• Environmental and Resource Economics Review
• /
• v.18 no.2
• /
• pp.217-239
• /
• 2009

As gas hydrate is recently emerging as a new energy source to solve environmental and exhaustion problems caused by fossil energy, Korea is working on a gas hydrate development project under a 10-year plan from 2005 to 2014. Gas hydrate is expected to have a big effect on the economy and society of Korea, which is largely depending on energy imports besides water energy and atomic energy. However, it is uncertain whether the project will produce successful results. Thus, it is very important to improve its validity and to propose effective execution strategies by evaluating the value of the project in advance. Thus, this study intended to include new information, which had not been evaluated in existing methods, and to reduce biases or errors in value evaluation results by applying a fuzzy risk analysis to the real option model in order to evaluate the value of a gas hydrate development project. It is advantageous that the real option model based on the fuzzy risk analysis modelizes the vagueness and inexactness of intangible element judgment into an appropriate language scale so as to evaluate these elements clearly and integrate them with estimated financial performance results. The application of the fuzzy risk analysis makes it possible to conduct an analysis by dissolving a decision-making issue with complicated and various attributes into several simplified problems. With the continuing high oil prices and today's demand of clean energy, the necessity of energy resources and technology development projects keeps growing. Amid this situation, it is expected that these study results will contribute to proposing a guideline not only for gas hydrate projects but also for policy decision-making related to future energy industries.

• Journal of Information Technology Applications and Management
• /
• v.22 no.3
• /
• pp.1-18
• /
• 2015

Financial markets are characterized by large numbers of complex and interacting factors which are ill-understood and frequently difficult to measure. Mathematical models developed in finance are precise formulations of theories of how these factors interact to produce the market value of financial asset. While these models are quite good at predicting these market values, because these forces and their interactions are not precisely understood, the model value nevertheless deviates to some extent from the observable market value. In this paper we propose a framework for augmenting the predictive capabilities of mathematical model with a learning component which is primed with an initial set of historical data and then adjusts its behavior after the event of prediction.

• Korean Management Science Review
• /
• v.18 no.1
• /
• pp.29-39
• /
• 2001

Traditionally, companies have been concerned with making an investment decision either to go now or never to go forever. However, owing to the development of the theory of options pricing in a financial investment field and its introduction to the appraisal of real investments in these days, we are now partially allowed to derive the value of a managerial flexibility of real investment projects. In this paper, we derived a general mathematical model to price the option value of real investment projects assuming that they have only one-period of time under which uncertainty exists. This mathematical model was developed based on the opportunity cost concept. We will show a simple numerical example to illustrate how the mathematical model works comparing it with the existing models.

• Journal of the Korean Data and Information Science Society
• /
• v.22 no.3
• /
• pp.589-596
• /
• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• The Korean Journal of Financial Management
• /
• v.13 no.1
• /
• pp.311-340
• /
• 1996

This paper investigates the determinants of discounts on closed-end mutual funds. Empirical tests on a panel of closed-end mutual funds show that the magnitude of discounts seems to be unequal for different types of funds. I find strong evidence on tax-timing option effect even after controlling for other variables which have been theorized to be important in determining discounts on closed-end mutual funds. Also, the uncertainty about the value of underlying assets in the fund's portfolio has a significant influence on discounts.

• Agribusiness and Information Management
• /
• v.4 no.1
• /
• pp.24-31
• /
• 2012

This case study investigates the KIKO currency option that has been a social issue in recent years among developing countries, especially Korea, where the financial derivatives market is in a state of rapid growth. The forward transaction which becomes a basis of derivatives is intended to hedge risks that may be caused by a future change in asset prices. Although it originates from a simple form of agricultural transactions, there currently exists a variety of derivatives in more sophisticated forms. In the Korean agricultural industry, the need to use such derivatives is great, as there is a huge risk of price fluctuation in agricultural products due to frequent adverse weather. In addition, many developing countries with export-led industrial structures similar to Korea's, of necessity must resort to currency hedging as a method of reducing relevant risk. However, in most cases, the lack of understanding about financial derivatives results in an inappropriate application of these derivatives. The KIKO in this study represents such cases. Since 2007, KIKO has been sold in Korea to many small- and medium-sized export companies for the purpose of currency hedging when the exchange rate between the Korean won and the U.S. dollar was in a downward spiral. The main focus of this study is a case which is most representative of KIKO. As inflation rapidly increased during the financial crisis in the U.S. at the end of 2007, derivatives became a hot issue in the courts rather than in the financial markets. This case study investigates what KIKO and the fierce legal debates over it imply, from the perspective of the option of value evaluation in order to suggest not only a direction in which companies can utilize financial derivatives, but also a roadmap for the future derivatives market.

• Proceedings of the Technology Innovation Conference
• /
• 2005.02a
• /
• pp.124-139
• /
• 2005

In the early stage, the radio communication industry was widely accepted as a monopoly industry, so it has been controled and managed by government. But the advanced technology in Information and Technology industry has led constant increase of demand and dramatic change of communication market. Furthermore it is expected that frequency resource is to be short by market change due to wire-wireless integration. That is why the effort to utilize and manage limited frequency resource efficiently is being executed around the world. Not only newly developing and allocating the spectrum but also reallocating the existing spectrum important are, since transforming inefficiently used existing spectrum to new service can increase producer's surplus and social welfare. The economic approach to valuate the spectrum and spectrum usage right is necessary different from the traditional cost based approach, and through this approach I expect active transaction of spectrum. In this paper the real option methodology is used for valuation of spectrum, considering spectrum user's option right based on future revenue. In detail, the matter of withdrawing and reallocating the existing analog radio broadcasting spectrum is evaluated in this paper, The digitalization of a broadcasting service is widely spreaded around the world in terms of technology and service utility, and analog TV broadcasting has already been decided to be transformed to digital TV broadcasting. It was planned to convert analog radio broadcasting to DAB service before adopting DMB service, but nowadays this issue is not on the table anymore. However if the increasing demand of digital voice and broadcasting service is considered, this kind of research to valuate a spectrum is needed urgently. The result of this research shows that when the redeployment of spectrum is done, social welfare will increases. The point of the reallocation time and value are suggested by the monte carlo simulation through ROVM. In this paper, I use real option to valuate the spectrum and provide the point of the reallocation time and reasonable guideline, and moreover, the suitable information of this paper is expected to reduce risk and loss in policy practice.

• Journal of Navigation and Port Research
• /
• v.44 no.5
• /
• pp.414-422
• /
• 2020

In this study, an empirical analysis of 55 ship finance cases executed by a specific ship finance bank from 2009 to 2016 during the recession period was conducted. The purpose of this study was to find the factors affecting changes in the debt performance of Korean shipping companies. The main factors were the loan nature (investment purpose, loan-to-value (LTV), syndicated loans, loan terms, put-option, balloon, and spread), financial nature (total assets turnover, net profit-to-sales ratio, debt ratio, quick ratio, total borrowing, bonds payable to total assets, interest expenses-to-sales ratio, debt service coverage ratio (DSCR), and total assets), and the company nature (company age, chief executive officer's (CEO's) shares, and listing status). In this study, the factors affecting the debt repayment capability of domestic shipping companies (loan nature, financial nature, and company nature) were verified. The credit rating was used to measure the dependent variable, debt repayment ability. The variables of investment purpose, put-option, balloon, and spread in the loan nature, debt ratio in the financial nature, and the CEO's shares and company age in the company nature were found to be significant.

• Advances in environmental research
• /
• v.1 no.2
• /
• pp.125-142
• /
• 2012

Clean development mechanism (CDM) validity study was conducted to suggest better and more adaptable CDM scenario on water treatment plant (WTP). Potential four scenarios for CDM project; improvement of intake pumping efficiency, hydro power plant construction, solar panel construction and system optimization of mechanical mixing process were evaluated on S-WTP in Korea. Net present value (NPV) of each scenario was estimated based on sensitivity analysis with the variable factors to investigate the CDM validity percentile. Hydro power plant construction was the best option for CDM business with 97.76% validity and $1,127,069 mean profit by 9,813 $tonsCO_2e$/yr reduction. CDM validity on improvement of intake pumping efficiency was 90.2% with $124,305 mean profit by huge amount of $CO_2$ mitigation (10,347 $tonsCO_2e$/yr). System optimization of mechanical mixing process reduced 15% of energy consumption (3,184 $tonsCO_2e$/yr) and its CDM validity and mean profit was 77.25% and $23,942, respectively. Solar panel construction could make the effect of 14,094 $tonsCO_2$ mitigation annually and its CDM validity and mean profit was 64.68% and $228,487, respectively.

• Journal of the Korean Regional Science Association
• /
• v.33 no.2
• /
• pp.39-46
• /
• 2017

This study estimated indirect economic benefits of the introduction of Korean Spatial Information System. Korean academic society has been reluctant to consider indirect benefits as an item of benefits in cost-benefit analysis. Nevertheless, other countries including England recommend to consider some indirect benefits like option value as an important item of cost-benefit analysis, especially in the case of transportation projects. This study estimated indirect benefits of the introduction of Korean Spatial Information System using Contingent Valuation Methods: Indirect benefits of the project are so significant in terms of statistics and substantial in terms of magnitude that decision making can differ from the case without consideration of such indirect benefits.