• Journal of Intelligence and Information Systems
• /
• v.8 no.1
• /
• pp.1-13
• /
• 2002

Estimating the Value-at-Risk (VaR) of a non-listed or newly listed company in stock market is impossible due to lack of stock exchange data. This study employes Case-Based Reasoning (CBR) for estimating VaR's of those companies. CBR enables us to identify and select existing companies that have similar financial and non-financial characteristics to the unlisted target company. The VaR's of those selected companies can give estimates of VaR for the target company. We developed a system called VAS-CBR and showed how well the system estimates the VaR's of unlisted companies.

• The Journal of the Convergence on Culture Technology
• /
• v.9 no.3
• /
• pp.779-787
• /
• 2023

In the relationship between the shareholding ratio of National Pension Service (NPS) and the investee firm's value, this study examined the mediating effect of R&D expenditure which its increase can indirectly induce the increase of firm value, and examined the moderated mediation effect of the Stewardship Code implementation which pressures investee firms' to increase R&D expenditure and firm value. Using the Korean listed companies' data from 2016 to 2021, the analysis showed that the R&D expenditure had a partial mediation effect on the relationship between NPS's shareholding ratio and firm value. Also, the analysis showed that the NPS's Stewardship Code implementation had positive moderating effects on following relationships, one between NPS's shareholding ratio and R&D expenditure, and the other between NPS's shareholding ratio and firm value. In all, on the relationship between NPS's shareholding ratio and firm value, the R&D expenditure's mediation effect differs before and after the implementation of the stewardship code, which shows the moderated mediation effect.

• The Korean Journal of Applied Statistics
• /
• v.23 no.2
• /
• pp.219-234
• /
• 2010

In index investing according to KOSPI, we estimate Value at Risk(VaR) from the extreme losses of the daily returns which are obtained from KOSPI. To this end, we apply Block Maxima(BM) model which is one of the useful models in the extreme value theory. We also estimate the extremal index to consider the dependency in the occurrence of extreme losses. From the back-testing based on the failure rate method, we can see that the model is adaptable for the VaR estimation. We also compare this model with the GARCH model which is commonly used for the VaR estimation. Back-testing says that there is no meaningful difference between the two models if we assume that the conditional returns follow the t-distribution. However, the estimated VaR based on GARCH model is sensitive to the extreme losses occurred near the epoch of estimation, while that on BM model is not. Thus, estimating the VaR based on GARCH model is preferred for the short-term prediction. However, for the long-term prediction, BM model is better.

• Korean Parent-Child Health Journal
• /
• v.8 no.2
• /
• pp.97-111
• /
• 2005

Purpose: The purpose of the study was to analyze the families values of the family with hospitalized children in order to offer descriptive data, which will facilitate family adjustment in those families. Method: It's intended in this study, as of descriptive approach, to verify the theoretical framework based on McCubbin's Resiliency Model and to examine the influence of family values on family adaptation. The survey was conducted from June 20, 2003 to November 30, 2003 and the analysis included 202 parents of the hospitalized children. The data analysis utilized SPSS 11.0 program. Result: The correlation coefficients among major variables showed that family stressor was positively related with family strains(r=.249, P<.01), and negatively related with family hardiness(r=-.183, P<.05). Family strains was negative related with general family value(r=-.243, p<.01), and family adaptation(r=-.505, P<.05). Correlations of general family value was positive with family hardness (r=.153, p<.05), and family adaptation (r=.200, p<.01). Conclusions: There was correlating relationship between family strains and family adaptation, and general family value showed correlation with family strains, family hardiness, and family adaptation. Theresfore the continuing future research on the relationship between family value and family adaption is necessary.

• Journal of Korea Society of Digital Industry and Information Management
• /
• v.15 no.1
• /
• pp.123-132
• /
• 2019

As the one-person households with economic power have increased, the consumption culture changed as well. The primary purpose of this study is to investigate the on-line shopping motivation of one-person households in terms of consumer value. Economic value, emotional value, convenience value, social value were identified as affecting factors of satisfaction and intention to re-use of on-line shopping purchasing based on prior studies of on-line shopping behavior. This study tested the hypothesized model targeting 244 one-person households who have purchased products in on-line shopping mall. According to the results of analysis by using R, economic value, emotional value are significantly related to the consumer satisfaction but convenience value, social value are not. Consumer satisfaction of online purchasing was also shown to be related to the intention to re-use. However no difference between men and female was shown in shopping motivations. The research result can provide useful guidelines and strategies for one-person households with online shopping malls.

• Journal of the Korean Society of Radiology
• /
• v.11 no.5
• /
• pp.343-351
• /
• 2017

T1, T2 relaxation time and relaxation rates were measured and analyzed according to the change of RF coil channel number of MAGiC sequence. T1, T2, R1 and R2 maps were obtained by using MAGiC sequence with phantom (1.0, 0.6, 0.2, 0 mM) on the RF coil with channel number of 1, 8, 16 and 32 respectively. T1, T2, R1, R2 values and relaxation rates were measured for each channel number and concentration, and Relaxivity was calculated according to each concentration. T1, T2, R1, and R2 values were measured in each coil. There was no significant difference between T1 and R1 values (p> 0.05). However, T2 and R2 values were significantly different (p <0.05). In the post-analysis results, T2 value was significantly different from that measured on 1, 8, 16, and 32 channel coils (p <0.05) and There was no difference between 8, 16, and 32 channel coils (p> 0.05). The R2 value was significantly different from that measured on the 8, 16, and 32 channel coils in the 1 channel coil, and the results on the 8 channel coils and the 16 channel coils showed a significant difference (P <0.05). In conclusion, T1 and R1 values were not significantly different according to the number of channels in the coil, but T2 and R2 values were significantly different. Therefore, when quantitative measurement of T2 and R2 values using the MAGiC sequence, the same number of coils should be used for reproducibility.

• Journal of Industrial Convergence
• /
• v.19 no.5
• /
• pp.13-19
• /
• 2021

In this study, the relationship between R&D investment and firm value was approached from ESG's G(governance) perspective to verify the moderating effect of the corporate governance and ownership structure. To this end, a panel analysis was conducted on a total of 2,825 samples of 405 manufacturing companies listed on the KOSPI market during 2013~2020. The main analysis results are as follows. First of all, we found that R&D investment has a negative impact on firm value, at least in the short term, and that these relationships are moderated by corporate governance and ownership structure. When professional CEO with high level of expertise in business and management does lead R&D investment, the negative impact of R&D investment on firm value is mitigated compared to owner-manager. Also, the stronger the power of outside blockholders, the more transparent the management and disclosure of information, alleviating the information asymmetry between internal and external shareholders, which mitigates the negative impact of R&D investment on firm value. The findings suggest that the factors of ESG may not only have a direct impact on firm value, but also have a moderating effect on firm value.

• International Journal of Internet, Broadcasting and Communication
• /
• v.15 no.3
• /
• pp.185-190
• /
• 2023

Due to the growing importance of ESG management, various studies have been conducted to explore the relationship between ESG performance and corporate value. The purpose of this study is to investigate how a company's ESG performance impacts its corporate value. The research findings indicate that there is difficulty in explaining the relationship between ESG performance of Korean IT companies and firm value in a straightforward manner. However, the results demonstrate that companies with higher profitability, higher foreign ownership, and higher R&D expenditure tend to have a positive impact of ESG ratings on corporate value. Based on these results, we can infer that Korean IT companies can enhance their corporate value by increasing R&D investments to develop innovative products that improve profitability. Additionally, attracting higher foreign investments can also positively influence ESG performance and subsequently increase corporate value. Acknowledging these factors can help companies realize the significance of ESG performance in elevating their overall corporate value.

• The Korean Journal of Applied Statistics
• /
• v.26 no.1
• /
• pp.163-185
• /
• 2013

In this paper, we investigate the need to employ long-memory volatility models in terms of Value-at-Risk(VaR) estimation. We estimate the VaR of the KOSPI returns using long-memory volatility models such as FIGARCH and FIEGARCH; in addition, via back-testing we compare the performance of the obtained VaR with short memory processes such as GARCH and EGARCH. Back-testing says that there exists a long-memory property in the volatility process of KOSPI returns and that it is essential to employ long-memory volatility models for the right estimation of VaR.

• Journal of the Korean Data and Information Science Society
• /
• v.19 no.4
• /
• pp.1027-1036
• /
• 2008

Value at Risk(VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, we introduced and applied the CreditMetrics model to estimate the credit VaR of Korean Property and Casuality insurers.