• Communications for Statistical Applications and Methods
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• v.15 no.5
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• pp.697-708
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• 2008

Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems, or external events. The advanced measurement approach proposed by Basel committee uses loss distribution approach(LDA) which quantifies operational loss based on bank's own historical data and measurement system. LDA involves two distribution fittings(frequency and severity) and then generates aggregate loss distribution by employing mathematical convolution. An objective validation for the operational risk measurement is essential because the operational risk measurement allows flexibility and subjective judgement to calculate regulatory capital. However, the methodology to verify the soundness of the operational risk measurement was not fully developed because the internal operational loss data had been extremely sparse and the modeling of extreme tail was very difficult. In this paper, we propose a methodology for the validation of operational risk measurement based on bootstrap confidence intervals of operational VaR(value at risk). We derived two methods to generate confidence intervals of operational VaR.

• Journal of Korean Society of Water and Wastewater
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• v.11 no.1
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• pp.33-41
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• 1997

An attempt was made to enhance anaerobic treatment efficiency by adopting the anaerobic sequencing batch reactor(ASBR) process at a thermophilic temperature. Operational characteristics of the ASBR process were studied using laboratory scale reactors and concentrated organic wastewater composed of soluble starch and essential nutrients. Effects of fill to react ratio (F/R) were examined in the Phase I experiment, where the equivalent hydraulic retention time(HRT) was maintained at 5 days with the influent COD of 10g/L. A continuous stirred tank reactor(CSTR) was operated in parallel as a reference. Treatment efficiency was higher for the ASBRs because of continuous accumulation of volatile suspended solids(VSS) compared to the CSTR. However, the rate of gas production and organic removal per unit VSS in the ASBRs was much lower than the CSTR. This was caused by reduced methane fermentation due to accumulation of volatile acids(VA), especially for the case of low F/R, during the fill period. When the F/R was high, maximum VA was low and the VA decreased in short period. Consequently, more stable operation was possible with higher F/R. Effects of hydraulic loading rate on the efficiency was studied in the Phase II experiment, where the organic loading rate was elevated to 3333mg/L-d with the F/R of 0.12. Reduction of organic removal along with rapid increase of VA was observed and the stability of reaction was seriously impaired, when the influent COD was doubled. However, operation of the ASBR was quite stable, when the hydraulic loading rate was doubled and a cycle time was adjusted to 12 hour. It is essential to avoid rapid accumulation of VA during the fill period in order to maintain operational stability of the ASBR.

• Korean Management Science Review
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• v.28 no.3
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• pp.73-82
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• 2011

Basel II advanced measurement approaches for operational risk need to estimate the frequency and severity distribution of operational losses. Due to lack of internal loss data, the estimation is impossible in many cases and so external loss data might be used by scaling on asset or gross income. To get around lack of loss data, scenario analysis combined with loss distribution approach can be useful in calculating the capital charge of operational risk. However, scenario based loss distribution approach requires much time and effort. Instead we may apply the analytic hierarchy process to measure operational risk of financial institutions. The analytic hierarchy process combined with loss distribution approach is to estimate the capital charge of operational risk in other areas based on the operational VaR in an area with sufficient loss data. AHP provides a tool for timely measurement of operational risk in this rapidly changing global environment.

• Communications for Statistical Applications and Methods
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• v.30 no.1
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• pp.75-94
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• 2023

The growing trend of cyber risk has put forward the importance of cyber risk management. Cyber risk is defined as an accidental or intentional risk related to information and technology assets. Although cyber risk is a subset of operational risk, it is reported to be handled differently from operational risk due to its different features of the loss distribution. In this study, we aim to detect the characteristics of cyber loss and find a suitable model by measuring value at risk (VaR). We use the loss distribution approach (LDA) and the time series model to describe cyber losses of financial and non-financial business sectors, provided in SAS^® OpRisk Global Data. Peaks over threshold (POT) method is also incorporated to improve the risk measurement. For the financial sector, the LDA and GARCH model with POT perform better than those without POT, respectively. The same result is obtained for the non-financial sector, although the differences are not significant. We also build a two-dimensional model reflecting the dependence structure between financial and non-financial sectors through a bivariate copula and check the model adequacy through VaR.

• Journal of Biosystems Engineering
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• v.9 no.1
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• pp.22-33
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• 1984

Husk separator is an indispensable equipment in rice milling plants. However, any basic research on the designing and operating criteria of the husk separator have rarely been conducted in Korea. According to the survey results reported recently, grain loss occurs in the process of rice husk separation at custom rice milling plants in Korea and the performance of husk separator has also not been identified. With this regard this study was conducted with a typical commercial husk separator to investigate the effect of the operational factors such as feed rate, blower speed and opening ratio on the velocity distribution in the air duct and the performance of the separator. The results are summerized as follows: 1. The average wind velocity in the primary air duct increased linearly with the blower rpm and the size of air inlet port in both cases of double type and single type operations. 2. The coefficient of variation in the horizontal wind velocities in the primary air duct was the minimum when the opening ratio was 0.22 ($0.052m^2$ of air inlet port) in both cases of single type and double type operations regardless of the blower speeds used in this test. The average wind velocity at the upper part of air duct was greater by 2-5 m/s than the velocity at the bottom part in double type operation. In case of single type operation, however, the average velocity in the middle part was greater than the upper or bottom part when the opening ratio was greater than 0.74. 3. The relationship between the overall effectiveness of separation(Ed for double type and Es for single type) and the average wind velocity (Va) in the primary air duct was expressed in the following quadratic functions. $$Ed=-190.84+106.18Va-10.052Va^2$$ ($r^2$ = 0.97782) $$Es=-223.76+106.23Va-9.1935Va^2$$ ($r^2$ = 0.97029) The average wind velocity required to obtain the overall effectiveness of separation more than 80% ranged from 4.04 m/sec to 5.84 m/sec in case of double type operation, and from 4.70 m/sec to 6.20 m/sec in case of single type. 4. An optimum wind velocity can be obtained with an increase in the blower speed or the size of air inlet port as presented in Figure 8. There was a tendency that the faster the blower speed, the narrower the control range of the air inlet port. 5. The feed rates (1850kg/hr and 2100kg/hr) adopted in this experiment did not bring about a significant difference in both the overall effectiveness of separation and the power consumption. 6. The energy consumption increased cubically with the blower speed but linearly with the size of the air inlet port. On the basis of the results described in items 1, 3, and 6, it would be more economic to adjust the size of the air inlet port larger with a relatively low blower speed than to adjust the size smaller with a relatively high speed.