and less risk are selected by the dominance principle. Then the regression equation of the selected projects is produced to find the relative value of the projects. The relative value is obtained through dividing the raw profit ratio by the estimated one on the equation. This value shows the degree to which the simulated project yields over the equation. The priority of investment is decided by this value. An examplary venture business of chemical development for semi-conductor is presented as a case study.

• 무역학회지
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• 제44권3호
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• pp.191-202
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• 2019

Despite innovative efforts to accommodate changes in the payment environment, the new types of settlement risks that are emerging require preemptive and proactive responses. Therefore, Korea should complement and develop large-value funds payment system operation and risk management policies by introducing international standards and linking with advanced financial institutions. This study examines the major issues such as the development process and characteristics of the large-value funds payment system of the two countries, the operation policy of the central bank, and the risk management policy by comparing the US Fedwire with the Korea Bok-Wire+. In addition, policy implications are suggested for efficient operation and development of Bok-Wire+.

• Journal of the Korean Data and Information Science Society
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• 제16권2호
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• pp.283-288
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• 2005

Value at Risk(VaR) has been proven useful in finance literature as a tool of risk management(cf. Jorion(2001)). This article is concerned with introducing VaR to various Korean financial time series. Five daily data sets with sample period ranging from 2000 and 2004 such as KOSPI, KOSPI 200, KOSDAQ, KOSDAQ 50 and won-dollar exchange rate are analyzed using GARCH modeling and in turn VaR is obtained for each data.

• 인터넷정보학회논문지
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• 제16권6호
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• pp.57-67
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• 2015

This paper proposes an Fuzzy-based Risk Reasoning Driving Strategy on VANET. Its first reasoning phase consists of a WC_risk reasoning that reasons the risk by using limited road factors such as current weather, density, accident, and construction, a DR_risk reasoning that reasons the risk by combining the driving resistance with the weight value suitable for the environment of highways and national roads, a DS_risk reasoning that judges the collision risk by using the travel direction, speed. and distance of vehicles and pedestrians, and a Total_risk reasoning that computes a final risk by using the three above-mentioned reasoning. Its second speed reduction proposal phase decides the reduction ratio according to the result of Total_risk and the reduction ratio by comparing the regulation speed of road to current vehicle's speed. Its third risk notification phase works in case current driving speed exceeds regulation speed or in case the Total_risk is higher than AV(Average Value). The Risk Notification Phase informs rear vehicles or pedestrians around of a risk according to drivers's response. If drivers use a brake according to the proposed speed reduction, the precedent vehicles transfers Risk Notification Messages to rear vehicles. If they don't use a brake, a current driving vehicle transfers a Risk Message to pedestrians. Therefore, this paper not only prevents collision accident beforehand by reasoning the risk happening to pedestrians and vehicles but also decreases the loss of various resources by reducing traffic jam.