• 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.

• The Journal of Asian Finance, Economics and Business
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• 제9권3호
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• pp.203-215
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• 2022

Bayesian Networks are multivariate probabilistic factor graphs that are used to assess underlying factor relationships. From January 2005 to December 2018, the study examines how Dynamic Bayesian Networks can be utilized to estimate portfolio risk and return as well as determine inter-factor relationships among reversal profit-generating components in Pakistan's emerging market (PSX). The goal of this article is to uncover the factors that cause reversal profits in the Pakistani stock market. In visual form, Bayesian networks can generate causal and inferential probabilistic relationships. Investors might update their stock return values in the network simultaneously with fresh market information, resulting in a dynamic shift in portfolio risk distribution across the networks. The findings show that investments in low net profit margin, low investment, and high volatility-based designed portfolios yield the biggest dynamical reversal profits. The main triggering aspects related to generation reversal profits in the Pakistan market, in the long run, are net profit margin, market risk premium, investment, size, and volatility factor. Investors should invest in and build portfolios with small companies that have a low price-to-earnings ratio, small earnings per share, and minimal volatility, according to the most likely explanation.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.717-729
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• 2021

This paper examines the efficacy of the default risk factor in an emerging market context using the Fama-French five-factor model. Our aim is to test whether the Fama-French five-factor model augmented with a default risk factor improves the predictability of returns of portfolios sorted on the firm's characteristics as well as on industry. The default risk factor is constructed by estimating the probability of default using a hybrid version of dynamic panel probit and artificial neural network (ANN) to proxy default risk. This study also provides evidence on the temporal stability of risk premiums obtained using the Fama-MacBeth approach. Using a sample of 3,806 firm-year observations on non-financial listed companies of Pakistan over 2006-2015 we found that the augmented model performed better when tested across size-investment-default sorted portfolios. The investment factor contains some default-related information, but default risk is independently priced and bears a significantly positive risk premium. The risk premiums are also found temporally stable over the full sample and more recent sample period 2010-2015 as evidence by the Fama-MacBeth regressions. The finding suggests that the default risk factor is not a useless factor and due to mispricing, default risk anomaly prevails in the Pakistani equity market.

• Geomechanics and Engineering
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• 제9권1호
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• pp.57-81
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• 2015

Water inrush and mud outburst always restricts the tunnel constructions in mountain area, which becomes a major geological barrier against the development of underground engineering. In view of the complex disaster-causing mechanism and difficult quantitative predictions of water inrush and mud outburst, several theoretical methods are adopted to realize dynamic assessment of water inrush in the progressive process of tunnel construction. Concerning both the geological condition and construction situation, eleven risk factors are quantitatively described and an assessment system is developed to evaluate the water inrush risk. In the static assessment, the weights of eight risk factors about the geological condition are determined using Analytic Hierarchy Process (AHP). Each factor is scored by experts and the synthesis scores are weighted. The risk level is ultimately determined based on the scoring outcome which is derived from the sum of products of weights and comprehensive scores. In the secondary assessment, the eight risk factors in static assessment and three factors about construction situation are quantitatively analyzed using fuzzy evaluation method. Subordinate levels and weight of factors are prepared and then used to calculate the comprehensive subordinate degree and risk level. In the dynamic assessment, the classical field of the eleven risk factors is normalized by using the extension evaluation method. From the input of the matter-element, weights of risk factors are determined and correlation analysis is carried out to determine the risk level. This system has been applied to the dynamic assessment of water inrush during construction of the Yuanliangshan tunnel of Yuhuai Railway. The assessment results are consistent with the actual excavation, which verifies the rationality and feasibility of the software. The developed system is believed capable to be back-up and applied for risk assessment of water inrush in the underground engineering construction.

• 대한조선학회논문집
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• 제41권3호
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• pp.41-48
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• 2004

Ship is being operated under a highly dynamic environments and many factors are related with ship's collision and those factors are interacting. So, the analysis on ship's collision causes are very important to prepare countermeasures which will ensure the safe navigation. This study analysed the ship's collision data over the past 10 years(1991-2000), which is compiled by Korea Marine Accidents Inquiry Agency. The analysis confirmed that ‘ship's collision' is occurred most frequently and the cause is closely related with human factor. The main purpose of this study is to propose risk control measures of ship's collision. For this, the structure of human factor is analysed by the questionnaire methodology. Marine experts were surveyed based on major elements that were extracted from the human factor affecting to ship's collision. FSM has been widely adopted in modeling a dynamic system which is composed of human factors. Then, the structure analysis on the causes of ship's collision are performed using FSM. This structure model could be used in understanding and verifying the procedure of real ship's collision. Furthermore it could be used as the model to prevent ship's collision and reduce marine accidents.

• 한국심리학회지:법
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• 제13권2호
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• pp.99-119
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• 2022

성범죄자의 재범 우려가 큰 가운데 특정 성범죄자들은 다른 성범죄자들에 비해 재범하는 경향이 더 높은 것으로 알려져 있다. 이에, 연구자들은 성범죄자의 재범을 예측하는 요인들을 규명하기 위해 노력해왔다. 본 연구에서는 현재 교정시설에서 사용하는 STATIC-99(정적 위험 요인 평가)와 HAGSOR-동적요인을 사용하여, 각 도구의 재범 예측력을 분석하였다. 분석 결과 STATIC-99와 HAGSOR-동적요인은 통계적으로 유의한 재범 예측력을 가진 것으로 나타났다(각각 AUC = .737, AUC = .597, ps < .001). 그러나 성범죄 재범에 대해서는 STATIC-99만 통계적으로 유의한 예측력을 보였다(AUC = .743, p < .001). 또한 HAGSOR-동적요인을 추가한 Model의 재범 예측에 대한 설명력은 STATIC-99만을 투입한 Model보다 통계적으로 유의한 수준에서 증가하는 것으로 나타나(∆χ² = 12.721, p < .001), HAGSOR-동적요인의 증분적 재범 예측력이 확인되었다. 그러나 성범죄에 대한 증분적 재범 예측력은 확인되지 못하였다. 재범 위험성 평가 항목 중 정적 위험요인은 친족피해자를 제외한 모든 항목이 재범을 유의하게 예측하였으며, 동적 위험요인 중 범죄적 성격, 대인관계 공격성, 사회적지지(부족)이 재범에 영향을 미치는 것으로 분석되었다. 결과에 대한 함의와 현장에서 도구의 사용 문제, 개선 방향 등이 추가로 논의되었다.

• 응용통계연구
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• 제24권4호
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• pp.597-607
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• 2011

금융자산에의 투자에서 리스크 관리의 중요성이 부각되면서 리스크를 측정할 수 있는 도구로서 Value at Risk (VaR)가 널리 각광을 받고 있다. Value at Risk는 주어진 신뢰수준에서 목표기간 동안 발생 가능한 최대손실로 정의되는데 몇 가지 한계점이 있지만 비교적 간단하게 계산되고 이해될 수 있다는 장점이 있어 리스크 측정 및 관리의 기본적인 측도로 이용되고 있다. 그러나 포트폴리오에 포함되는 자산의 숫자가 많아지는 경우 VaR을 계산하는 데에 필수적인 변동성 추정이 매우 어려워지게 된다. 이때 차원축소의 방법을 생각할 수 있는데, 전통적인 인자분석은 시계열자료에 적합한 방법이 아니기 때문에 직접 적용할 수 없고 자료의 자기상관성을 제거하는 방법이 선행되어야 한다. 본 논문에서는 인자분석의 확장 형태인 시계열인자분석을 활용하여 시계열자료의 차원축소과정을 간결하게 하는 방법을 제시하고, 시계열인자분석으로 차원을 축소할 때 기존의 방법을 사용하는 것과 어떠한 차이가 있는지를 실제 금융자료를 이용한 VaR의 사후검증을 통해 분석하였다.

• 한국건축시공학회:학술대회논문집
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• 한국건축시공학회 2019년도 추계 학술논문 발표대회
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• pp.42-43
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• 2019

In-situ production of PC (precast concrete) members can reduce costs by about 14.5% -21.6% compared to in-plant production due to the reduction of transportation costs, factory profits and overhead costs. However, in-situ production of PC members presents a variety of risks, including member production and yard area securing, and lead time for production within the installation period. To solve this, it is necessary be able to analyze and control and monitor the risk factors that influence in-situ production for PC member. The purpose of this study is to develop a dynamic simulation model for in-situ production and erection integrated management for PC members. For this study, risk factor identification, causal loop diagram, and dynamic simulation model construction were performed sequentially. The results of this study will be used as a basis for developing a risk management model for PC in-situ production.

• 한국해안·해양공학회논문집
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• 제35권5호
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• pp.95-101
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• 2023

최근 지속적인 연안개발로 여가활동 장소 확대 및 접근성 증가를 가져왔으나, 그에 따른 안전사고도 증가 하였다. 이러한 사고 요인은 인위적인 유형과 자연적인 유형으로 분류되며, 후자는 파도, 조석, 해무 및 바람 등 동적 요소로 구성된다. 기상청, 국립해양조사원 등 기관들은 이미 동적 요소 정보를 제공하고 있지만, 그 해상도가 낮아 국지적 위험도를 정밀하게 평가하기 어려운 한계를 가지고 있다. 본 연구에서는 이러한 한계를 극복하기 위해 기존 오픈시스템의 동적 정보를 활용하여 높은 해상도의 수치 시뮬레이션을 구축하였고, 이를 통해 국지적인 연안활동 장소의 동적요소를 예측하는 자동화 모듈을 개발하였으며, 특히 모듈 구축 중 핵심인 수치예측 파랑 결과값과 파고 관측값을 비교검토 하였다.

• Korean Journal of Radiology
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• 제23권6호
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• pp.674-687
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• 2022

Patellofemoral instability (PFI) is common in pediatric knee injuries. PFI results from loss of balance in the dynamic relationship of the patella in the femoral trochlear groove. Patellar lateral dislocation, which is at the extreme of the PFI, results from medial stabilizer injury and leads to the patella hitting the lateral femoral condyle. Multiple contributing factors to PFI have been described, including anatomical variants and altered biomechanics. Femoral condyle dysplasia is a major risk factor for PFI. Medial stabilizer injury contributes to PFI by creating an imbalance in dynamic vectors of the patella. Increased Q angle, femoral anteversion, and lateral insertion of the patellar tendon are additional contributing factors that affect dynamic vectors on the patella. An imbalance in the dynamics results in patellofemoral malalignment, which can be recognized by the presence of patella alta, patellar lateral tilt, and lateral subluxation. Dynamic cross-sectional images are useful for in vivo tracking of the patella in patients with PFI. Therapeutic approaches aim to restore normal patellofemoral dynamics and prevent persistent PFI. In this article, the imaging findings of PFI, including risk factors and characteristic findings of acute lateral patellar dislocation, are reviewed. Non-surgical and surgical approaches to PFI in pediatric patients are discussed.